Innolab Capital Alpha

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Innolab Capital Alpha Overview

A SHOCK-ABSORBER

The Innolab Capital Alpha fund is market neutral and seeks to produce returns that are independent of market behavior, while still exhausting a risk budget of 10% annually. It has, historically, been extremely robust during stress periods for equities and can act as a “shock-absorber” for a larger portfolio.

Strategy

  • Universe of 80 global liquid instruments divided in three legs (41 indices, 12 bonds and 27 commodities).
  • Beta and cash neutral (50/50).

Objective

  • Long-term growth of capital that cannot be explained by traditional equity, fixed income beta and standard risk-premia exposure.

Approach

  • Deep learning is used to rank assets in each leg.
  • Portfolio weights are balanced via risk parity.
  • Beta neutral and controlled for net long/short dollar exposure.
  • Fund is deployed as an autonomous self-healing system.
  • Large datasets, heavy regularization and back testing using cross-validation.

Interested in knowing more

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