Aquantum

ACS Energies

Year-to-Date
2.47%
Minimum Investment
$ 5,000,000
Management Fee 1.50%
Performance Fee 20.00%
Annualized Volatility 8.58%
Sharpe (RFR=1%) 0.90
CAROR 8.65%
Assets $60,000,000
Worst Drawdown -10.80
S&P Correlation -0.18

Summary

The ACS Energies is the energy only version of the ACS Program which trades the energy market components in a standalone program. ACS Energies is a systematic commodity market neutral trading program. It is statistical arbitrage in nature, by calculating and identifying statistical mispricing in the forward curve of the six major energy futures markets. Trading signals are primarily a function of supply and demand dislocations driven by seasonality and weather conditions, implied storage costs, idiosyncratic events (e.g., price shocks), and increasing/realizing convenience yields. Historically, the returns of the ACS Energies Program have been uncorrelated to the returns of other investments, including CTAs. The Program may combine multiple spread positions per market, each individual trade is implemented as an intra-market calendar spread. The average trade length for the Program is approx. 15 days while the holding period for all trades ranges from 1 to 20 days. Aquantum’s investment process is controlled by a set of rigorous risk management rules. One of those rules is that position sizes must be dynamic in order to produce a desired amount of return volatility.