Investment Strategies

The primary objective of the Mariana Capital Strategy team is to deliver practicable trading opportunities. Our strategy team is composed by experienced traders and analysts who are dedicated to support our clients in the investment process. We also have built a strong infrastructure which gives access to key information both real-time and historically in order to generate accurate analysis.

 

Volatility Trading

To monitor the Equity Volatility market, both for information purposes and for generation of trade ideas, we use a proprietary calibration technique to create a real-time picture of the dynamics of the volatility surface of all the constituents of our universe:

  • Index Universe contains the main indices in Europe, US and Asia
  • Single Stock Universe focused on 150 most liquid names in Europe and the top 100 stocks of the S&P 500
  • Extensive historical volatility database across Indices and Single Stocks

 

Equity Derivatives Strategy

VANILLA OPTION STRUCTURES: As well as monitoring volatility behaviour globally, we monitor carefully higher order volatility parameters such Skew, Kurtosis and Correlation metrics. Correlation is a major focus: we develop many internal indices to monitor Global and Sector correlation to discover trading opportunities.

STRUCTURED FLOW PRODUCTS: We advise our clients in mastering relatively new instruments such as Variance Swaps, Option on Variance as well as independent, expert advice on new equity derivative products entering the market space and how they may be used when managing a portfolio.

HEDGING EXPERTISE: Using our extensive experience in developing hedging solutions for our clients, we provide efficient hedging strategies to complement most portfolio styles and requirements. 

 

Global Macroeconomic Strategy

In collaboration with our Macroeconomic experts, we focus on the signals generated across various markets and look to propose trades where we feel a dislocation has occurred using the most applicable products available, which may be equity cash, equity derivatives or any other applicable investment product.

 

Exchange Traded Funds (ETFs)

Over the past few years, the market for ETFs has grown exponentially as the interest in products for expressing a particular view on the market come into increasing demand. In conjunction with our Macroeconomic analysis, we work closely with ETF products and find them an attractive vehicle to express views in markets not as easily accessed as the equity market. Some examples which have arisen recently are gaining exposure to High Yield Corporate Bonds, trading “Style” and “Size” bias portfolios and playing certain FX and commodity themes directly