Our Strategy team has significant experience in generating Systematic trading portfolios, using a range of investment products, and publish a number of recommendations on regular basis.

Cash Equity Pair Trading

Mariana Capital introduced a systematic equity cash pair trading model at the start of 2010. We provide our clients with our sample selection on a weekly basis. The model aims to capture strongly mean-reverting pairs based our proprietary signal coupled with out fundamental M-score, looking to avoid catalysts and stock-specific events over the relatively short holding period. The strategy has been a success since we launched it in mid 2010, with a number of our clients looking to follow this strategy on a regular basis.

Volatility Relative Value Trading

Mariana Capital’s expertise is historically focused on volatility trading. Therefore we have a wide range of quantitative proprietary signal to generate volatility trade ideas: rich/cheap volatility arbitrage across sector or regions, dispersion trading… One of our star products is VIX: we monitor our indicators to find statistical arbitrage on VIX and VTSOXX using futures and options.

Systematic Call Overwriting

Each week, we propose our 10 preferred candidates in the European Equity Derivatives universe which we feel are most attractive from a Call Overwriting perspective (long equity position coupled with a Short Call position). The signal is derived based on three key factors drivers: the Richness of Option Value, Momentum of underlying equity position and our fundamental M-Score of the underlying equity.