ART S-Term Defensive
S-Term Algorithmic / Short Volatiity Option
The strategy is comprised of two components: 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 Realized 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.
| Program Statistics |
|
| Peak-to-Valley Drawdown (2) | -9.00% |
| From Mar 2025 to Apr 2025 | |
| Worst Month (Apr 2025) | -9.00% |
| Current Losing Streak | -3.86% |
| Average Monthly Return | 1.26% |
| Monthly Std. Deviation | 3.61% |
| Gain Deviation (15 months) | 1.81% |
| Loss Deviation (7 months) | 2.96% |
| Gain to Loss Ratio | 1.11 |
| Omega Ratio (5% Threshold) | 1.81 |
| Annualized Performance |
|
| Compound ROR (1) | 15.41% |
| Standard Deviation | 12.51% |
| Downside Deviation | 7.76% |
| Sharpe Ratio (3) 2% RF ROR | 1.18 |
| Sortino Ratio (4) 5% MAR | 1.85 |
| Calmar Ratio (5) | |
| Sterling Ratio (6) | 0 |
| Gain Deviation | 6.26% |
| Loss Deviation | 10.26% |
| Profit Loss Ratio | 2.39 |
| Investment Information |
|
| Program Start Date | Dec-2023 |
| Percent Discretionary | 10% |
| Percent Systematic | 90% |
| Currency Denomination - US Dollars | |
| Minimum Investment | $1,000,000 |
| Minimum Fund Investment | $100,000 |
| Management Fee | 1.00% |
| Incentive Fee | 0.00 |
| Margin | 15-30% |
| Round Turns per Million | 5,900 |
| NFA No: | #0505193 |
| 4.7 Exempt - QEPs Only | |
| Performance Since December 2023 | Track Record Compiled By: NAV Consulting |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | -3.18% | 3.22% | 1.28% | -9.00% | 3.48% | -2.10% | -0.40% | 1.61% | 3.04% | – | – | – | -2.69% | -9.00% |
| 2024 | -0.01% | 2.43% | 5.12% | 0.58% | -2.52% | 1.58% | 5.37% | 4.99% | -2.87% | 3.15% | 0.77% | 5.68% | 26.57% | -2.87% |
| 2023 | – | – | – | – | – | – | – | – | – | – | – | 5.59% | 5.59% | 0.00% |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
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