Programme Compendium

Overview

Strategy Overview
Miami is a systematic, market-neutral investment strategy focused on the most liquid constituents of the S&P 500 and Russell indices. The strategy seeks to generate absolute, uncorrelated returns by systematically exploiting short-term pricing inefficiencies between historically correlated equities.
Execution Mechanics
The portfolio is driven by quantitative models that continuously monitor relative-value relationships across established sector and statistical clusters. The core premise is mean reversion: when the pricing relationship between two highly correlated assets statistically deviates from its historical norm, Miami executes a paired trade — instituting a long position in the underperforming asset and a short position in the outperforming asset. Positions are held only until the pricing relationship normalises, at which point the trade is systematically unwound to capture the differential.
Strategy Overview
Miami is a systematic, market-neutral investment strategy focused on the most liquid constituents of the S&P 500 and Russell indices. The strategy seeks to generate absolute, uncorrelated returns by systematically exploiting short-term pricing inefficiencies between historically correlated equities.
Execution Mechanics
The portfolio is driven by quantitative models that continuously monitor relative-value relationships across established sector and statistical clusters. The core premise is mean reversion: when the pricing relationship between two highly correlated assets statistically deviates from its historical norm, Miami executes a paired trade — instituting a long position in the underperforming asset and a short position in the outperforming asset. Positions are held only until the pricing relationship normalises, at which point the trade is systematically unwound to capture the differential.

Program Details