Crédit Agricole Asset Management has launched the CAAM Funds Equity Statistical Arbitrage (EUR) within its Luxembourg range of international Sicav (open-ended) funds.
Crédit Agricole Asset Management has launched the CAAM Funds Equity Statistical Arbitrage (EUR) within its Luxembourg range of international Sicav (open-ended) funds.
The fund is a long short equity statistical arbitrage sub-fund, aimed at delivering performance that is as decorrelated as possible to market direction.
Long and short positions are selected according to statistical indicators based on the price of underlying assets.
This Ucits III compliant sub-fund aims to outperform the Euro OverNight Index Average, the effective overnight reference rate for Euro deposits, by more than 4.00 per cent per year over a minimum investment period of four years, within the scope of a predefined risk budget.
It aims to provide a solution to revised expectations in the context of very turbulent markets, responding to the needs of risk averse investors seeking constant control over risk concentration.
The investment process of CAAM Funds Equity Statistical Arbitrage (EUR) works within a framework of a systematic selection of long and short positions. The investment team allocates risk using mean reverting and momentum strategies, adjusting the weight of each according to market dynamics. Furthermore, taking into account that statistical models have their own biases, the investment team screens and identifies risk concentration at several levels (i.e. by global exposure, asset class, sector and/or individual stock) before deciding whether to hedge it or not.
This absolute return strategy, combining quantitative and discretionary management, is implemented by CAAM’s equity arbitrage team in Paris, comprising three managers and a quantitative analyst.
