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Alternative Market Briefing

TrueRisk Capital to launch debut fund

Monday, August 30, 2021

Bailey McCann, Opalesque New York for New Managers:

A newly established systematic CTA is nearing its launch date. Los Angeles-based TrueRisk Capital started as a separately managed account in May and will be available as a fund later this year.

TrueRisk Capital is led by Kaushik Saha and Rito Bhattacharyya. Saha is a veteran institutional quant specialist who created the automated trading model for mortgage securities and then served as portfolio manager for securitized credit at Barclays Global Investors. Bhattacharyya is part of the faculty at WorldQuant University, the educational program set up by former Millennium Management statistical arbitrage portfolio manager Igor Tulchinsky.

TrueRisk Capital operates as a fully systematic CTA which trades a range of algorithm-based options and futures strategies that are designed to be 'all weather'. The approach has been incrementally created by the investment team over the past 8 years and grew partly out of the work the team was doing for other managers. Prior to the formation of TrueRisk Capital, Bhattacharyya was working as a consultant to other hedge funds under the banner TrueRisk Labs, which developed proprietary trading algorithms that were licensed to other asset managers. With TrueRisk Capital, Saha and Bhattacharyya are coming together to manage client assets for the first time.

TrueRisk's planned Market Volatility Fund aims to generate a stable return profile targeting 20-25% annualized return with a max peak-to-valley drawdown of 10%. According to the investment team, the approach will limit some of the risk/drawdown commonly associated with other CTA strategies. The program relies on three counterbalanced algorithms that work together to provide volatility income. The strategy is designed to provide its best returns during choppy markets and significant corrections in equity markets. A delta-neutral low gamma design is used to limit risk.

The trading program is fully automated with no discretionary elements and focuses primarily on equities markets. The three algorithms work together to determine trading signals. Depending on the market environment, one algo might be favored over the other two in the strategy. The team notes that by taking this approach, the strategy might lag trend followers, but results in a higher positive trade percentage overall because the three algos working together position the fund to take advantage of all types of market environments.

The Market Volatility Fund will launch with just under $3 million in internal capital. The fund will be available to outside investors through a separately managed account setup in the coming weeks.

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