1. Stability from Alternative Returns from Volatile Indian Equities
Dr Purnendu Nath
June 12th 2012
Monday, April 29, 2019 1

2. What could one accomplish? Objectives and Constraints
Stability from Alternative Returns from Volatile Indian Equities
What could one accomplish?
Objectives and Constraints
A Live Illustration
Building a Business

3. What could one accomplish? Over the last 4 years…
Stability from Alternative Returns from Volatile Indian Equities
What could one accomplish?
Over the last 4 years…
+112% vs 1.6%

4. Objectives & Constraints
Alternative Returns from Volatile Indian Equities
Objectives & Constraints
The India Multi Strategy Fund (QGIM-IMSF):
12%-15%p.a.
no negative quarters
large range of strategies
trading equity and equity derivatives

5. 20% annualized, post-fees, only 2 down months in 4 years…. How???
Alternative Returns from Volatile Indian Equities
20% annualized, post-fees, only 2 down months in 4 years….
How???
Multi-Strategy approach
Extremely high focus on risk control
Trading in highly liquid Indian equity and equity derivative instruments
Dynamic allocation of risk capital, across the risk spectrum:

6. A Live Illustration Alternative Returns from Volatile Indian Equities
Trading only Nifty Futures!
+41% vs -6%

7. - Objectives & Constraints
Alternative Returns from Volatile Indian Equities
Live Illustration
- Objectives & Constraints
The India Systematic Frontier Fund (QGIM-ISFF):
15%-20%p.a.
high liquidity
low correlation with the underlying

8. Strategy Building
Data
The 3 stages
Signal Generation
Portfolio Construction
Execution

9. 2012 2003 2002 2001 Back-test Methodology look-back walk-forward
(live)
look-back
walk-forward
(back-test)
(live)
look-back
walk-forward
(back-test)
(live)

10. Library (currently >2200 rules)
Investment Methodology
Historical Data
Portfolio Optimization
NAV(back-test)
Library (currently >2200 rules)
Rules to Detect Over-reaction
Rules to Detect Under-reaction
past
future
NAV(live)
Live
Data

11. ISFF –Simulated Backtest AND Live Results

12. Illustration of Protection
Alternative Returns from Volatile Indian Equities
Illustration of Protection
Trading only Nifty Futures!
+41% vs -6%
Monthly Returns …

13. Building a Business Alternative Returns from Volatile Indian Equities
P r a s h a n t M o h a n r a j
VJTI IIM-Ahmedabad
UBS (London) Pragma
Kotak Edelweiss
Structured Products Prop Trading Asset Management
Intellectual Property
Talent:
Attract
Retain
Client Expectations
Cambridge London Business School (PhD)
Institute of Actuaries CFA
Credit Suisse HSBC KBC SHK Amplitude
Prop Trading Risk Management
Research Asset Management
P u r n e n d u N a t h

14. What could one accomplish? Over the last 4 years…
Alternative Returns from Volatile Indian Equities
What could one accomplish?
Over the last 4 years…
+112% vs 1.6%
Only 2 down months