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Paris-based LFIS Capital has launched a new market-neutral stat arb strategy within its Vision flagship AIF Sicav.
The $5.5bn firm announced the new statistical arbitrage long-short strategy focused on European equity markets started trading on Monday.
It has a highly granular portfolio in a market neutral style, targeting average volatility around 10% per annum, according to a statement.
It applies a multi-frequency approach, combining medium-frequency alphas with slower signals, designed to navigate various market environmentsm, and led by Jean-Michel Levy-Bruhl, who has been with LFIS since 2019 and has over 20 years of experience in medium-frequency trading.
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