RCUBE ASSET MANAGEMENT : Aquanthus - Premia Program

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.