Absolute return, low risk, high liquidity
share of months with
*the net yield after deduction of management and success fees
Strategy’s source of return:
The market inefficiency caused by a short-term disbalances of the asset price
Strategy working principles:
The strategy yields from the short-term market inefficiencies, when the same asset has a different price on different exchange markets for a short period of time.
In other words, the return is realized when you simultaneously buy a cheap asset on one exchange market and sell it on another at a higher price. The total return is equal to the difference in the price of two instruments at the time of the transaction less broker fees
The specificity and main advantage of the strategy are that its result does not depend on the change in the price of the asset, either up or down. Profit is fixed at the moment when prices on different exchange markets converge and the transaction becomes closed.
The market risk of arbitrage is equal to zero and is reduced only to the technical: force majeure in the software or the collapse of one of the market.
No impact of the market dynamic
The return does not depend on the change in the price of the asset
One of the safest trading strategies
The price forecasts are not necessary
No market risk – arbitrage transaction is always market-neutral
One of the best combinations of risk and return
Using inefficiencies in prices of liquid financial instruments
Purchase of assets on the organized market immediately followed by their sale at a higher price on the other organized market
Self-developed trading systems for making deals
The best management team on the market
Over 25 years of experience of senior managers
9 people in a team
A significant proportion of the partners proprietary capital is invested in the strategy
Trustworthy providers and tight relationships with key investment institutions
Effective risk management
The risks are diversified over the assets of different classes and a number of exchange markets
Hedging of currency risks and conservative leverage degree
The position opened in another currency is automatically converted into USD in case of any negative/positive result
A short and long position opened at the same time hedges market risk
Jacques der Megreditchian
FOUNDER OF FLAG Quantitative Strategies Fund Ltd
Chief Business Officer of Troika Dialog from 2009 to September 2011, managing all of Troika Dialog's business units. Previously from 2007 to 2009, Mr. Der Megreditchian was Head of Global Markets and Investment Banking at Troika Dialog, and from 2000 to 2007 he was Head of Global Markets at Troika Dialog. He is a member of the Board of Directors of TCS Group Holding PLC, JSC IT Invest and National Association of Stock Market Participants (NAUFOR, from 2006), and he is also Chairman of the Moscow Exchange Council. From 1996 to 2000 Mr. Der Megreditchian was Deputy General Manager of Societe Generale in Moscow. From 1985 to 1996 he held various roles with Credit Commercial de France (CCF), including Chief Representative in Russia from 1993 to 1996. He was Chairman of the RTS Russian Stock Exchange Board of Directors from 2004 to 2011 and he was also a member of the Management Board and Co-Chair of Commission on Financial Industry of the Russian Union of Industrialists and Entrepreneurs (from 2010 to 2012). He graduated from the European Business Institute, Paris in 1984 and from the French Center for Financial Analysis, Paris in 1987.
COO OF FLAG Quantitative Strategies Fund Ltd
Was a portfolio manager at Troika Dialog Asset Management from September 2010 to October 2012 where he managed funds and strategies targeting international markets, including BRIC, gold mining and global internet sectors. In 2008-2010 he was an advisor to the Chief Business Officer of Troika Dialog. In 2007-2008 he was Director in the investment banking department of Troika Dialog. Prior to Troika, he worked at Donaldson, Lufkin & Jenrette and Yahoo!. He has an MBA from the University of Chicago and a BS from SUNY at New Paltz.
CIO OF FLAG Quantitative Strategies Fund Ltd
From January 2010 has been CEO of Znamenka Capital (formerly 7 Sigma) which trades mathematical arbitrage strategies on the Russian market. Alexey manages the investment processes of the company and heads a team of developers of software used by the company to implement its investment strategies. In 2006-2009 he was Deputy CEO and partner of a licensed broker-dealer Aquila Asset Management which he founded and which ranked in the top-50 based on trading volume in equities and futures on the Russian market. Alexey has an M.S. in Applied Mathematics and Economics from Moscow Institute of Physics and Technology.