What we do

Neutrino  deploys time tested strategies in the fund each month. One of the common principle applied while formulating any strategy is:-

  1. They should be repeatable
  2. They should be scalable
  3. They should have a statistical edge built in intrinsically and is not completely luck dependent for its performance.
  4. They should be a Black Swan event insulated. If anything they should benefit from the volatility and rare outlier events occurring in the market every now and then.

We do not invest in stocks for a long period. Our aim is to scalp profits from mis-priced options after studying their IVs and HVs. Our strategies can be classified as:-

Dispersion

There is IV difference between various stocks and the index they are a part of.. There are oppurtunities where you can short the stock options and buy the index options or vice versa. There is a risk premium for bearing correlation risk in the options market and there is also option market inefficiency which both lead to profitability in Dispersion trading.

By construction, a dispersion strategy that buys index straddles/strangles and sells straddle/strangle positions on individual components is hedged against large market movement and has low volatility risk, which makes it an ideal candidate to bet on the differences between implied volatilities of index and individual options.

Skew

Skew is the difference in the IVs of Calls and Puts of the same underlying.. usually the Puts are more expensive because of the fear of a huge fall, because of which people pay a premium to hedge their portfolios. Taking this into consideration, our strategy aims to scalp this skew.

Both these strategies are delta neutral and hence have limited risk and returns but have a great risk : reward ratio and with our proprietary algo, we have seen a hit rate of more than 70%.

Calendar Spreads

Invests in a collection of Nifty current month and next month Options to create a more or less delta neutral/ market neutral hedged position and scalps profits as the market fluctuates.

Event driven Option Strategies in individual stocks

Aims to take advantage of the high IVs presented by the marketplace before results and other major events affecting the world market. At no point are the trades un-hedged

Algo Trading

The pairs trade or pair trading is a market neutral trading strategy enabling traders to profit from virtually any market conditions: uptrend, downtrend, or sideways movement. This strategy is categorized as a statistical arbitrage and convergence trading strategy.

Neutrino has a proprietary Stop and Reverse Intra day Strategy which is used on Nifty and Banknifty to take advantage of the force at which market trends when it picks up momentum. It’s a completely automated system which has strict stop loss and target variables set in place to remove the emotional aspects of trading in a smaller time frame directional trading.

Pair Trading

The pairs trade or pair trading is a market neutral trading strategy enabling traders to profit from virtually any market conditions: uptrend, downtrend, or sideways movement. This strategy is categorized as a statistical arbitrage and convergence trading strategy.

Performance

The fund is generating 3% per month return on its capital over the last 9 months.
One of the key focus on the management is to avoid big draw downs and a steady growth.

Fee structure

No management fee
25% performance fee on a high high watermark calculation basis.

Redemption / Subscriptions

On the last Thursday of the month (in line with the NSE contracts) .

Legal Structure

Neutrino Hedge Fund is a LLP incorporated in Mumbai, India.

Investment amount

Minimum : 5 lakhs. Maximum : 50 Lakhs

Fund Auditor

R C Jain will act as the Fund auditor and will oversee subscriptions, redemptions and auditing of NAV based on the portfolio value of the fund at various brokers.

Fund Manager

Umesh Ranglani is the managing partner and and Abhijit Biswas would act as the fund manager and in that capacity will jointly select plus recommendations will be taken into account in investing in the company’s assets.