Return of trading strategies

The graph shows the cumulative rate of gross return* of strategies in percent. The fund officially began trading on October 1, 2018. Before October 1, 2018, the return data consist of the management team`s trading results verified by brokers` reports.**
* The return calculations are based on gross NAV without any fund's fees.

** The management team was created prior to the registration and licensing of the fund. For the period of May 2017 - September 2018, the rate of return is presented within the framework of trading based on loan agreements. The fund's potential shareholders participated in the investment pool.

Trading Strategies

These strategies are based on option spreads with a single expiration date and calendar spreads.
We arbitrage between local volatility imbalances, avoiding a one-sided position with regard to volatility. This allows us to significantly reduce market risks while retaining high return.

Instruments and exchanges

  • series of options on S&P500 futures (and other underlying assets) on CME, NYSE and CBOE;
  • RTS Index, USD and Brent futures on the Moscow Exchange (MOEX).

Rate of return and risk
The average projected rate of return based on these strategies may range between 20 and 30% per annum. A typical drawdown is 2–5%.

The mathematical models we have created allow us to accurately identify the formation and completion of mid-term directional movements in the market and use them to obtain profit.

Instruments and exchanges
US stocks on NYSE and NASDAQ, foreign exchange markets, commodity markets on CME, and the Russian stock market.

Rate of return and risk
Trend-following strategies can show significant profitability for long periods of time. Since this class of strategy is not market-neutral and may lead to significant drawdowns, we diversify such strategies by creating pools.

We apply various arbitrage trading strategies using all kinds of spreads. Combinations of statistical and fundamental interrelations between the arbitrage components, as well as the diversification of instruments, provide an excellent risk/return relationship for this class of strategies.

Instruments and exchanges
Futures contracts on commodity exchanges: СМЕ, ICE.

Rate of return and risk
Statistical returns from commodity spreads can reach up to 100–120%per annum. Although a drawdown in each of the strategies can be up to 50%, the estimated average total drawdown for this type of strategies should not exceed 20%.

In our fund, statistical arbitrage is represented by many strategies based on a stable relationship between various assets:

  • pair trading, basket trading;
  • arbitrage of an index instrument against an asset basket;
  • other dependencies between non-identical instruments that can be used for generating profit.

Instruments and exchanges
US stocks on the NYSE and NASDAQ, along with instruments on the foreign exchange markets and the Russian stock market.

Rate of return and risk
The wide diversification and various approaches used result in unlimited arbitrage opportunities that may lead to a return of 20-30% per annum with an anticipated drawdown of 5-15%.

Сurrent portfolio structure

The proportion of each strategy in our portfolio is determined through a comparative assessment of returns, the degree of risk correlation between different strategies, and the relative capacity of each strategy.*

The projected target annual return on the current portfolio of strategies is 12-20%** with a possible drawdown of up to 10%**.

Type of strategy Target
annual return, %
Average
estimated drawdown, %
Maximum
estimated drawdown, %
Portfolio
 share***, %
Option strategies 25 5 10 25
Trend-following strategies 100 20 50 5
Commodity spreads 25 10 20 15
Statistical arbitrage 25 10 20 15
Type of strategy Target
annual return, %
Average
estimated drawdown, %
Maximum
estimated drawdown, %
Portfolio
 share***, %
Option strategies 25 5 10 25
Trend-following strategies 100 20 50 5
Commodity spreads 25 10 20 15
Statistical arbitrage 25 10 20 15
Type of strategy Target
annual return, %
Average
estimated drawdown, %
Maximum
estimated drawdown, %
Portfolio
 share***, %
Option strategies 25 5 10 25
Trend-following strategies 100 20 50 5
Commodity spreads 25 10 20 15
Statistical arbitrage 25 10 20 15
* Further details are available in the fund Prospectus sections: Investment Objectives and Policy, Risk Factors.

** This information is indicative only and cannot be considered as any form of guarantee or advice.

*** Part of the funds that remain free are invested in low-yield risk-free instruments, such as US short-term treasury bonds; part are kept in currency.