--------- STRATEGY 01
ART Reactive Trend
A short-term, trend following managed futures strategy
12 - 48 hour average holding period
STRATEGY TYPE
Short-term, trend following futures
ROLE IN PORTFOLIO
Alpha Generator / Diversifier / Tail Hedge
Effective across multiple environments
ART looks for short-term trends in equity and currency markets. It is market neutral, capable of producing returns in both up and down markets, but it tends to perform best during steep selloffs as this is when we observe the most persistent trends.
ART can be used to diversify a portfolio of equities or fixed income assets or it can be paired with other liquid alternative strategies. It has a maximum margin requirement of 20% of notional exposure.
This is based on hypothetical data extracted from a fund sub-advised by AAA. This data is presented net of fees. Trading futures involves substantial risk of loss and is not suitable for all investors. Past performance is not indicative of future results.
The ART Reactive Trend Strategy offers...
13.3%
Annual return
6.7%
Max drawdown
~0.0
Correlation to S&P 500
Based on data since July 2023. This hypothetical data was extracted from a fund sub-advised by AAA. This fund includes both futures and options. The ART Reactive Trend Strategy has not traded as a standalone account. This data is presented net of fees. Trading futures involves substantial risk of loss and is not suitable for all investors. Past performance is not indicative of future results.
Short-Term Trends
Over 15 years of researching and building trend following systems, we have repeatedly demonstrated that short-term trends are a persistent feature of public markets. These patterns have been profitably traded across dozens of liquid instruments and countless market regimes.
There are many ways to identify when a price trend might start or finish. Because of this, the ART strategy is constructed from thousands of individual signal functions which are then blended into a net live position and parameterized using the most advanced statistical learning techniques.
There is no need for manual interventions or macro predictions. A long-term outlook and a faith in the persistence of price trends has proven to be a profitable strategy over decades of historical data and live trading.
Although trends in some form are persistent, the exact nature can change as markets evolve and regimes shift. That is why we are constantly developing new signal functions and regularly re-optimizing our selected algos to ensure the model is best suited to the current environment.
ART Reactive Trend is suitable for QEP investors who are looking for:
A proven source of alpha with strong risk management
Short-term signals that are highly reactive to fast moving trends
Our Story
Our team is made up of experts in Machine Learning. This background taught us the importance of having big, reliable datasets when building models.
Shorter term models are built on bigger datasets because there are more historical observations available. This leads to more statistically robust signals.
We realized therefore that if trends do exist in prices, it’s the shorter-term trends that can be more conclusively proven and more accurately modelled.
The ART Reactive Trend Strategy was born from a desire to apply advanced statistical techniques to financial markets
--------- INVESTMENT TEAM
The people working for your returns
James Montlake
Portfolio Manager
• Responsible for creating and launching our investment products, as well as execution and business development.
• Experienced options trader and commodity swaps broker, having previously run a UK Government project to set up an OTC swaps market for tea producers in East Africa.
• Interests include snowboarding, guitar and craft tea.
Dennis Rivera
Company Director
• Responsible for business operations, distribution and regulatory compliance.
• Founded Advanced Alpha Advisers. Respected CTA advisor, experienced futures trader and previously member of the New York Cotton Exchange.
• Interests include Formula 1, baseball and his four beautiful grandchildren.
--------- STRATEGY MATERIALS
Documentation & resources
Strategy Tear Sheet
Strategy description plus monthly performance data, performance metrics and access details
Marketing Presentation
In-depth look at the ART Reactive Trend strategy and investment philosophy plus our team and our shared history
Disclosure Document
Full disclosure of Advanced Alpha Advisers LLC.
Strategy parameters, including minimum investment size, liquidity terms and fee calculation.
