Aquantum : Aquantum Commodity Spread Program (ACS)

Year-to-Date
4.89%
Apr Performance
0.66%
Min Investment
$ 5,000k
Mgmt. Fee
1.75%
Perf. Fee
20.00%
Annualized Vol
11.74%
Sharpe (RFR=1%)
0.67
CAROR
8.54%
Assets
$ 100.9M
Worst DD
-20.40
S&P Correlation
0.16

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
7/2013
Aquantum Commodity Spread Program (ACS) 0.66 8.17 4.89 6.75 25.92 32.51 - 61.32
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 - 72.99
+/- S&P 500 -3.27 -0.77 -12.62 -4.50 -15.27 -22.28 - -11.67

Strategy Description

Summary

The ACS Program trades a commodity market-neutral system and is designed to exploit price dislocations in the forward structure of several commodity futures markets. Trading signals are primarily a function of implied storage costs, convenience yields, and trend. Historically, the... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 10k
CTA Max Funding Factor
4.00
Management Fee
1.75%
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
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
2700 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Arbitrage & Spread Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
10.00%
1-30 Days
90.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Spreading/hedging
100.00%
Strategy Pie Chart

Composition

Energy
50.00%
Grains
20.00%
Softs
20.00%
Livestock
10.00%
Composition Pie Chart

Summary

The ACS Program trades a commodity market-neutral system and is designed to exploit price dislocations in the forward structure of several commodity futures markets. Trading signals are primarily a function of implied storage costs, convenience yields, and trend. Historically, the returns of the ACS Program have been uncorrelated to the returns of other investments, including other CTAs.

Investment Strategy

While the Program may combine multiple spread positions per market, each individual trade is implemented as an intra-market calendar spread. Most spread positions target a risk-controlled exposure to realizing convenience yields. However, additional spreads may be used to hedge existing positions or reduce the exposure to adverse changes in the forward curve. Realizing convenience yields, which oftentimes result from idiosyncratic events such as extreme weather, are supposed to be a central return driver behind the Program.

Risk Management

Our 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, presently targeted at 10% per year for the ACS Program.

   

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
-20.40 11 15 11/1/2015 10/1/2016
-5.19 3 2 10/1/2018 1/1/2019
-3.57 2 3 2/1/2015 4/1/2015
-3.47 4 1 9/1/2014 1/1/2015
-2.97 5 2 2/1/2018 7/1/2018
-2.69 2 2 10/1/2013 12/1/2013
-2.68 1 3 7/1/2015 8/1/2015
-1.67 2 3 4/1/2014 6/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
16.67 4 5/1/2017 8/1/2017
15.53 4 1/1/2014 4/1/2014
15.01 3 12/1/2017 2/1/2018
9.41 3 7/1/2014 9/1/2014
8.29 4 7/1/2013 10/1/2013
8.17 3 2/1/2019 4/1/2019
5.74 3 5/1/2015 7/1/2015
5.65 3 8/1/2018 10/1/2018
5.54 1 11/1/2015 11/1/2015
5.08 1 2/1/2015 2/1/2015
4.60 1 11/1/2016 11/1/2016
3.49 1 1/1/2017 1/1/2017
3.38 1 10/1/2017 10/1/2017
2.09 1 9/1/2015 9/1/2015
1.72 1 3/1/2017 3/1/2017
1.43 1 7/1/2016 7/1/2016
1.38 1 9/1/2016 9/1/2016
1.10 1 1/1/2016 1/1/2016
0.61 1 4/1/2018 4/1/2018
0.26 1 11/1/2014 11/1/2014
0.18 1 12/1/2018 12/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.86 5 2/1/2016 6/1/2016
-9.82 1 10/1/2016 10/1/2016
-4.70 1 9/1/2017 9/1/2017
-3.57 2 3/1/2015 4/1/2015
-3.54 1 12/1/2015 12/1/2015
-3.17 2 12/1/2014 1/1/2015
-3.03 1 1/1/2019 1/1/2019
-2.69 2 11/1/2013 12/1/2013
-2.68 1 8/1/2015 8/1/2015
-2.62 1 4/1/2017 4/1/2017
-2.40 1 11/1/2018 11/1/2018
-2.35 1 8/1/2016 8/1/2016
-2.10 1 3/1/2018 3/1/2018
-1.67 2 5/1/2014 6/1/2014
-1.63 1 10/1/2015 10/1/2015
-1.49 3 5/1/2018 7/1/2018
-1.30 1 12/1/2016 12/1/2016
-0.73 1 11/1/2017 11/1/2017
-0.68 1 2/1/2017 2/1/2017
-0.57 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 Periods70.0068.0065.0059.0053.0047.0035.0023.00
Percent Profitable57.1461.7672.3172.8867.9272.3491.43100.00
Average Period Return0.742.063.917.7710.7511.9310.9123.85
Average Gain2.825.297.3313.6419.6819.6412.1623.85
Average Loss-2.10-3.16-5.03-8.03-8.16-8.23-2.33
Best Period10.9016.3018.8230.0035.8841.4325.9241.03
Worst Period-9.82-10.72-13.19-16.74-16.06-14.60-3.9715.85
Standard Deviation3.395.627.3012.4515.3916.257.775.30
Gain Standard Deviation2.704.475.098.539.3111.966.895.30
Loss Standard Deviation1.882.453.705.504.553.221.61
Sharpe Ratio (1%)0.190.320.470.540.600.611.013.73
Average Gain / Average Loss1.341.671.461.702.412.395.23
Profit / Loss Ratio1.852.713.804.575.116.2455.74
Downside Deviation (10%)2.013.114.427.459.3610.358.701.85
Downside Deviation (5%)1.842.583.475.466.025.641.75
Downside Deviation (0%)1.802.463.255.025.264.620.78
Sortino Ratio (10%)0.170.270.330.370.340.16-0.561.24
Sortino Ratio (5%)0.360.700.981.241.541.764.50
Sortino Ratio (0%)0.410.841.201.552.052.5813.95

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 9 3.04 9/2018
Systematic Trader Index Month 9 3.04 9/2018
IASG CTA Index Month 6 10.90 1/2018
Systematic Trader Index Month 6 10.90 1/2018
Systematic Trader Index Month 2 8.28 8/2017
IASG CTA Index Month 4 8.28 8/2017
Systematic Trader Index Month 2 4.94 6/2017
IASG CTA Index Month 4 4.94 6/2017
Systematic Trader Index Month 8 3.49 1/2017

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