Innolab Capital Alpha
Innolab Capital Alpha Overview
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.
- Universe of 80 global liquid instruments divided in three legs (41 indices, 12 bonds and 27 commodities).
- Beta and cash neutral (50/50).
- Long-term growth of capital that cannot be explained by traditional equity, fixed income beta and standard risk-premia exposure.
- Trained on +100.000 stocks and futures from 1985-2016.
- 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.
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