Tracking CTAs since 1994
CTA Profiles
Tracking CTAs since 1994
Principal(s): Dennis Rivera
Strategy: S-Term Algorithmic / Short Volatiity Option
Request Disclosure Document
Sign Up to get Monthly Performance Reports by Email
Request Broker Assistance
Investment Restrictions: 4.7 Exempt - QEPs Only++
Statistical Report - Leaf Subscribers Only
Interested in New Manager Listings? Sign up to receive notifications.
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.
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.
Advanced Alpha Advisers, LLC ("Advanced Alpha") is registered as a Commodity Trading Advisor with the Commodity Futures Trading Commission and is a Member of the National Futures Association. The firm was created to advise and invest in uniquely specialized alternative strategies in managed futures for our family office and QEP investors.
Advanced Alpha aims to offer its client-investors access to our blended portfolio of quality sourced emerging managers that can meet the client's needs for wealth creation and preservation objectives.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | -3.18% | 3.22% | 1.28% | -9.00% | -7.89% | -9% | ||||||||
| 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% | |||||||||||
| Years | 2023 | 2024 | 2025 YTD |
|---|---|---|---|
| ROR | 5.59% | 26.57% | -7.89% |
| Max DD | 0.00% | -2.87% | -9.00% |
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.