K2Q Capital's Shin Samurai strategy: Identifying patterns not visible to others

Aug 03 2022 0 Comment

K2Q Capital's Shin Samurai strategy is a statistical systematic Japan macro strategy using trend following and mean reversion models. K2Q's investment approach is unique as it combines Aman's decades of successful trading and investment acumen with cutting-edge academic rigour and innovation. The research is led by Katsuhiko Okada, a tenured professor of finance and Founder and CEO Magne-Max Capital Management. Magne-Max is K2Q's exclusive research and development partner; Aman and Professor Okada have known each other since 1993 and worked together since about 2011.

Aman explains his strategy "processes publicly available data using our proprietary techniques to identify patterns not visible to others". Big Data is used to develop and refine the basic models to capture mis-pricing in the market. Elaborate statistical and mathematical techniques aim to generate alpha through market timing in both trend following and mean reversion models.

The strategy has some more unique characteristics:

Trades only around twice per week
Signal generation based on single stocks but trades only equity index futures
Highly capital efficient and easy to leverage (up to 3 or 4 times)
Uncorrelated, with high return attribution from shorts
Attractive outlook given the current environment of stagflation where psychological oscillation tends to be large

Based on Professor Katsuhiko Okada's work (Okada was also the co-founder of Halberdier Fund, one of the first multi-billion dollar hedge funds in Asia), K2Q's strategy also capitalizes on behavioral finance, exploiting psychological and behavioral biases that are inherent in market participants and by "identifying the path of oscillating market psychology".

In this video, you will learn:

Directional Market Timing: Possible or futile?
Investment objectives and competitive edge of K2Q Capital's Shin Samurai Strategy
Why the strategy is analogous to weather prediction
Risk management
Strategy outlook

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At the end of the 1980's Aman Oberoi worked with Dr Robert Whaley the famed creator of the VIX index helping him to develop and code American option pricing models. In1989 Aman saw opportunities trading Japanese equity derivatives which since then has been his professional focus, starting and running various equity and credit derivative businesses for Citibank and Citigroup in New York, Tokyo, and London. He also started Citibank's Japanese equity derivatives in Tokyo in the mid 90s and was a member of the Emerging Markets proprietary trading desk at Citigroup in London.

From 2007 onwards Aman was Managing Director at bank Sal. Oppenheim's structured product business based in Frankfurt, an approximately EUR 30bn business of listed securitized derivatives on the continental European exchanges. After that Aman joined Mizuho international plc in London where he was a Senior Managing Director and a member of the Executive Committee, running the special situations business.

In 2016 Aman set up K2Q Capital in London, a boutique investment advisor running a systematic Japan strategy which aims to outperform, particularly during distressed markets.

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