The medium risk equity arbitrage investment strategy is based on Innolab’s AI Research and Analysis module.
The strategy is characterized by the following:
An investment universe of +50 sector and worldwide country equity indices.
All assets are based on futures.
The security selection is based on pairs with a long/short position.
The pairs are selected based on a 3-month horizon.
A correlation between assets in a pair of at least 67%.
A confidence spread of minimum 12 points in each pair.
The portfolio holds 130 pairs on average with a leverage of approximately 130%.
The pairs are continuously monitored.
If the return exceeds the fixed stop loss or take profit settings the pair is liquidated. After three months the pair is re-evaluated. If the inefficiency still exists, the pair is re-balanced, otherwise it is liquidated.
Stable single digit returns (negative returns are possible).
Independent of equity market development.
Low correlation to global equities.
Pure alpha return and no beta.
The risk of the total portfolio is constantly measured.
The investment strategy can be implemented with or without stoploss and take profit parameters which can be offered in separate managed accounts through our fund management partner.
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