AI Enhanced Market Neutral

Systematic Alpha from Market Inefficiencies

Medium Frequency Statistical Arbitrage for Consistent, Non-Correlated Returns

The Opportunity in Modern Market Inefficiencies

The AlisAlpha AI-Enhanced Market Neutral is a medium-frequency, multi-factor statistical arbitrage strategy built to capitalise on today's market structure. The rise of zero-commission retail trading and large, momentum-driven funds has amplified behavioural biases, creating a continuous stream of transient mispricings as traders and simpler models overreact.
These inefficiencies, rooted in both behavioural and structural effects, are ideal for our AI Engine to identify. Our model is specifically designed to detect the statistical 'footprints' of large market participants and systematically profit from their inevitable reversions.

Objective

To deliver consistent, non-correlated returns by identifying and exploiting opportunities across liquid U.S. equities

Risk Management

The portfolio is constructed to be dollar-neutral (100% long / 100% short) to minimize market risk. An asymmetric long/short structure provides integrated risk control.

Performance Characteristics

The strategy targets a Sharpe Ratio of 1.5-2.0. Capital preservation is core, with a maximum backtested drawdown of less than 8%.

Systematic Edge

Our "Centaur" philosophy combines proprietary AI-driven signals with a disciplined, human-designed framework in a systematic and repeatable process.

A Disciplined, Rules-Based Process

Our investment process translates our philosophy into a scalable, investable strategy through three distinct stages:

AI Signal Generation:

Each day, our proprietary AI Equity Engine scores and ranks every share in the US 500 universe based on its expected performance outlook.

Portfolio Construction

On designated rebalance days, signals are translated into a target portfolio using conviction deciles and a rules-based framework to determine position sizes

Execution & Risk Overlay

The final portfolio (typically 100 longs, 200 shorts) is rebalanced monthly to be dollar-neutral. All trades are executed using MOC orders to ensure pricing consistency.

Strategy Track Record

Backtested and out-of-sample performance demonstrates the strategy's ability to generate consistent, risk-adjusted returns across diverse market regimes, including the inflationary pressures and rate-hike cycle of 2022

Annualised return targeting 12-15%.

1.5-2.0 Target Sharpe demonstrating stable alpha generation

Target Beta near 0.0, providing a genuine source of diversification.

Performance for the AI-Enhanced Market-Neutral strategy comprises: (i) Backtest from 1 Jan 2022 to 16 Jul 2024 (hypothetical; not traded); (ii) Out-of-sample, paper-traded implementation of the harmonized strategy specification (reported using the Index rules lockdown date of 16 Jul 2024) from 16 Jul 2024 to 14 Aug 2025 (illustrative; not independently calculated during this sub-period; not a live account); and (iii) Independent calculation of the strategy by IndexOne since 15 Aug 2025. There is no live performance yet; a proprietary pilot is being onboarded.
Backtested and paper-traded results have inherent limitations. Past performance is not a reliable indicator of future results. For professional/institutional investors only. See methodology/factsheet for fee and cost assumptions.
Market-Neutral’s formal spec was finalized in Jul 2025. For reporting consistency, OOS is presented using the 16 Jul 2024 harmonized spec date (identical construction rules to the Index aside from long/short neutralization and target gross exposure).1

Ideal for Sophisticated Allocators

The AI Enhanced Market Neutral strategy is designed for institutional investors seeking a genuine source of non-correlated alpha:

Pod Shops & Multi-Strategy Funds

Require adaptable, uncorrelated alpha sources to diversify portfolio returns.

Family Offices

Prioritise capital preservation, stable returns, and systematic risk management.

Insurance & Pension Funds

Value disciplined, rules-based investment approaches with low correlation to traditional market risk.

Why Choose AlisAlpha's Market Neutral Strategy?

Proprietary AI Edge

Our AI Equity Engine goes deeper into traditional market data to find complex patterns simpler models miss.

Rigorous Institutional Framework

The strategy benefits from the institutional infrastructure and oversight of Rezco Asset Management.

Transparency & Control

AI is a powerful signal generation tool, not a "black box" manager. Human oversight maintains ultimate control, ensuring a robust and logical process.

Systematic & Repeatable

The entire process, from signal generation to execution, is systematic and rules-based, designed for consistency and scalability

Take the Next Step

See how AlisAlpha's AI Enhanced Market Neutral strategy can provide your institution with a reliable source of non-correlated alpha.

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