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CalSprFndArb CL (II)

Strategy Performance
Ann. Ret.

-0.18%

Sharpe R.

-0.15

YTD Ret.

-0.14%

Max DD.

1.25%

NAV

0.9985

RFR

-0.14%

About The Strategy
Invest Asset(s): WTI Crude Oil Nearby and Forward Future Contract (CL)
Strategy Type: arbitrage/fndarb/calsprfndarb/
Strategy Conception: Based on the price spread relationship between future contracts with different expiration months, long or short the spread when it deviates from the norm.
Strategy Attributes: MAXE AI CalSprFndArb CL (II) uses self-developed Tailored Arbitrage Rule-Based model, combined with the Term Structure, to accurately and timely establish and adjust positions, enable investors to seize the arbitrage opportunities when assets deviates from normal relationships.
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