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From AQR to founding Indias first hedge fund.
Global systematic commodities arbitrage strategy. Competitive information edge from physical metals trading firm founded by his grandfather. Employs a technology-centric approach using proprietary big-data research systems and in-house low-latency trading systems.
Differentiated and uncorrelated source of alpha. Strategy is unique as it is not fundamental/directional nor traditional relative value based on historical correlations, but has a strong economic rationale for spreads to converge back to fair value.
Newly launched geographic arbitrage strategy is a carve-out from Greenland Global Fund (where it has traded live for 6+ years).
Sophisticated research and strategy testing process.
Actual trade examples for: – Geographic Arbitrage. – Substitution Arbitrage. – Cost of Production Arbitrage: Trading input versus output commodity. Why Greenland is not trading WTI versus Brent Crude.
Average holding period. Leverage is 6x – 300 long and 300 short.
Diversification addresses primary strategy risk: geopolitical and exogenous events.
How Greenlands strategies benefit from its high frequency trading infrastructure
Strategy deemed sustainable as there will always be demand-supply imbalances. Could the large global commodity power houses squeeze Greenland out of its strategies?.
Greenland IM: The outperforming systematic commodity arbitrage fund having unique insights from its physical commodities trading operation
Greenland Investment Management was founded by Anant Jatia who was formerly at AQR Capital. Jatia was also a co-founder of Forefront Capital, Indias first domestic hedge fund, which later was acquired by Edelweiss Group. Jatia is a Wharton graduate and has 12+years of systematic investing experience.
Greenland started out as a proprietary trading firm in 2013 and launched their first arbitrage fund in November 2016. The strategy is unique as it is not fundamental/directional nor traditional relative value based on historical correlations, but on a strong economic rationale for spreads to converge back to fair value. It has delivered a CAGR of over 10% p.a. with a volatility of 4% and a Sharpe of 2.46 over the last 6 years running two sets of sub-strategies, pure arbitrage and commodity arbitrage, and employing a technology centric approach to investing. Ultra-low latency trading systems, high-speed exchange connectivity, co-located servers and proprietary big-data research systems are used to identify and successfully capture these arbitrage opportunities.
The strategy has been delivering absolute returns with focus on capital preservation (max drawdown -3.37%, 73% positive months) with negligible correlation to traditional asset classes (correlation S&P 500 -0.08). With a capacity constraint of $170m it is closed for new subscriptions. However, the capacity constraint is coming from the pure arbitrage book, and so Jatia and his team have taken out the non-capacity constrained global commodity arbitrage strategies and offering it separately with a higher vol target (10%) and target return (gross 20%).
Competitive edge from physical metals trading operation
Jatia says part of his competitive edge is the link to another family business which was started by his grandfather and which is now run by his brother that focuses on physical metals trading: Because of that business, we have the direct contracts with shipping companies, truckers, warehouses and insurance providers, which gives us proprietary, daily data on the exact costing of shifting materials from one point to another. So, when you are looking to trading a commodity arbitrage strategy – say trading copper on two different markets – the theoretical pricing gap is also driven by the actual transporting cost of the material from one exchange to the other. If we can get really accurate data on that cost of transportation, if you get that right, that is a key component of the fair value. If you get any deviation from the fair value, we can then look to that that systematically through the models that we trade. Jatia believes it is impossible to find comparable accurate pricing cost from third party data vendors.
Hear Jatia speak about:Why he views his strategy sustainable (there will always be demand-supply imbalances). Greenlands sophisticated research and strategy testing processHow Greenlands strategies benefit from its high frequency trading infrastructureActual trade examples for:Geographic ArbitrageSubstitution ArbitrageCost of Production Arbitrage: Trading input versus output commodity.Why Greenland is not trading WTI versus Brent Crude. Average holding period. Leverage, risk allocation and position sizingHow diversification addresses primary strategy risk.
Anant Jatia is Founder and Managing Director of Greenland Investment Management. He was also co-founder of Indias first hedge fund; Forefront Capital Management ($500m+ quantitative manager); sold to Edelweiss Financial Services and a former portfolio manager at AQR Capital ($226bn+ quantitative manager) where he built systematic stock selection models for global equity markets. He graduated cum laude from the Jerome Fisher Program in Management and Technology at the Wharton School (University of Pennsylvania) with a B.S. in Economics (Finance and Management) and a B.S.E. in Computer Engineering. Greenland employs a team of 10 investment professionals and is regulated by FSC, Mauritius and as a CPO by the CFTC, USA.[less]Greenland Investment Management was founded by Anant Jatia who was formerly at AQR Capital. Jatia was also a co-founder of Forefront Capital, Indias first domestic hedge fund, which later was acquired by Edelweiss Group. Jatia is a Wharton graduate and has 12+years of systematic investing experience.
Greenland started out as a proprietary trading firm in 2013 and launched their first arbitrage fund in November 2016. The strategy is unique as it is not fundamental/directional nor traditional relative value based on historical correlations, but on
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