Adalpha Asset Management – Seeking Volatility
Disclaimer: While an investment in managed futures can help enhance returns and reduce risk, it can also do just the opposite and in fact result in further losses in a portfolio. In addition, studies conducted of managed futures as a whole may not be indicative of the performance of any individual CTA. The results of studies conducted in the past may not be indicative of current time periods.
“What just happened?” is becoming an all too common phrase for market watchers over the past few weeks. Whether it be the Fed Chairman giving a talk, interest rate behavior, or a short tweet from the President, markets have been responding aggressively. Over long periods of time all of these things could often be put on the category of “noise” but in the meantime anyone watching their portfolio can get an ulcer.
Gary Polony with Adalpha Asset Management views it differently. Since his Adalpha Short-Term Program began in 2003, he anticipated that market moves would continue to speed up due to technological advances and the evolution of electronic markets, so systems and trading needed to get faster as well. Now his fully automated program simply waits for the volatility expansion (explosion in some cases) and then looks for the subsequent compression as markets revert to their “normal” state. Given a short holding period of just a couple days it seems to be a winning strategy in the era of Trump with a 7.9% return YTD following a successful 15.46% in 2018 (past returns not indicative of future returns).
Adalpha Asset Management, LLC is an alternative investment management company that employs an institutional quality futures program designed to consistently produce high absolute returns adjusted for risk. The program is diversified, short-term and 100% systematic. It utilizes multiple momentum-based systems which incorporate price, time, volatility and pattern recognition into its dynamic models. These elements are combined to generate high probability directional trading signals, which attempt to capitalize on the many short-term trends that are present in most types of market environments. Qualified investors have the potential to achieve superior capital appreciation with sound risk management and low correlation to traditional investments, regardless of the overall direction of individual markets or asset classes.