Aquantum : Aquantum Global Systematic UCITS Fund (I)

archived programs
Year-to-Date
N / A
Feb Performance
3.97%
Min Investment
$ 500k
Mgmt. Fee
1.75%
Perf. Fee
20.00%
Annualized Vol
10.61%
Sharpe (RFR=1%)
-0.64
CAROR
-6.21%
Assets
$ 18.3M
Worst DD
-22.83
S&P Correlation
0.15

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
3/2013
Aquantum Global Systematic UCITS Fund (I) 3.97 2.02 - -9.09 -17.51 - - -17.51
S&P 500 -0.41 -7.12 - -8.19 27.57 - - 23.14
+/- S&P 500 4.38 9.15 - -0.91 -45.07 - - -40.64

Strategy Description

Summary

Aquantum Global Systematic (I) is a Luxembourg-registered UCITS fund offering investors access to the performance of Aquantum‘s AGS Program. Featuring a 12% p.a. volatility target, it combines a number of uncorrelated trading systems with the aim of generating attractive risk-adjusted... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.75%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

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

Trading

Trading Frequency
2600 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
4-12 Months
5.00%
1-3 Months
5.00%
1-30 Days
85.00%
Intraday
5.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
10.00%
Momentum
5.00%
Pattern Recognition
65.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Stock Indices
75.00%
Interest Rates
20.00%
Currency Futures
5.00%
Composition Pie Chart

Summary

Aquantum Global Systematic (I) is a Luxembourg-registered UCITS fund offering investors access to the performance of Aquantum‘s AGS Program. Featuring a 12% p.a. volatility target, it combines a number of uncorrelated trading systems with the aim of generating attractive risk-adjusted returns net of costs and fees. The Fund‘s performance is primarily driven by pattern recognition and short-term breakout models, enabling the Fund to produce positive returns in both trending and non-trending market environments. As a result, the returns of the Fund should be uncorrelated to the returns of other asset classes, including other CTAs. The Fund, whose investment process is surrounded and controlled by a set of rigorous risk management rules, may trade in a diverse list of futures contracts from sectors such as equities, bonds, currencies, and interest rates. Commodity markets are excluded from the fund. Since the Fund is not concentrated in long-term trend following strategies, the holding period per trade is comparatively short, averaging 8-9 days. Because many parts of the investment strategy are execution intensive, Aquantum employs proprietary execution algorithms to reduce slippage and improve the overall trade implementation process.

   

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
-22.83 32 - 4/1/2013 12/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
6.42 3 8/1/2013 10/1/2013
6.22 3 2/1/2015 4/1/2015
5.79 2 1/1/2016 2/1/2016
5.04 2 1/1/2014 2/1/2014
4.74 1 11/1/2014 11/1/2014
3.25 2 7/1/2014 8/1/2014
2.16 1 9/1/2015 9/1/2015
1.87 1 5/1/2014 5/1/2014
1.05 2 3/1/2013 4/1/2013
0.47 1 11/1/2015 11/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.58 4 5/1/2015 8/1/2015
-10.28 3 5/1/2013 7/1/2013
-8.15 2 9/1/2014 10/1/2014
-7.75 2 12/1/2014 1/1/2015
-3.87 2 11/1/2013 12/1/2013
-3.56 1 12/1/2015 12/1/2015
-2.94 1 6/1/2014 6/1/2014
-2.06 2 3/1/2014 4/1/2014
-1.86 1 10/1/2015 10/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods36.0034.0031.0025.0019.0013.00
Percent Profitable50.0035.2929.0316.000.000.00
Average Period Return-0.49-1.90-3.25-5.73-9.40-11.47
Average Gain2.042.803.014.63
Average Loss-3.01-4.46-5.81-7.70-9.40-11.47
Best Period4.976.424.807.17-0.76-4.70
Worst Period-6.56-10.80-12.36-17.59-18.34-16.58
Standard Deviation3.064.565.206.176.314.08
Gain Standard Deviation1.622.040.961.86
Loss Standard Deviation1.783.313.824.436.314.08
Sharpe Ratio (1%)-0.19-0.47-0.72-1.09-1.73-3.30
Average Gain / Average Loss0.680.630.520.60
Profit / Loss Ratio0.680.340.210.11
Downside Deviation (10%)2.715.277.6512.3018.0722.07
Downside Deviation (5%)2.514.606.178.9012.5214.04
Downside Deviation (0%)2.464.445.818.0911.2312.12
Sortino Ratio (10%)-0.33-0.59-0.75-0.87-0.94-0.98
Sortino Ratio (5%)-0.23-0.47-0.61-0.76-0.87-0.96
Sortino Ratio (0%)-0.20-0.43-0.56-0.71-0.84-0.95

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 9 4.97 2/2015

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