Our quantitative strategies apply a systematic investment process to a diversified universe of liquid financial instruments, which include equities, currencies, and commodities in the spot and derivatives markets.
The strategies operate “around the clock” with a short to medium-term investment horizon, typically holding positions for a few days to a few weeks depending on market conditions and volatility, which allows for maximized portfolio liquidity and dynamic risk management.
AENAON Currencies is a directional systematic strategy trading FX currency pairs in the spot and derivatives markets.
The strategy employs a set of quantitative models, including a proprietary pattern recognition module that produces high-confidence price forecasts by identifying and analyzing repeatable patterns in the historical price action of financial instruments.
Philosophically, the strategy draws inspiration from the Fractal Market Hypothesis, building on which we are able to identify and catalog more than 1,200 proprietary technical patterns.
AENAON Equities is a market-neutral systematic strategy trading US stocks in the cash and derivatives equities markets.
The strategy employs a set of quantitative models, including a proprietary market-neutral pairs trading model that identifies pairs of assets that have historically moved together and aims to take advantage of instances where there is relative mispricing between them.
The model improves upon the traditional pairs trading approach by utilizing advanced pre-processing techniques, which significantly increase the signal-to-noise ratio in many constructed pairs, and induce robustness and smoothness in their dynamics. Overall, this results in a more stable risk-adjusted performance.
AENAON Diversified is a systematic strategy trading a multi-asset portfolio of currencies, equities, and commodities in the spot and derivatives markets, to create a more nimble and broadly diversified portfolio.
The investment program is a blend of various proprietary strategies which employs an additional “dynamic allocation” layer at the portfolio level. This additional layer allows the strategies to be optimally blended together and delivers higher risk-adjusted returns while keeping volatility and correlation figures considerably low.
