Fitz Roy - A Statistical Arbitrage Strategy

This Is Why Fitz Roy Is the Right Strategy for You

Absolute Return Fund, How?

• Systematic process to decision making.
• Quantitative and scientific methodology.
• Proprietary research tools.
• Transparent performance indicators.
• Return expectations are independent of most market conditions.

Absolute Return Fund, When?

Equity market volatility has the property of being mean reverting within a regime. Regimes represent a shift in the average value of market volatility. Regimes tend to last for extended periods of time.

The fund’s strategy realizes positive returns by taking advantage of fluctuations in the volatility of portfolio assets. Positive returns are expected as long as the volatility regime stays unchanged.

Asset prices do not follow a straight line regardless of long term price direction. Short term price changes create investment opportunities to capture superior risk-adjusted returns.

The strategy is a true reversal strategy that seeks to profit from price fluctuations. The strategy uses the volatility variance of underlying assets in order to discover future price direction.

• The investment strategy captures alpha with the use of proprietary computer algorithms that follow a numerical process to identify and to establish long and short positions.
• A quantitative and systematic approach process is used in order to minimize human error, emotion, and position bias.
• The fund's analytical tools are used to optimize capital allocation, reduce risk, and diversify holdings across markets, regions, industries, and sectors. Our technology allows generates accurate results every time. Execution of investment ideas has been automated to ensure fast delivery of new alpha to the portfolio.

Potential profit is the sum of every price change where each change is taken as a positive number. Our technology is designed to identify "bottoms and tops" where potential profit can be achieved.

The signals to buy and sell are a product of our proprietary research and computational tools. A signal is a probability estimate for a reversal in the direction of prices. The analysis is centered around the volatility of equity prices. Two common properties of equity market volatility are:

• Volatility can be observed to experience different regimes(high/low). Volatility regimes represent a shift in the average of realized volatility and are considered to last a considerable amount of time.
• Volatility tends to be mean reverting within regimes.

The volatility regime provides us with an idea of price elasticity of the underlying security. When the volatility of the underlying security is close to the top of the range of the regime, the security is most likely close to a short term bottom and vice versa.

The fund’s signal can estimate, with a high degree of statistical significance, short term directional changes in the asset prices. The process follows a continuous model with new data replacing older data. The average position turnover is 15 days.

Advantages

• Low to negative correlation to market benchmarks.
• Highly liquid instruments, capacity is not restricted.
• High risk adjusted returns over a reasonable period of time.
• Able to deliver alpha regardless of market conditions.
• Systematic algorithmic process with the potential for better returns than traditional market instruments.
• True portfolio diversification.