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LongStatArb ES (II)

Strategy Performance
Ann. Ret.

10.58%

Sharpe R.

3.96

YTD Ret.

13.54%

Max DD.

1.9%

NAV

1.2179

RFR

21.79%

About The Strategy
Invest Asset(s): S&P 500 Index Nearby and Forward Future Contract (ES)
Strategy Type: arbitrage/statarb/longstatarb/
Strategy Conception: Based on the stable statistical relationship between different asset prices, such as the normal distribution of spreads, long or short the spread when it deviates from the norm.
Strategy Attributes: MAXE AI LongStatArb ES (II) uses self-developed Tailored Arbitrage Rule-Based model, combined with the statistical characteristics of S&P 500 Index Nearby and Forward Future Contract(ES) price, 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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