Asset Management Solution (AgT-AMS)
Agnitya Asset Management has a consistent history of delivering stable returns for client investments. Our quantitative investment strategies are based on intensive mathematical research and proprietary mathematical models. These strategies are executed within the high-frequency to mid-frequency range. Agnitya’s quantitative strategies utilize plain vanilla to complex derivative products to structure portfolios for clients. Agnitya has optimized and adopted these strategies across different market scenarios to ensure stable returns with minimum variance for our clients' portfolios.
Our Approach
Our Systematic approach from market data handling to PnL optimization is based on advance mathematical techniques.
Volatility Trading Strategies
Volatility strategies are based on statistical arbitrage of implied volatilities of exchange quoted equity derivatives. It exploits the statistical arbitrage in implied volatilities offered due liquidity of derivative market. The volatilities are executed in mid frequency range through the structures which are combination of vanilla derivatives. The above strategies are applicable in market event driven scenarios and provide high returns during the market events. The annual returns of these strategies from 2013 to 2019 are 4.26% with relative variance of 19.03%.
Directional Trading Strategies
Our underlying spot directional trading strategies harness cutting-edge genetic neural networking algorithms, advanced machine learning, and sophisticated pattern recognition methods. A dynamic convolution correlation structure is meticulously modeled to construct optimized trading portfolios, maximizing returns while minimizing variance.These strategies are empirically proven to be our most consistent performers during low-volatility market scenarios, delivering robust long-term annual returns of 5.01%, coupled with a low relative variance of 17.02%.
Step Up-Convexity Trading Strategies
Our convexity trading strategies are built upon the mathematical framework of generating gamma ladder portfolios through strategic derivative positioning. Powered by our proprietary AgT-RMS pricing libraries, these strategies are effective across all market cycles and are executed within a mid-to-low frequency range.When applied to Fixed Income products, these strategies operate at a lower frequency and represent our most consistent approach for long-term investment. This specific mandate has achieved annual returns of EURIBOR 6M + 3.8%, with a relative variance of 13.09%. Additionally, an optimized version of this framework utilizes cross-asset derivatives executed at a mid-frequency range to capture broader market inefficiencies.