Another Indian Quant Fund

Reliance Mutual Fund (part of Anil Ambani’s empire) had recently converted a couple index funds (Sensex and Nifty trackers) into a single “quant fund.”  Since I’m a hugh believer in Index funds, it’s a disappoint to see Reliance shutdown that investment strategy…but its business.

The new strategy has been running since mid April and to make any judgements on it’s performance is a bit pre mature. Their basic model as taken from the offer document is: “will invest at least 90 per cent of the assets in an actively managed portfolio of 15 to 20 stocks from S&P CNX Nifty index on the basis of a mathematical model. The model will shortlist stocks on the basis of stock price movement and a variety of financial valuation aspects. The fund is managed by Krishna Daga who has been in the Indian equity markets for over 10 years with companies such as: HSBC, JP Morgan, Brics, B&K and Deutsche.

Since the product is a mutual fund the options it can deploy are limited to long only equities.  As the Agile Fund from Lotus it cannot go short, go to cash, hedge, leverage, etc…techniques that most international quant funds use.

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