Data Collection & Analysis
As historic returns on a naïve trading strategy mirroring all directors’ dealings are substantially in line with S&P 500 index returns, further analysis is required to distinguish meaningful and meaningless transactions. In the US, the first legislation pertaining to insider trading was introduced with the 1934 Securities Exchange Act. The early adoption of such laws enables the ADAS fund strategy to be based on analyses of a wealth of historical data leading to a sophisticated understanding of different categories of directors’ dealings. Accordingly, only a subset of all directors’ dealings are taken into account to inform profitable trades. This allows the fund strategy to outperform its benchmark over the long run while keeping the volatility at comparatively lower levels. All transaction data is directly collected from the Securities and Exchange Commission (SEC) and stored on Altana Wealth servers for analysis and trading purposes. The data is collected in real time on a continuous basis.
The algorithm which is used to decide on the informativeness of directors’ dealings is based on a broad range of proprietary research. Most recent research, for instance, revealed that in the US, director sentiment in terms of aggregated number of shares traded can significantly predict future market returns.