The strategy is comprised of two components; ART, a short-term (average 2 day), algorithmic, trend following futures trading model, plus, a short volatility option strategy which sells options in order to earn the premium. The trend following model benefits from the documented existence of under and over reactions in futures prices leading to short term price trends. Meanwhile, as an option seller, the strategy benefits from the fact that Implied Volatility is very often higher than Realised Volatility. The strategy constructs weekly, combined trades to profit from these inefficiencies. The trades are applied to currency, equity, commodity and FI listed markets.

The strategy is designed to profit from two commonly observed, and negatively correlated, market inefficiencies. These are, the existence of short term price trends in futures markets, and the Volatility Risk Premium. These two inefficiencies pair well together because they pay out at different times, i.e. when volatility is high, the trend following futures strategy typically pays out, whereas when volatility is low, the short volatility options strategy typically pays out. This ensures a stable return schedule and mitigates extreme tail events.
The model is further refined by proprietary trade timing, allocation and execution procedures, as well as sophisticated, in-house risk management tools. The strategy has no benchmark and is designed to generate positive absolute returns in all market environments.




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 core futures trading element of the strategy has been running live for over 12 years, the current version of the ART strategy, including the option selling component, was the result of a significant evolution. The impact of this evolution was to bring the realised Sharpe ratio from ~0.80 for just the futures component, up to ~2.30 for the futures and options components combined. The ART strategy is offered to US investors via Advanced Alpha Advisers, a registered CTA.