ATneos Systematic Strategies Test Data
ATneos test all strategies against a "what-if" benchmark. The benchmark is a series of histories, based on historical data, where strategis positions in long and short options or futures are executed at random. This eliminates the chance of "lucky fit" or "over optimised" back-tests and allows statistical significance to be calculated and anticipated alpha.
Strategic testing uses historical options pricing based on fair value inputs for volatility, interest rates, dividend yields etc and using an established Black-Scholes Options Valuation model. The same testing harness is used as the random series but with the strategically timed options or futures executions. Back-test methodology can be found in the Introductory Presentation
Transaction costs and fees are not included in any back-tests as manager leverage, delta limits and base direction need to be established.
These Factsheets represent operational Investment Strategies using evidenced execution prices (from December 2022 onwards). No costs or fees have been applied.
Past performance is not a guide to future performance and only the observed returns of each strategy will determine whether value is added over the long term (3 to 5 years).
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