ATneos Global Mean-Reversion Equity/Bond Asset Allocation Models
The ATneos Global Equity/Bond Asset Allocation Models utilize the latest algorithmic investment technologies to determine the optimal time to allocate between broad regional equities and local currency, longer duration treasury bonds. Millions of calculations are undertaken in real-time to determine entry and exit points for futures contracts or ETF funds. Allocations can range from100% equity to100% bond exposures.
ATneos models quantify a seven stage investment process into an automated fund management algorithm.
Quantitatively measure past volatility over the short and medium-term and establish an underlying trend
Establish whether Equity market prices have moved beyond reasonable limits from these volatility bounds
Should the Equity price meer oversold criteria, begin to phase in Equity purchases and sell Bonds
Phasing in and out quantities and maximum equity allocation is determined by the risk preference of the investment manager
Continue to build Equity positions as long as the oversold criteria are met and entry prices are equal to or lower than the first equity purchase level
Maximum and minimum allocations to equities and bonds are determined by the investment manager
Equity positions are phased out or sold when a neutral or overbought criterion is met
ATneos separates the overbought/oversold element and execution process to allow investment managers to implement their decisions with greater autonomy. ATneos presents the first as a single indicator where a figure <0% represents an oversold market and >100%, overbought.
This investment process remains unchanged, freeing up the manager to execute efficiently, focus on qualitative or macro views to further enhance fund performance.
For the S&P 500 index, possibly the most liquid and most traded market, the relationship between the level of the indicator and future price movements appears statistically significant. Combined with an effective execution strategy, optimal outcomes can be achieved.
The choice of ETF is decided by the manager but the ATneos reference portfolio uses the largest and most liquid regional exposure ETFs and the most liquid long-term government bond ETFs. Executions are carried out automatically during the final hour of the trading day.
These allocations are for research use only and do not offer investment advice or recommendations in any way.