Quantitative Futures & Options Strategy
Strategy Overview
The ART Short-Term Systematic Strategy is a quantitative futures and options strategy designed to capture short-term market opportunities while maintaining balanced exposure across changing volatility environments.
The strategy combines two complementary trading components:
• Short-term systematic momentum trading in futures markets
• Dynamically hedged option-selling strategies
By combining these components, the strategy seeks to generate returns in both trending and stable market environments, while reducing reliance on any single market regime.
The strategy is built on more than a decade of research into short-term trends and volatility behavior across global futures markets.
Strategy Concept
Most trading strategies fall into one of two categories:
Long volatility strategies
These benefit from strong price trends or increased market volatility.
Short volatility strategies
These typically perform better in stable or range-bound markets.
The ART strategy integrates both approaches in a single framework.
• The trend-following futures component seeks to profit from directional price movement.
• The option-selling component seeks to capture the volatility risk premium during stable market periods.
When combined, the two components can offset each other’s weaknesses and help produce more stable returns across market environments.
Strategy Components
Short-Term Trend Following
The strategy employs algorithmic models designed to identify short-term momentum in liquid futures markets.
When patterns of rising or falling prices are detected, the algorithms initiate positions accordingly. Typical holding periods are short, often lasting one to two days.
Markets traded may include:
• Equity index futures
• Currency futures
• Interest rate futures
• Commodity futures
Option-Selling Strategy
The second component involves selling short-dated options on the same underlying futures markets.
These options are typically:
• Short-duration (often one week to expiry)
• Far out-of-the-money strikes
• Structured as option spreads or strangles
The strategy seeks to capture the volatility risk premium, the observed tendency for certain options to be priced higher than their realized value at expiration.
Portfolio Construction
The strategy operates across multiple markets and trading models to diversify risk.
Portfolio construction may include:
• Multiple global futures markets
• Variations of the core algorithmic models
• Additional defensive algorithms designed to respond to extreme market conditions (such as volatility spikes)
This multi-layer structure helps distribute risk across markets and strategies.
Risk Management
Risk management is integrated throughout the strategy design.
Key controls may include:
• Algorithmic hedging of option exposure using futures positions
• Diversification across multiple markets
• Long-gamma and volatility protection protocols designed to cap potential losses
• Operational controls including redundant trading systems and pre- and post-trade risk monitoring
These safeguards are intended to manage exposure across changing market conditions.
Strategy Access
The ART Strategy is available to Qualified Eligible Persons (QEPs) through:
• Separately Managed Accounts (SMAs)
• A co-mingled fund structure
The fund structure is operated by ARB Fund Management, with Advanced Alpha Advisers, LLC acting as sub-advisor.
Important Risk Disclosure
Trading futures and options involves substantial risk of loss and is not suitable for all investors.
Past performance is not necessarily indicative of future results. There can be no assurance that any investment strategy will achieve its objectives or avoid losses.
This material is provided for informational purposes only and does not constitute an offer to sell or a solicitation to buy any investment product. Investment opportunities are available only through the appropriate disclosure documents and offering materials.