Anello Asset Management LLP

AAM Diversified Futures Program (Prop)

Minimum Investment
Management Fee 2.00%
Performance Fee 20.00%


In 2000 Stuart Barron embarked on a project to discover whether or not it was possible to design a model capable of successfully trading the US stock market, specifically the Dow Jones Industrial Average. To begin with he looked at the daily open, high, low and closing prices for the Dow Jones Industrial Average from the year 2000 back to 1896. He then began an analysis of this data to determine if this market moved in the same fashion at the start of this century as it did over 100 years ago. It quickly became obvious that, indeed, it did.        This inevitably led to the following question: Do other markets – such as Crude Oil or Corn – behave in a similar fashion to a stock index? To answer this question Stuart decided to perform an intensive analysis into the way in which specific futures markets move. After collating the data – from the 1970’s onwards - on approximately nineteen different futures markets spanning Stock Indices, Bonds, Currencies and Commodities to see if there were any similarities in the way in which markets behave. The results clearly demonstrated that the price action in commodities was indeed similar to that of stock indices, and also to that of bonds and currencies. It was immediately apparent that due to these similarities it would be possible to devise a system that could be used to successfully trade any active and liquid futures market.   It is important to highlight that there is, however, one important difference. While all markets are traded in exactly the same fashion from the long side, the commodity markets prove an exception to the rule when trading the short side. Price history – by that we mean the 1970’s to 2004 – suggests that commodity markets tend to fall in price precipitously after an extended period of rising prices. This point has been confirmed by actual trading experience over the past five years. Because of this characteristic, the system has been designed to try to catch these sudden changes in trends.