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Managed Futures
ART ST-Systematic Monthly Performance Report August 2024
August 2024
Advanced Alpha Advisers' strategy is comprised of two components: ART, a short-term (average 2 days), algorithmic, trend-following futures trading model, plus a short volatility option strategy, which sells options 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 Implied Volatility, which is often higher than Realised Vol