Helios Systematic
Market-neutral statistical arbitrage across 8 global equity markets. 3-day average holding period.
| Quarter | Quarterly return | Sharpe | vs bench (pp) |
|---|---|---|---|
| 2022 Q1 | -7.0% | 2.09 | -7.89 |
| 2022 Q2 | -6.6% | 2.02 | -7.60 |
| 2022 Q3 | -2.9% | 2.05 | -3.97 |
| 2022 Q4 | +1.4% | 1.72 | +0.70 |
| 2023 Q1 | +3.4% | 2.08 | +2.11 |
| 2023 Q2 | -1.8% | 1.73 | -2.48 |
| 2023 Q3 | +2.9% | 1.88 | +2.28 |
| 2023 Q4 | +0.2% | 1.74 | -1.22 |
Monthly liquidity, 30-day notice.