Aquantum : ACS Energies

Year-to-Date
3.38%
Sep Performance
3.31%
Min Investment
$ 5,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
8.17%
Sharpe (RFR=1%)
1.33
CAROR
12.21%
Assets
$ 47.9M
Worst DD
-3.60
S&P Correlation
0.10

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
1/2017
ACS Energies 3.31 -0.33 3.38 4.37 - - - 37.27
S&P 500 1.72 1.19 18.74 2.15 - - - 29.29
+/- S&P 500 1.59 -1.52 -15.36 2.23 - - - 7.98

Strategy Description

Summary

The ACS Energies is the energy only version of the ACS Program which trades the energy market components in a standalone program. ACS Energies is a systematic commodity market neutral trading program. It is statistical arbitrage in nature, by calculating and identifying statistical... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
4.00
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
2000 RT/YR/$M
Avg. Margin-to-Equity
6%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Energy Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Spreading/hedging
100.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

The ACS Energies is the energy only version of the ACS Program which trades the energy market components in a standalone program. ACS Energies is a systematic commodity market neutral trading program. It is statistical arbitrage in nature, by calculating and identifying statistical mispricing in the forward curve of the six major energy futures markets. Trading signals are primarily a function of supply and demand dislocations driven by seasonality and weather conditions, implied storage costs, idiosyncratic events (e.g., price shocks), and increasing/realizing convenience yields. Historically, the returns of the ACS Energies Program have been uncorrelated to the returns of other investments, including CTAs. The Program may combine multiple spread positions per market, each individual trade is implemented as an intra-market calendar spread. The average trade length for the Program is approx. 15 days while the holding period for all trades ranges from 1 to 20 days. Aquantum’s investment process is controlled by a set of rigorous risk management rules. One of those rules is that position sizes must be dynamic in order to produce a desired amount of return volatility.

   

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
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

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
-3.60 1 - 7/1/2019 8/1/2019
-2.44 1 6 5/1/2018 6/1/2018
-2.07 1 1 1/1/2017 2/1/2017
-1.61 1 1 3/1/2017 4/1/2017
-1.39 1 1 12/1/2018 1/1/2019
-1.09 1 2 10/1/2017 11/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
16.95 6 5/1/2017 10/1/2017
15.63 6 12/1/2017 5/1/2018
5.27 6 2/1/2019 7/1/2019
3.31 1 9/1/2019 9/1/2019
2.51 6 7/1/2018 12/1/2018
2.27 1 3/1/2017 3/1/2017
0.74 1 1/1/2017 1/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.60 1 8/1/2019 8/1/2019
-2.44 1 6/1/2018 6/1/2018
-2.07 1 2/1/2017 2/1/2017
-1.61 1 4/1/2017 4/1/2017
-1.39 1 1/1/2019 1/1/2019
-1.09 1 11/1/2017 11/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods33.0031.0028.0022.0016.00
Percent Profitable81.8280.6592.86100.00100.00
Average Period Return0.993.117.0715.1022.52
Average Gain1.664.187.6915.1022.52
Average Loss-2.03-1.32-1.04
Best Period8.0712.4121.4232.7033.20
Worst Period-3.60-3.39-1.711.124.15
Standard Deviation2.364.046.4310.479.32
Gain Standard Deviation2.033.756.2410.479.32
Loss Standard Deviation0.911.090.95
Sharpe Ratio (1%)0.390.711.021.352.26
Average Gain / Average Loss0.823.177.42
Profit / Loss Ratio3.6813.2396.42
Downside Deviation (10%)1.111.221.150.930.92
Downside Deviation (5%)0.970.820.46
Downside Deviation (0%)0.940.730.33
Sortino Ratio (10%)0.531.543.9910.8716.16
Sortino Ratio (5%)0.943.5114.35
Sortino Ratio (0%)1.064.2921.41

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.