Aquila Capital Concepts GmbH : AC Quant - Spectrum Fund EUR A

archived programs
Year-to-Date
N / A
Dec Performance
0.73%
Min Investment
$ 650k
Mgmt. Fee
1.75%
Perf. Fee
20.00%
Annualized Vol
14.56%
Sharpe (RFR=1%)
-0.53
CAROR
-7.52%
Assets
$ 2.4M
Worst DD
-35.93
S&P Correlation
-0.28

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
5/2011
AC Quant - Spectrum Fund EUR A 0.73 - - - - - - -18.81
S&P 500 2.36 - - - - - - 157.51
+/- S&P 500 -1.63 - - - - - - -176.31

Strategy Description

Summary

"AC Spectrum is an UCITS III CTA that trades stock index, bond, interest rate, currency, and commodity markets around the world. It takes long and short positions in liquid futures markets. A fully systematic approach combines trend, carry and correlation strategies. AC Spectrum's proprietary... Read More

Account & Fees

Type Fund
Minimum Investment $ 650k
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 Any Investor
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 Diversified 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

Technical
100.00%
Strategy Pie Chart

Composition

Interest Rates
38.00%
Stock Indices
25.00%
Other
25.00%
Currency Futures
12.00%
Composition Pie Chart

Summary

"AC Spectrum is an UCITS III CTA that trades stock index, bond, interest rate, currency, and commodity markets around the world. It takes long and short positions in liquid futures markets. A fully systematic approach combines trend, carry and correlation strategies. AC Spectrum's proprietary conviction weighted position sizing and volatility equalization systems optimize the fund's multi-strategy approach and ensure efficient risk control. The Fund targets a return of 18% to 20% per year with 15% 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
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Sharpe Ratio: (RF=1%)
Skewness:
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Compound RoR:
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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
-35.93 23 - 9/1/2011 8/1/2013
-6.35 2 2 1/1/0001 6/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
20.97 3 7/1/2011 9/1/2011
11.85 4 9/1/2013 12/1/2013
6.01 1 5/1/2012 5/1/2012
4.39 1 7/1/2013 7/1/2013
2.55 2 12/1/2011 1/1/2012
1.53 1 1/1/2013 1/1/2013
0.19 1 7/1/2012 7/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.31 5 8/1/2012 12/1/2012
-11.73 5 2/1/2013 6/1/2013
-8.82 3 2/1/2012 4/1/2012
-6.73 2 10/1/2011 11/1/2011
-6.35 2 5/1/2011 6/1/2011
-6.16 1 8/1/2013 8/1/2013
-5.85 1 6/1/2012 6/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods32.0030.0027.0021.0015.00
Percent Profitable40.6330.0022.229.520.00
Average Period Return-0.56-1.74-5.64-14.32-22.74
Average Gain3.526.938.475.41
Average Loss-3.36-5.45-9.67-16.40-22.74
Best Period9.9920.9714.145.52-11.71
Worst Period-6.43-14.60-19.69-26.72-32.48
Standard Deviation4.207.488.8510.606.58
Gain Standard Deviation2.756.693.220.16
Loss Standard Deviation2.253.864.738.776.58
Sharpe Ratio (1%)-0.15-0.27-0.69-1.45-3.69
Average Gain / Average Loss1.051.270.880.33
Profit / Loss Ratio0.720.540.250.03
Downside Deviation (10%)3.366.4211.4621.9230.99
Downside Deviation (5%)3.145.729.8518.4425.06
Downside Deviation (0%)3.095.549.4517.5923.61
Sortino Ratio (10%)-0.29-0.46-0.71-0.88-0.98
Sortino Ratio (5%)-0.21-0.35-0.62-0.83-0.97
Sortino Ratio (0%)-0.18-0.31-0.60-0.81-0.96

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.