We employ non-directional systematic strategy on liquid options and futures, with a strong focus on capital preservation, sustainable growth, and optimal execution.
UTM Lab specializes in the optimal execution of systematic trading strategies in the option markets. We formulate intuitive yet rigorous algorithmic strategies based on the latest practice & academic research. We enhance our strategies' performance through the use of the latest development in risk analytics to ensure capital preservation and optimal execution.
Strategy is easy, execution is hard.
UTM Lab has a unique combination of expertise in advanced mathematical modeling, academic research, financial markets, and computer science.
Advanced Mathematical Modeling
UTM Lab's proprietary trading strategies are backed by statistical or behavioral biases in finance. We use advanced modeling techniques to uncover and harness these biases. We also combine the latest innovations in statistical methods into our strategies.
There is a wealth of academic research in the identification of trading and investment strategies. Nevertheless, systematic trading is as much about transaction cost as it is about the strategy itself. We deploy advanced statistical techniques to ensure robust and accurate trade execution.
Even the best strategies will have problems delivering alphas unless we have proper risk management. At UTM Lab, we developed a cutting-edge automated risk control system for real time monitoring and adaptive adjustment.
Naively following the trading strategies published in the academic literature often lead to strongly inferior results. UTM Lab's innovative approach combines the best research with an advanced transaction cost analysis framework for best execution of winning strategies.
Abundance of Academic Research
Large volume of academic literature identifying investment and trading strategies and risk premia.
Advantage: rigorously tested, robustness proven, justifiable and explanable (behavorial or empirical).
Disadvantage: p-hacking and the existence of different pre-selection biases.
Most academic research focuses on risk premia rather than optimal execution.
The main challenge is how to execute them in an optimal manner once transaction costs is accounted for.
We operate on a no-blackbox principle: all our strategies are grounded on rigorous statistical or behavioral biases. We do not attempt to forecast or predict the market.
Why don't we forecast the market?
Financial data is extremely noisy and non-stationary. With complex models, in-sample is always superb, but out-sample is perennially poor.
We use the latest development in risk analytics and data science to monitor all positions real time, with adaptive adjustment in place.
UTM Lab's trading system is fully automated, this ensures both optimal execution and real-time risk monitoring.
Many trading strategies need constant adaptation to the prevalent market scenario.
Universal Trading Machine (or UTM in short) is a tongue-in-cheek imitation of the Universal Turing Machine concept formulated by Alan Turing in his 1936 landmark paper. He designed special-purpose Turing Machines to print out specific computable numbers. He then showed that a Universal Turing Machine can simulate the output of all Turing Machines.
At UTM Lab, instead of narrowly focusing on a trading algorithm based on a specific strategy, we develop and experiment on a Universal Trading Machine to execute all our research-backed systematic trading strategies in the best possible way.
Universal Turing Machine
Turing Machines are customized computers executing specific tasks to produce specific outputs, while a single Universal Turing Machine can mimic the output of all Turing Machines.
Universal Trading Machine
Trading Machines are customized execution algorithms following a specific trading strategy, while a Universal Trading Machine can optimally execute a whole family of uncorrelated trading strategies.
Our team consists of financial and computer science experts with a long experience in financial markets as well as in academic finance. As such we are ideally placed to put theory into practice.
Connect with us on LinkedIn and check out the live track record of UTM Option Strategies, a sub fund of UTM Lab Funds VCC.