Index Arbitrage Systematic Trading Strategy Value Proposition

Our value proposition is a high frequency index arbitrage systematic strategy that operates in the sub-second time frame- it takes decisions on all instrument’s universe in less than 100 ms. The profits come from building intra-day positions of futures against partial baskets of stocks, locking in future’s fair value basis and benefiting from short term pricing anomalies in the stocks. It supports trading up to a USD 100 million turnover a day, with an average daily profit of 8bps. We would hence make a yearly PnL of USD 20 million. And because it trades within a very short time frame based on the market micro-structure, we believe the strategy offers relevant diversification potential for a variety of asset managers and should generate a priori new uncorrelated results.