--------- STRATEGY 02
ART Short Term Systematic
Trend following futures strategy combined with a volatility trading overlay
Combines uncorrelated strategies for a balanced return profile
STRATEGY TYPE
Volatility Arbitrage / Relative Value
ROLE IN PORTFOLIO
Absolute Return / Uncorrelated Alpha
Long Volatility Futures & Relative Value Options
Two opposing strategies combine to create a balanced return profile
This is weekly data extracted from a fund sub-advised by AAA. It does not reflect the performance of a standalone account. This data reflects the performance of the ART Strategy after fees. Trading futures involves substantial risk of loss and is not suitable for all investors. Past performance is not indicative of future results. There can be no guarantee that the investor will recover the capital invested.
ART Short Term Systematic (monthly data)
38.5%
Annualized Return
1.11
Sharpe Ratio
-14.2%
Max Drawdown
This is live performance data derived from a fund account, sub-advised by AAA. Performance figures include manager fees but do not include fund specific fees. Performance fee calculation is influenced by start date of individual investors. Management fee is charged monthly to individual pool participants by the Pool Operator and fully distributed to AAA. Trading futures involves substantial risk of loss and is not suitable for all investors. Carefully consider the suitability based upon your experience, objectives, financial resources and other relevant circumstances. Past performance is not indicative of future results. There is no guarantee that the investor will recover the capital invested. This information is intended for Qualified Eligible Persons only.
A Balanced Risk Profile
Our short-term, trend following model is designed to detect and then profit from sudden, sharp price trends. This makes it a useful tool for hedging against stock market crashes, however it can also be used to add additional protection to a vol carry strategy.
Constructing a volatility arbitrage or relative value options portfolio can generate a positive carry, or yield, for investors. However, these profits can be quickly eroded in the event of a sudden market panic or sharp spike in volatility, even if the bulk of that risk is already pre-hedged.
By adding the short-term, trend following futures strategy to an options portfolio we can lessen the impact of sudden market crashes, thereby mitigating one of the largest risks.
By carefully balancing these two components we can partially offset the risks from both sides, thereby leading to a more stable return overall. Since both strategies have a positive expected return, combining the two yields a higher Sharpe than each individually.
The volatility risk is further hedged using VIX futures and longer dated, deep OTM puts such that the portfolio switches between vol carry and long convexity depending on the volatility regime.
ART Short Term Systematic is suitable for QEP investors who are looking for:
A proven source of alpha with strong risk management
A safer way to access the Volatility Risk Premium
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 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 Short Term Systematic 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.
