Nanjia Cyrus Relative Value Fund

Cyrus Fund is advised by WaterValley Capital Management.

• Cyrus is a relative-value trading program that seeks to exploit short term arbitrage or spread opportunities between the same or similar assets listed on global exchanges, with a focus on Chinese exchanges.
• The program seeks to systematically extract profits from these short term manifestations that create arbitrage or spread opportunities and deliver alpha not correlated to traditional long bias strategies.
• The program uses market neutral convergence, systematic equity trading techniques based on proprietary mathematical models.
• The strategy aims to deliver 10% plus performance over the medium term with single digit volatility.

This share price movement originates from various drivers which we call ‘spread volatility’. Successfully capturing the ‘spread volatility’ enables Cyrus to deliver non market correlated alpha with low directional bias.

WaterValley started trading back in 2013, previously the team traded a similar strategy at Millennium and Credence. Stock index options was traded in the early days but over time and as the markets / program developed, trading progressed to single equity securities. WaterValley commenced the China equity trade back in 2017 where their ability to capture the unique arbitrage opportunity is enhanced through their physical presence in both in Shenzhen (trading locally and conducting research) and Hong Kong where they are a fully licensed with the Hong Kong Securities and Futures Commission.