Nanjia Capital ICAV - CYRUS

WaterValley Capital Management’s Cyrus programme is a relative-value, equity market-neutral trading strategy designed to systematically exploit short-term arbitrage opportunities across global exchanges, with a particular focus on Chinese listings. Founded in 2013 by a former Millennium team with extensive experience in high-frequency, quantitative trading, WCM has established a strong track record of returns through its prior Millennium engagements and its Cayman product. Cyrus leverages proprietary quantitative models underpinned by mathematical and statistical theory. These models identify divergences in the prices of dual-listed equities—often A-shares on Chinese exchanges paired with corresponding H-shares in Hong Kong, or related securities in global markets. By simultaneously buying and selling, the strategy aims to profit from short-term spread fluctuations, delivering alpha that is uncorrelated with traditional, long-biased equity approaches. The fund trades a wide range of instruments, including cash equities, futures, and options, and it typically targets low double-digit returns with single-digit volatility over the medium term. Given its systematic, intraday, market-neutral approach, Cyrus often exhibits long-volatility characteristics. Its capacity and diversification have grown in tandem with the expansion of China Stock Connect and QFII access, extending the universe of tradable equity pairs beyond 140 and spanning multiple industry sectors. In addition, the programme applies its systematic methodology to commodities—encompassing futures and options in energy, metals, and agricultural products—to exploit short-term pricing anomalies.