Our systematic strategies are deployed in two different “versions”: the Absolute Return and Vanilla return profiles. Quite simply, the difference between these profiles is that the Absolute Return version applies a simple, yearly reinvestment of profits at the end of each 12-month period while the Vanilla version never reinvests any yearly profits, which are available to be withdrawn or reallocated elsewhere.
AENAON Syncro Equities uses a speculative investment strategy that looks for pairs of assets that historically have moved together and tries to exploit cases of relative mispricing.
More specifically, it assumes that a long-term pricing relationship exists between the two stocks and that the time series of their price spread is stationary. If their spread deviates from its long-term mean by more than a pre-specified threshold, the system shorts the asset which is overpriced and goes long the relatively underpriced one. When the spread converges to its long-term mean the system exits the position, making a profit.