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ShortStatArb CL (I)

Strategy Performance
Ann. Ret.

18.22%

Sharpe R.

11.03

YTD Ret.

6.51%

Max DD.

0.29%

NAV

1.0651

RFR

6.51%

About The Strategy
Invest Asset(s): WTI Crude Oil Nearby and Forward Future Contract(CL)
Strategy Type: arbitrage/statarb/shortstatarb/
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 ShortStatArb CL (I) uses self-developed Tailored Arbitrage Rule-Based model, combined with the statistical characteristics of WTI Crude Oil Nearby and Forward Future Contract(CL) 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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