ARTAIS Model Update - John Rothe | Portfolio Manager, Quant, Tech Geek, And Sometime Superhero To My Kids

ARTAIS Model Update

The ARTAIS Fund investment strategy is a blend of three investment models. By using a multi-model approach, the Fund is able to focus on an absolute return strategy.

In addition to historical data and current events, there are three investment models that strongly influence our strategy:

Currently ARTAIS is invested like this:

Historical Market Volatility – As markets become more volatile, investor fear rises. This model uses historic data on volatility to gauge when fear is greatest in the market or, likewise, when investors are comfortable investing in the S&P 500 or  Nasdaq 100 – or would prefer to move to safe-haven investments such as gold or cash.

 

-Currently, this model is holding SPX, QQQ and cash:
Long/Short Traditional – Based on traditional technical analysis, this model utilizes Fibonacci numbers, Elliot Wave theory and market trends. Why? Today, more and more trading is done by electronic trading systems, which require specific buy-and-sell “signals” be programmed into the trading system. A majority of automated trading systems use traditional technical analysis to program these signals. This model offers important data to determine whether to go long or short the S&P 500, Nasdaq 100, US Dollar and US Treasury Bills.

 

– Currently this model is long only. ARTAIS is holding SPX, SSO (SPX 2x) ETFs, and UUP (US Dollar Index):

Seasonal Trends – Historical patterns in the market have shown that certain times of year are stronger for the market than others. For example, the old Wall Street adage “Sell in May, and go away” does indeed hold some truth. Trading volume is typically lower over the summer months as traders and portfolio managers go on vacation.

 

This model, however, goes a bit deeper by also studying the historical strength of the various sectors of the market. For example, the technology sector tends to perform well at the end of the year and into the first month of a new year. Company budgets need to be used or lost, often precipitating large tech purchases. There is also anticipation of new equipment purchases as new budgets begin in January. The seasonal trends model invests in energy, technology and gold, and moves to cash during the summer months.

 

-this model is invested is in cash (money market) during the summer months.

 

Why use multiple models? Because no model works 100% of the time. By incorporating three models (along with historical data and constant monitoring of current market conditions) into one portfolio, ARTAIS gives investors not only diversification among asset classes, but diversification among investment methodology.

 

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