ART
The ART strategy is a fully algorithmic trading model applied to a portfolio of liquid futures contracts across multiple asset classes.
The model was developed by Swiss hedge fund, Quant Infinity Solutions, and has been trading live since 2011. The ART strategy uses thousands of individual algorithms, or signal functions, to identify short-term trending patterns in futures prices with a small allocation to mean reversion patterns. The average holding period per trade is just two days. The strategy generates uncorrelated returns due to its ability to go long or short the market and its constantly evolving pool of active algorithms. Risk-adjusted returns are further increased due to a sophisticated execution algorithm as well as a near-constant volatility control process.
The strategy has no benchmark and is designed to generate positive absolute returns in all market environments.
HISTORICAL ART INDEX PERFORMANCE
The strategy is particularly suitable for investors who wish to diversify their investments via a separately managed account and benefit from sustainable capital appreciation. The recommended period for investments is at least 2 years. While the model has continuously evolved over the past 11 years, the central theme of exploiting inefficiencies in short-term trending patterns in futures prices has remained. Over this time the realized Sharpe is 0.84 which corresponds to a return of 13.3% p.a. for 15.8% of annualized volatility. The ART strategy is offered to US investors via Advanced Alpha Advisers, a registered CTA.