PROALPHA YIELD STRATEGY (PAYS):
PAYS, offered under investment advisory, is a low-risk Volatility Arbitrage Strategy on indices (Nifty). Its objective is to generate consistent steady annual returns like a debt plus product. Strategy captures the Implied Volatility (IV) spread between leading indices (Nifty) and their respective top-weighted constituents. A basket of the top weighted stocks mirrors sector representation and covers around 80%-85% of the top weighted index stocks weight and hence portfolio is tightly correlated to the indices.
As underlying stocks within the index move in the different directions or they move disproportionately as compared to index hedge, dispersion appears in the portfolio. Strategy is rupee-neutral and delta-neutral and doesn’t take any view on market and focuses on volatility arbitrage for return generation. PAYS is hedged all the time for extreme market directional move on either side, so capital preservation is built into the model and eliminates large tail risk.
