EFTA00611824.pdf

Strategy Malachite Dmitriy Nuriyev EFTA00611824  Performance Trades 300 of some of the most liquid Tape A and B securities Daily Return Sharpe 6 Average unleveraged daily return 13bps. 38% annualized unleveraged, or 250% with standard 15% portfolio margin. For example: with 20M of base capital it makes 50M/year. • US Equity market capacity 500M Average holding period is 12 hours Average signal duration is 4.5 hours giving ample entry time. Average daily traded volume per single security in traded universe on NASDAQ alone — 175MM. Max draw down 3% EFTA00611825  Alpha source Model captures mean reversion and trend dynamics in market cross-sectional data. Relative Strength of individual assets with respect to relevant indices is strongly represented. Model works on both high frequency and medium frequency time-scales Multi-horizon non-linear factor models, advanced statistical techniques as well as indicator selection and transformation create an edge. • Trades in all aggressive regime. • Alpha signal does not experience significant adverse selection and trading is done in narrow spread regimes. EFTA00611826  Risk Aspects • Broad diversification with maximum single name exposure under 5% • Highly liquid securities with average ADV of 175MM • Portfolio Sharpe maximizing allocation • Average beta exposure is 20% • Single name and portfolio level stop losses • Broad diversification across industries and sectors EFTA00611827  Graphs Return Data slide on next page shows Equity Curve and a histogram (empirical distribution) of 5 Day returns giving tail shape, skewness and etc. Trade Statistics slide shows histogram consolidating signal and holding period statistics, showing persistence and duration of entry signal providing high entry capacity. Return Streaks and Draw downs shows draw down histogram without any stop losses applied. Second important graph shows return autocorrelation function. Since there are no significant negative autocorrelations, there is no evidence of "streaks". Daily Trading Activity shows number of trades across all traded securities. This includes multiple same direction trades per security. Relative versus Absolute Return slide shows present difference in Sharpe with respect to return on traded capital versus absolute dollar based Sharpe. The difference is due to daily exposure variation. EFTA00611828  Return data Cumulative Returns over 3.6 years: Daily Return on Trading Capital Sharpe 6.6 Cunblatrve Return 0 200 400 600 800 DayS Daily Unleveraged Return Histogram: mean fl ips I day — o _ LL I I I I I I -0.020 -0.015 -0.010 -0 005 0 000 0 005 0.010 0.015 Daily Return EFTA00611829  Monthly returns 180.00% 160.00% 140.00% 120.00% 100.00% —41—Series1 80.00% 60.00% 40.00% 20.00% 0.00% 1 2 3 4 5 6 7 8 9 10 1112 13 14 15 16 17 18 19 20 2122 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 EFTA00611830  Monthly Returns Cumulative Month Return Cumulative Return Month Return Return 1 10.70% 10.70% 20 3.72% 95.60% 2 7.23% 17.90% 21 6.42% 102.02% 3 5.80% 23.70% 22 1.00% 103.02% 4 4.83% 28.53% 23 -3.17% 99.85% 5 3.52% 32.05% 24 5.62% 105.47% 6 1.39% 33.43% 25 7.94% 113.41% 7 2.24% 35.68% 26 2.00% 115.41% 8 5.59% 41.26% 27 -1.12% 114.29% 9 5.60% 46.86% 28 5.15% 119.44% 10 4.63% 51.49% 29 6.15% 125.59% 11 6.52% 58.00% 30 5.54% 131.12% 12 5.24% 63.24% 31 5.64% 136.77% 13 4.60% 67.84% 32 1.77% 138.54% 14 4.06% 71.90% 33 7.02% 145.56% 15 4.92% 76.83% 34 4.74% 150.29% 16 2.30% 79.13% 35 2.77% 153.06% 17 6.71% 85.84% 36 3.12% 156.19% 18 3.54% 89.38% 37 0.79% 156.98% 19 2.50% 91.88% EFTA00611831  Trade statistics Signal Duration Histogram: moan 4 hours 10 20 Holding Period Histogram: mean 12 hours 8 0 5 10 15 20 Hours EFTA00611832 Return Streaks and Draw Downs -0015 -0010 -0006 MUM, .10001.1.00 1 L .1 ++ EFTA00611833  Daily Trading Activity Daily Tracitrig Activity Histogram 0 0 co 0 • - 0 1000 2000 3000 4000 5000 Days Daily Number of Trades, mean 625 trades 0 • 0 0 0 0 O 0 o 0 0 0 0 0 e 6 8 0 00 0 0 0 9 2 9 99 0 0 CO : 0 a e cob e *o 0 0 0 'IC° 0 09 90 8 0 0el ace e d' cp * 0 90 8 0 90 6 0% o _ 9 8 ,eo, ° Lit• 1 01 ; 0 C D° ° ace % lb O CM!° 0 ° c8boo° i i, i 68# * 0 clo °won& co° ce 8 co. c, 0 0943 4 4c 2" r ow c ai ro .4144 e 0.. 000 ge iiso. 0 200 400 600 800 034 EFTA00611834 Relative versus Absolute Returns Absolute Return: Sharpe 3.8 - coo @s 6°ccocie40. 00 0%0 room4 ro°000 • - 00.000000 0, 0 _,, 0000..". 0ise 0 00.-00 no.00ca 0.000 0.0.00- Absolute Return es.' of, 0 8 - 00,00 00 000 • - 0 00 ,0300°°° 0 e at O 20 80 100 120 Relative Return: Sharpe 6.1 **eveci0G0e00000 00o e apt riovoo° O — 0.0 .0.00 occrod,,,,,000.0° 0 eee0 . 00. 0.00. 00" O 000, 0000 0000° O00e 00.2. O 00 20 40 60 80 100 12a oars EFTA00611835  BACKGROUND HIGHLIGHTS • Spent 2 years at Tower Research. Developed and ran high frequency Spot FX Strategy, Created Alpha Models for FX, Futures and Equities • Models across products generated in the vicinity of 100K/day, average return of approximately 10bps with combined Sharpe of 8+. Overall unleveraged capital approximately 100MM. • Before Tower Research spent 4 years at Bank of New York/BNY Converges focusing on advanced algorithmic execution of international and domestic equities handling multibillion dollar daily volumes. • As part of BNY Convergex, patented Optimal Portfolio Implementation Shortfall algorithm based on state-of-the-art market impact analysis and in-house fundamental risk factor model as well as stochastic dynamic optimization methods. This resulted in major US Equity algo flow increase. • Academic background includes PhD research in multivariate complex function theory achieving major result concerning surjectivity of convolution operators. EFTA00611836