AI Equity Arbitrage Investment Strategy

The strategy

Innolab has developed a special equity long/short market neutral investment strategy based on pairs trading.  The portfolio consists of up to several hundred arbitrage pairs (long and short position) with the purpose of reducing the risk in the portfolio as a whole. 

Examples of various risk versions can be found in the table below including links to selected fact sheets. The strategy can be provided with different risk levels defined by our clients and is offered as managed account in partnership with our partners GRIT Fund Management Company and Estlander & Partners. 

Volatility, Sharpe and Drawdown are from the period 1 Jan 2017 – 31 Jan 2021.

Low risk

Stop loss Take profit Volatility Sharpe Drawdown YTD 1Y 3Y 2017 More information
2.6% 1.32 -2.2% -0.5% 6.5% 3.7% 3.4%
2.4% 1.51 -1.1% -0.7% 7.1% 3.7% 3.7%
2.6% 1.35 -2.0% -0.5% 6.3% 3.8% 3.6%
2.4% 1.36 -1.2% -0.8% 5.3% 3.2% 3.3%

Medium risk

Stop loss Take profit Volatility Sharpe Drawdown YTD 1Y 3Y 2017 More information
7.9% 1.32 -6.0% -1.8% 20.6% 12.0% 10.7%
7.7% 1.44 -3.6% -2.1% 23.1% 12.0% 11.4%
8.2% 1.32 -5.7% -1.8% 19.9% 12.1% 11.1%
7.6% 1.40 -3.7% -2.4% 18.2% 10.9% 10.9%

High risk

Stop loss Take profit Volatility Sharpe Drawdown YTD 1Y 3Y 2017 More information
16.4% 1.40 -11.4% -4.0% 44.1% 26.8% 24.0%
16.1% 1.41 -7.4% -4.8% 45.9% 24.7% 23.8%
16.7% 1.31 -11.3% -4.8% 36.1% 24.1% 22.6%
15.8% 1.36 -7.9% -5.3% 33.6% 21.9% 22.4%

 

GRIT Innolab AI Equity Arbitrage AIF

Invest in the market neutral fund with extreme low correlations to equitites.

Learn More