Aequam Capital : Aequam Diversified UCITS Fund

archived programsClosed to new investments
Year-to-Date
N / A
Dec Performance
-1.94%
Min Investment
$ 250k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
12.48%
Sharpe (RFR=1%)
-0.07
CAROR
-0.68%
Assets
$ 4.5M
Worst DD
-27.30
S&P Correlation
-0.11

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Dec Qtr YTD 1yr 3yr 5yr 10yr Since
12/2010
Aequam Diversified UCITS Fund -1.94 - - - - -12.75 - -4.08
S&P 500 1.82 - - - - 78.02 - 175.45
+/- S&P 500 -3.76 - - - - -90.78 - -179.53

Strategy Description

Summary

Aequam Capital is an asset management firm founded by Arnaud Chrétien and his partners. It is registered and regulated by the Autorité des Marchés Financiers (“AMF”) - French Securities Regulator - and registered with the NFA-CFTC in the United States. Based in Paris, France since... Read More

Account & Fees

Type Fund
Minimum Investment $ 250k
Trading Level Incremental Increase $ 1k
CTA Max Funding Factor
Management Fee 1.50%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 500 RT/YR/$M
Avg. Margin-to-Equity 9%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 13.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 25.00%
1-3 Months 60.00%
1-30 Days 15.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Stock Indices
34.00%
Interest Rates
25.00%
Currency Futures
15.00%
Energy
8.00%
Grains
8.00%
Precious Metals
5.00%
Softs
5.00%
Composition Pie Chart

Summary

Aequam Capital is an asset management firm founded by Arnaud Chrétien and his partners. It is registered and regulated by the Autorité des Marchés Financiers (“AMF”) - French Securities Regulator - and registered with the NFA-CFTC in the United States. Based in Paris, France since 2010, we strive to help qualified and institutional investors reach their investment goals by offering our unique range of managed futures, the Aequam Diversified UCITS fund, custom mandates and Smart Beta products with exposure to the main equity, bond, currency and commodity markets, to generate superior long-term risk-adjusted returns. Aequam Capital believes that the main contributor to performance is often rooted in risk allocation systems. Unlike most other asset managers, which try to make fundamental economic predictions, we focus on capturing alpha through our proprietary quantitative investment process (“DyNA”) targeting optimal risk allocation. We invest in high-momentum assets with low-risk characteristics to tap into market cycles, and to avoid risk concentration and market correlation. The DyNA systematic approach is the product of extensive quantitative research, drawing on the broad experience and synergies generated by our fund managers, researchers and risk managers, and has been applied successfully to multiple asset classes. Aequam Capital’s investment ideas are tried and tested and have to make common financial and economic sense before they are implemented. Over time, this method delivers solid long-term profits for you at an acceptable level of risk. Aequam Capital’s governance and full understanding of the legal and regulatory challenges of the industry, combined with the value created by our research and investment process, help our clients achieve their goals and build a long-term relationship based on mutual trust. Arnaud Chrétien Founder & CIO of Aequam Capital

Investment Strategy

Conviction “It’s all about passionate people who care” The main source of long-term performance often proves to be the Risk Allocation system. That’s why Aequam Capital believes in targeting risk, delivering returns as the reward! Method Aequam Capital’s investment process develops a unique set of data on the main listed and liquid markets spanning the US, Europe and Asia, which is entered into our proprietary Dynamic Allocation system (“DyNA”). Our clients benefit from better market beta-exposure with lower risk. Driven by momentum, enhanced by an original risk-budgeting method, DyNA targets optimal risk allocation in multiple asset classes with the aim of favoring uncorrelated investment opportunities while avoiding risk concentration. There are four key steps in Aequam Capital’s investment process: Step 1 Calibration, selection of markets and definition of risk constraints - Primary criteria observed: diversification and liquidity of investments. The various markets are grouped into sub-sectors and sectors. - Main risk constraint used: an optimal VaR allocation is attributed to each market, sub-sector, sector and to the portfolio risk target Step 2 Processing of market data (input signal) Three filters are used to analyze each market, sub-sector and sector on a daily basis - trend - trend strength - risk appetite Step 3 Classification of the markets (output signal) Depending on the filter, each market is classified and - a buy, sell or flat position is set up - a score between 0 and 1 is assigned Step 4 Allocation of capital according to the portfolio’s risk budget target (VaR) - the allocation of risk per market is proportional to the score obtained by each market, sub-sector and sector Our investment method does not incorporate economic assumptions or return forecasts. We believe that proven investment ideas have to make financial and economic sense before they are implemented and that these ideas will be rewarded by solid long-term performances for our clients at an acceptable level of risk. Aequam Capital’s risk targets and controls are integral to the DyNA investment process. Aequam Capital’s firmly believes that quantitative research provides the most reliable source of information on market cycle behaviors and risk characteristics when driven by passionate people who care and focus on ideas that have to make financial and economic sense. Through rigorous scientific methods and innovative technology, the Research & Development team works to understand and convert financial market complexity into high-performance solutions for our clients. Aequam Capital’s research team contributes to innovation in finance by creating synergies with academics and industry insiders alike. Our team believes in the value of sharing its research and investment process, offering full transparency to our clients and regularly publishing academic articles. This ongoing pursuit of knowledge, drawing on the broad experience and generation of synergies by our fund managers, researchers and risk managers, allows Aequam Capital to create original trading systems with the aim of delivering strong, long-term results for you. Our publication and research synergies A selection of papers by researchers at Aequam Capital “A regularized version of the Kalman Filter for risk management and portfolio hedging”, December 2012 - By S. Darolles, P. Duvaut and E. Jay - Presented at the 6th CSDA Int. Conf. On Computational and Financial Econometrics, 1-3 Dec. 2012, Oviedo, Spain “Robust Portfolio Allocation with Systematic Risk Contribution Restrictions”, October 2012 - By S. Darolles, C. Gouriéroux and E. Jay, - Available online at: http://ssrn.com/abstract=2192399 “lq-regularization of the Kalman Filter for exogenous outlier removal: application to hedge funds analysis”, December 2011 - By E. Jay, P. Duvaut, S. Darolles, C. Gouriéroux - Presented at the 4th IEEE Int. Workshop on Comp. Adv. in Multi-Sensor Adaptive Proc. (CAMSAP), 13-16 Dec. 2011, Puerto Rico “Multi-factor models and Signal Processing Techniques: Survey and example”, September 2011 - By E. Jay, P. Duvaut, S. Darolles and A. Chrétien, - IEEE-Signal Processing Magazine, Vol. 28, No. 5, pp.37-48 , Sept. 2011 “BORD: Bayesian Optimum Radar Detection”, June 2003 - By E. Jay, J.P. Ovarlez, D. Declercq and P. Duvaut - Signal Processing, Vol. 83, No. 6, pp.1151-1162, June 2003 “Détection en environnement non-Gaussien” (Detection in a non-Gaussian environment), PhD Thesis, by E. Jay, June 2002 Also published by John Wiley & Sons in 2013 “Multi-factor models and signal processing techniques”, by S. Darolles, P. Duvaut and E. Jay Aequam Capital is the founder of QUANTVALLEY

Risk Management

Careful risk management is a core component of a robust investment process. This conviction forms the very foundation of Aequam Capital, and our DyNA risk allocation system is the main source of attractive risk-adjusted returns for our clients. The Risk Management team, overseen by the Internal Control and Compliance Officers, independently monitors portfolio risk profiles in real time with unlimited access to management and research resources.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-27.30 23 - 1/1/2015 12/1/2016
-16.12 37 6 4/1/2011 5/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
24.76 3 11/1/2014 1/1/2015
15.81 4 6/1/2014 9/1/2014
14.68 7 12/1/2012 6/1/2013
10.52 4 11/1/2015 2/1/2016
9.30 5 12/1/2010 4/1/2011
5.86 1 6/1/2016 6/1/2016
4.47 1 9/1/2015 9/1/2015
4.47 2 11/1/2011 12/1/2011
3.17 3 10/1/2013 12/1/2013
3.06 1 7/1/2015 7/1/2015
2.92 2 7/1/2011 8/1/2011
1.54 1 9/1/2016 9/1/2016
0.96 1 3/1/2015 3/1/2015
0.92 2 3/1/2014 4/1/2014
0.70 1 6/1/2012 6/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.07 3 4/1/2015 6/1/2015
-14.36 3 10/1/2016 12/1/2016
-8.97 3 7/1/2013 9/1/2013
-8.04 2 7/1/2016 8/1/2016
-7.50 2 1/1/2014 2/1/2014
-6.30 5 7/1/2012 11/1/2012
-6.03 3 3/1/2016 5/1/2016
-5.79 2 9/1/2011 10/1/2011
-5.45 2 5/1/2011 6/1/2011
-5.02 1 10/1/2015 10/1/2015
-4.65 1 8/1/2015 8/1/2015
-4.02 5 1/1/2012 5/1/2012
-3.81 1 5/1/2014 5/1/2014
-1.10 1 2/1/2015 2/1/2015
-0.39 1 10/1/2014 10/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods73.0071.0068.0062.0056.0050.0038.0026.00
Percent Profitable52.0546.4845.5948.3955.3656.0073.6896.15
Average Period Return0.010.220.792.163.306.567.4213.36
Average Gain2.616.349.6412.1211.9216.1513.4113.97
Average Loss-2.82-5.10-6.63-7.17-7.39-5.65-9.37-1.91
Best Period10.6824.7640.5139.1933.1230.1929.2529.43
Worst Period-6.90-15.07-20.03-15.99-18.55-21.98-12.79-1.91
Standard Deviation3.607.4911.5413.2113.0013.2912.166.86
Gain Standard Deviation2.485.9711.1512.2610.729.147.616.23
Loss Standard Deviation2.233.584.514.145.345.113.10
Sharpe Ratio (1%)-0.020.000.030.090.140.340.361.36
Average Gain / Average Loss0.931.241.461.691.612.861.437.31
Profit / Loss Ratio1.001.081.221.582.003.644.01182.86
Downside Deviation (10%)2.715.317.499.2811.0211.2914.1510.45
Downside Deviation (5%)2.524.696.206.566.916.076.551.19
Downside Deviation (0%)2.484.545.895.936.055.005.040.37
Sortino Ratio (10%)-0.15-0.19-0.22-0.31-0.39-0.33-0.59-0.78
Sortino Ratio (5%)-0.03-0.010.050.180.260.750.677.81
Sortino Ratio (0%)0.000.050.130.370.551.311.4735.66

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.