ABCA INFERENCE trades mainly on the American and European markets for futures contracts. The approach is purely quantitative and is based on our "statistical arbitrage" proprietary models. It uses a systematic investment process applying theories of mean reversion to correlation and timing relationships between futures contracts and other instruments.
Each futures contract is assigned a basket of other instruments which serve as inputs to determine deviations in price formation. Depending of the origin of the deviation, a trade could either exploit mean-reversion phenomena or lead-lag effects. The return to normality, being a statistical expectation, may not occur. Positions can be unwound either within seconds, minutes, or days following their initiation.
Although inputs are diversified, no hedging position is taken on them. This,
together with the limited range of liquid international futures contracts, implies a likelihood of concentration on one or several futures contracts. As such, the fund permanently carries directional market exposure, though there is no rule as to whether this may have a long or short bias. The global exposure is managed by a risk model with the purpose of optimizing position sizes in order to limit portfolio exposure to the market relative to the probability of deviation capture.
The fund's investment strategy is designed to generate returns that are independent from market trends.