Rcube Asset Management : Aquanthus - Premia Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 4.91% Dec Performance 2.51% Min Investment $ 500k Mgmt. Fee 1.50% Perf. Fee 15.00% Annualized Vol 8.51% Sharpe (RFR=1%) 0.89 CAROR 8.52% Assets $ 24.5M Worst DD -7.06 S&P Correlation 0.48 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since2/2016 Aquanthus - Premia Program 2.51 2.78 4.91 4.91 15.73 - - 49.47 S&P 500 3.71 11.69 16.26 16.26 40.48 - - 92.41 +/- S&P 500 -1.20 -8.90 -11.35 -11.35 -24.74 - - -42.94 Strategy Description SummaryAquanthus 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 $ 500k CTA Max Funding Factor 3.00 Management Fee 1.50% Performance Fee 15.00% 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 1500 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% SummaryAquanthus 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 StrategyAquanthus 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 ManagementThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -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 -3.96 1 9 2/1/2020 3/1/2020 -2.50 1 1 5/1/2017 6/1/2017 -1.50 1 3 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 Show More 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 6.53 5 10/1/2019 2/1/2020 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 3.79 2 11/1/2020 12/1/2020 3.68 2 7/1/2020 8/1/2020 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 0.40 1 4/1/2020 4/1/2020 Show More 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 -3.96 1 3/1/2020 3/1/2020 -3.19 2 9/1/2020 10/1/2020 -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 -0.31 2 5/1/2020 6/1/2020 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year Number of Periods59.0057.0054.0048.0042.0036.0024.00 Percent Profitable59.3271.9381.4891.67100.00100.00100.00 Average Period Return0.712.004.028.2212.7516.4225.54 Average Gain2.263.775.419.2712.7516.4225.54 Average Loss-1.54-2.54-2.10-3.31 Best Period7.2811.6414.4920.9423.8230.7733.86 Worst Period-4.49-5.85-5.48-5.862.949.6012.95 Standard Deviation2.463.944.766.045.285.465.65 Gain Standard Deviation1.812.974.045.125.285.465.65 Loss Standard Deviation1.201.952.101.90 Sharpe Ratio (1%)0.260.450.741.192.132.643.98 Average Gain / Average Loss1.471.492.572.80 Profit / Loss Ratio2.143.8111.3330.81 Downside Deviation (10%)1.452.252.262.680.950.160.70 Downside Deviation (5%)1.281.781.411.33 Downside Deviation (0%)1.231.681.251.07 Sortino Ratio (10%)0.210.340.681.205.4439.7513.95 Sortino Ratio (5%)0.490.982.505.42 Sortino Ratio (0%)0.581.203.237.70 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. 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