Alteus Hedge Fund investment idea. Been watching fund successfully growing at ITI FUNDS platform over 3 years. Market neutral HFT arbitrage fund, i.e. no market risk. All types of HFT strategies in Russian market. Yield 10-15% p.a. in USD or higher if volatility continue improving. Limited entry opportunity as capacity is capped at $6-10m AUM. Looking to raise additional $2-3m of private funds. See presentation for more details.
2. OUR EDGES
EXPECTED RETURN
Our algorithmic arbitrage strategies stand out of the crowd because:
•They provide stable high rate of return with tiny draw -downs and accordingly very high Sharpe and Sortino
ratio.
•They are market neutral, which means they are free from directional position loss risk.
•They have low correlation with the stock market and show the best results on highly volatile market, which
usually happens on market drop.
However, the projected average annual return of our strategies is 13% -17% in USD.
Alteus fund is a great alternative to bonds and bank deposits, excelling them in rate of return,
also it is a reliable investment free from issuer default risk.
PLATFORM
OUR PARTNERS
Alteus fund works on ITI Funds platform which is a part of ITI Group company.
Among Alteus Asset Management Company partners there are:
•Da Vinci Capital, a leading independent private equity fund that operates in Russia and other Eurasian Economic
Union (EEU) countries;
•IT-Invest , a top-5 broker on MOEX(Moscow Exchange);
The world of asset managers employing quantitative models, algorithmic, market making and high frequency
trading strategies similar to ours is quite narrow and is a hard to get into.
Alteus fund may lead you there.
3. MONTHLY DYNAMICS
FUND HISTORICAL PERFORMANCE
Target return is not guaranteed.
The investment program was launched on April 25th 2014
and has been traded on a separately managed account.
Hedge fund uses the identical investment approach
designed by the same management team.
FUND INCEPTION
** Draw-down was a force-major event: Sberbank perfidiously changes dividends for 2016, however recently management had promised not to change dividend yield since the
previous year. As a result a one-time loss was acquired in arbitrage pair Sberbank futures vs. Sberbank stock. The probability of the recurrence of such event is estimated as
extremely low.
* RVI (Russian Volatility Index) is a volatility index calculated by MOEX, based on RTSI options prices. Higher values of index correspond to more volatile market.
Managed Account Performance (identical strategies, % in USD)
% annual
% for actual
trading
months
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2014 52.0 39.0 - - - 5.2 5.1 1.0 3.5 7.3 1.7 3.1 3.2 3.6
2015 21.8 21.8 1.0 5.6 0.8 1.4 0.5 1.2 1.1 2.0 2.4 1.6 1.2 1.2
2016 10.8 1.8 0.8 1.0
Fund Performance (% in USD)
2016 10.0 8.3 1.1 3.9 1.0 0.7 0.1 0.3 0.3 0.1 0 0.6
2017 6.7 4.5 0.7 -0.1 0.7 -1.9 2.3 0.9 2.2 -0.3 0.3**
-40.0%
-20.0%
0.0%
20.0%
40.0%
60.0%
80.0%
-15
5
25
45
65
85
105
125
APR-14
JUN-14
AUG-14
OCT-14
DEC-14
FEB-15
APR-15
JUN-15
AUG-15
OCT-15
DEC-15
FEB-16
APR-16
JUN-16
AUG-16
OCT-16
DEC-16
FEB-17
APR-17
JUN-17
AUG-17
Alteus,RTSI(%)
RVI
Alteus RVI RTSI
4. Alteus quantitative development team of highly experienced professionals
with strong programming skills (С++, C#, Java, Linux) apply advanced
mathematical modeling techniques to in depth examination of market micro -
structure and exploring new ideas, as well as enhancement and optimization
of trading and analytical tools.
Eugeny Avrakhov is the chief consultant of
Alteus advisory team. Eugeny has been the CEO
of Option Investment Company since 2005.
Prior to launching Option Eugeny worked as an
portfolio manager and Head of Algorithmic
trading department at Finam, where he was
responsible for development of trading
algorithms focusing on derivatives markets.
Eugeny graduated from Moscow State
Technological Academy.
Alexey Khizhnyak is responsible for determining
underlying rational for algorithmic trading
strategies, model assessment and development.
Before joining Option, Alexey worked for private
investment management company where he was
Head of algorithmic development team focusing
on derivatives trading.
Alexey graduated from Ural State Technical
University majoring in Finance, he holds
Russian Federal Financial Markets Service
certification 1.0 (broker-dealer and asset
management).
Evgeny Tishkin
Prior to the establishment of Alteus, Evgeny
held a similar position at Option, an
investment, and a financial company. He used
to work as a technical expert at CQG, where he
was in charge of high frequency algorithm
trading strategies for global markets.
Evgeny graduated from the Samara State
Aerospace University, faculty of Computer
Science, majoring in “Automated Systems of
Information Processing, and Management”.
Evgeny heads a team of highly skilled
programmers, having a professional track
record of many years. With its vast
technological expertise (C/C++, Linux, R), the
Alteus development team is capable of creating
efficient trading mechanisms, based on complex
mathematic models, describing market
behaviour, and allowing to find out, and to use
the opportunities for arbitrage.
5. CROSS-EXCHANGE
ARBITRAGE
SPOT-FUTURES
ARBITRAGE
The investment strategy of Alteus is classified as systematic arbitrage. Exchange traded instruments often
demonstrate price deviations (or inefficiencies) which are eventually revert back to equilibrium. The mispricing is
usually ultra short-term in existence and arbitrage strategies aim to identify and exploit as many of those
inefficiencies as possible.
Arbitrage does not imply any directional bets and thus the portfolio performance has insignificant correlation to
the broader market, moreover, increased volatility on declining market creates more arbitrage opportunities.
ARBITRAGE ACROSS
INDICES FUTURES
The result of arbitrage strategy is a function of the quality of trading algorithms, software and the robustness of
the investment process. Alteus employs entirely systematic data -driven investment process based on high-
frequency trading algorythms. The investment advisory team applies sophisticated quantitative modeling
techniques to data analysis and development of trading models.
INDEX ARBITRAGE
Alteus Fund portfolio is a combination of low correlated quantitative arbitrage strategies including, but not
limited to: cross-exchange arbitrage, spot-futures arbitrage, arbitrage across index futures, index arbitrage,
calendar spreads and synthetic futures arbitrage.
CALENDAR SPREADS
Alteus investment program is designed to blend a variety of low correlated strategies to produce positive returns
over time. The strategies include but not limited to Cross -exchange arbitrage, Spot-futures arbitrage, Arbitrage
across indices futures, Index arbitrage, Calendar spreads, Synthetic futures arbitrage.
SYNTHETIC FUTURES
ARBITRAGE
These strategy categories will not be necessarily employed at the same time, and that the Investment Manager
may modify, supplement or substitute strategies and strategy categories from time to time without notice.