ALPHAGREP INDEX PLUS FUND – Category III AIF

The investment objective of the AlphaGrep Index Plus Fund – Category III AIF combines the strategies of passive long exposure and active long-short positions to achieve superior risk-adjusted returns over a market cycle. Specifically, the fund’s approach is as follows:

– Passive Long: The fund maintains a passive investment component that replicates an index, providing equity exposure up to 100% long, aiming to capture the baseline returns of the market.

– Active Long-Short: Alongside, it employs active long-short strategies that are uncorrelated and aim to generate active alpha. This portion can go up to 100% long or short, allowing the fund to capitalize on both upward and downward market movements.

– Index Plus: By combining these strategies, the fund’s goal is to outperform the benchmark across a market cycle. It seeks to deliver better risk-adjusted performance and to capture the equity upside while potentially mitigating downside risks.

Overall, the AlphaGrep Index Plus Fund – Category III AIF targets to provide investors with a balanced investment approach that offers the steady growth of index investing with the added benefit of active management to enhance returns and manage risk.

The investment philosophy of the AlphaGrep Index Plus Fund – Category III AIF is built on a blend of systematic and opportunistic strategies to achieve growth while managing risk. Here are the key components of the philosophy:

• Passive Index Tracking
• Systematic Active Alpha
• Uncorrelated Active Strategies
• High Portfolio Liquidity
• Tax Efficient Structure
• Active Risk Monitoring

Combining these elements, the AlphaGrep Index Plus Fund aims for steady growth through passive market participation while seeking additional returns through active management, all within a framework of prudent risk control and tax efficiency.

The AlphaGrep Index Plus Fund – Category III AIF employs a strategic combination of passive and active investment approaches to achieve its performance goals:

1. Performance Target: The fund seeks to outperform its index benchmark with a risk-adjusted strategy over a three-year period.
2. Alpha Generation: It targets an average annualized gross alpha of 6-8% over a two-year period, specifically over the Nifty 50 Index.
3. Return Objectives: After fees and taxes, the fund aims for returns of index + 2 to 4%, recommending a holding period of 24 months or more for optimal results.
4. Exposure: The fund maintains a passive long exposure of 90-100% to provide stable market returns. In addition, it adopts an active long/short strategy for up to 100% exposure, using a multi-strategy variable bias portfolio across index derivatives.
5. Risk Profile: The expected risk is benchmarked against index volatility, with strategies in place to potentially lower drawdowns.

The AlphaGrep Index Plus Fund – Category III AIF also encompasses a robust process for selecting and managing investments:

• Hypothesis Validation: Formulating hypotheses based on robust historical data analysis.
• Approval Process: Strategies undergo rigorous evaluation and must be approved before live trading.
• Pilot Run: Live trading on a small scale to verify assumptions.
• Market Feedback: Adjusting strategies based on market feedback to minimize implicit costs.
• Prop Deployment: Strategies are deployed on proprietary capital after careful consideration.
• Strategy Selection: Investment strategies are shortlisted based on their scalability and relevance to the fund’s objectives.
• Capital Allocation: Resources are allocated based on capacity, performance expectations, and diversification needs.
• Performance Monitoring: Continuous oversight of strategy performance and capital allocation to ensure alignment with investment goals.

This holistic approach aims to balance the pursuit of higher returns through active management with the stability of index tracking, while managing risk and maintaining tax efficiency.