RCUBE ASSET MANAGEMENT : Aquanthus - Premia Program

Year-to-Date
15.46%
Oct Performance
0.20%
Min Investment
$ 500k
Mgmt. Fee
1.50%
Perf. Fee
10.00%
Annualized Vol
9.06%
Sharpe (RFR=1%)
0.94
CAROR
9.47%
Assets
$ 6.5M
Worst DD
-7.06
S&P Correlation
0.57

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
2/2016
Aquanthus - Premia Program 0.20 -0.81 15.46 12.43 30.13 - - 40.38
S&P 500 2.04 1.92 21.16 12.01 41.41 - - 55.61
+/- S&P 500 -1.84 -2.73 -5.71 0.42 -11.28 - - -15.22

Strategy Description

Summary

Aquanthus Premia is a cross-asset risk premia investment strategy composed of four uncorrelated strategies using futures. The program is data driven and systematic, with automated signals and backtesting over 30y+.
The program targets yearly returns >10%, with a volatility... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
3.00
Management Fee
1.50%
Performance Fee
10.00%
Average Commission
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
RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
-7.05%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
20.00%
4-12 Months
20.00%
1-3 Months
30.00%
1-30 Days
30.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Composition

Stock Indices
30.00%
Interest Rates
25.00%
Currency Futures
15.00%
Precious Metals
10.00%
Energy
10.00%
VIX
10.00%
Composition Pie Chart

Summary

Aquanthus Premia is a cross-asset risk premia investment strategy composed of four uncorrelated strategies using futures. The program is data driven and systematic, with automated signals and backtesting over 30y+.
The program targets yearly returns >10%, with a volatility around 10% and a maximum drawdown of 15%. Aquanthus is distributed in managed accounts, supervised by regulated fund managers. The program requires $150k funding for a $500k nominal account.

Investment Strategy

Aquanthus Premia is a multi-strategy quantitative macro portfolio that focuses on high capital growth. It targets double-digit yearly returns with a Sharpe ratio larger than 1. The portfolio allocates capital across uncorrelated macro strategies that capture market risk premia. Current strategies include directional macro, trend following, volatility and mean reversion. We have an opportunistic approach in selecting and expanding our strategy universe. We invest in listed instruments diversified across asset classes. Our return / risk profile is achieved by controlling leverage and optimising risk allocation across strategies systematically.

Manager Biography

Olivier Alvarez has over 15 years experience in trading, risk management and quantitative analysis.He has been actively implementing his risk premia investment strategy through managed futures for his own account. Olivier was head of the quantitative team for BNP Paribas Asia - Fixed income. He also served as Managing Director at BGC Partners, a leading interdealer broker, where he oversaw the research and development of Capitalab, a fintech unit specialized in optimizing the regulatory capital of financial institutions. Olivier started his career in academia as an associate professor in Applied mathematics.
Olivier Alvarez graduated from Ecole Polytechnique. He holds a PhD in Applied Mathematics from University of Paris Dauphine and a MBA.

Risk Management

The risk parameters of the program are: a volatility < 10%, an average margin over equity < 10% (with a maximum of 15%) and a target maximum drawdown < 15%.
Aquanthus premia relies on several investment principles. First, diversifying across assets provides good risk adjusted performance and complementarity accross market cycles. Second, risk premia strategies extract most value from asset classes. Third, a daily stress signal reduce significantly downside risk of individual strategies. Finally, systematic trading ensures consistency of investment decisions.

   

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
-7.06 4 3 7/1/2016 11/1/2016
-7.02 11 2 1/1/2018 12/1/2018
-4.49 1 1 4/1/2019 5/1/2019
-2.50 1 1 5/1/2017 6/1/2017
-1.50 1 - 8/1/2019 9/1/2019
-1.21 2 1 2/1/2017 4/1/2017
-0.64 2 1 3/1/2016 5/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
14.76 7 7/1/2017 1/1/2018
13.59 4 1/1/2019 4/1/2019
10.16 2 6/1/2016 7/1/2016
7.83 3 6/1/2019 8/1/2019
5.50 1 2/1/2017 2/1/2017
4.70 1 12/1/2016 12/1/2016
4.16 2 2/1/2016 3/1/2016
2.22 1 5/1/2017 5/1/2017
1.69 1 5/1/2018 5/1/2018
1.10 2 7/1/2018 8/1/2018
0.81 1 3/1/2018 3/1/2018
0.20 1 10/1/2019 10/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.06 4 8/1/2016 11/1/2016
-6.51 4 9/1/2018 12/1/2018
-4.49 1 5/1/2019 5/1/2019
-2.50 1 6/1/2017 6/1/2017
-1.86 1 4/1/2018 4/1/2018
-1.50 1 9/1/2019 9/1/2019
-1.40 1 6/1/2018 6/1/2018
-1.21 2 3/1/2017 4/1/2017
-1.12 1 1/1/2017 1/1/2017
-0.83 1 2/1/2018 2/1/2018
-0.64 2 4/1/2016 5/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods45.0043.0040.0034.0028.0022.00
Percent Profitable57.7874.4277.5088.24100.00100.00
Average Period Return0.792.384.618.5313.2118.29
Average Gain2.504.156.6110.1113.2118.29
Average Loss-1.55-2.78-2.30-3.31
Best Period7.2811.6414.4920.9423.8230.77
Worst Period-4.49-5.85-5.48-5.862.949.60
Standard Deviation2.624.235.296.415.845.65
Gain Standard Deviation1.993.164.084.945.845.65
Loss Standard Deviation1.122.202.131.90
Sharpe Ratio (1%)0.270.500.781.182.002.88
Average Gain / Average Loss1.611.492.883.06
Profit / Loss Ratio2.214.349.9122.92
Downside Deviation (10%)1.452.302.523.100.970.14
Downside Deviation (5%)1.271.861.631.58
Downside Deviation (0%)1.231.761.451.27
Sortino Ratio (10%)0.260.500.851.145.7856.84
Sortino Ratio (5%)0.551.142.524.76
Sortino Ratio (0%)0.641.353.196.73

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.