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FutSpotFndArb SPY-ES (I)

Strategy Performance
Ann. Ret.

40.66%

Sharpe R.

50.75

YTD Ret.

30.74%

Max DD.

0.09%

NAV

1.3074

RFR

30.74%

About The Strategy
Invest Asset(s): S&P 500 ETF(SPY) and S&P 500 Index Future Contract(ESmain)
Strategy Type: arbitrage/fndarb/futspotfndarb/
Strategy Conception: Based on the nature of future prices returning to spot prices, long or short the basis when the future-spot relationship deviates from the norm.
Strategy Attributes: MAXE AI FutSpotFndArb SPY-ES (I) uses self-developed Tailored Arbitrage Rule-Based model, combined with the relationship between spot and future, 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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