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Aquantum

Aquantum Commodity Spreads (ACS) QEP only

Investment Strategy

The ACS Program is a systematic commodity market-neutral trading program. It is designed to benefitfrom price dislocations in the forward structure of numerous commodity 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.
While the ACS 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 ACS Program is 18-20 business days while the holding period for all trades ranges from 4 to sometimes more than 30 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.
Historically, the returns of the ACS Program have been uncorrelated to the returns of other asset classes (traditional as well as alternative, incl. commodities).

Performance (VAMI)

Monthly Returns

Fund Manager

Aquantum is an institutional asset manager and specialist strategy provider with a strict focus on absolute return trading strategies. Our edge is to trade seasonally recurring inefficiencies in the commodity markets which are caused by fundamental factors.
Aquantum maintains a strong emphasis on research in the areas of system development, trade implementation, and execution. We are convinced that trading innovations and technological improvements are central to the creation of absolute returns in the long-term. Our name derives from the words “Aqua,” representing liquidity and transparency, and “Quantum,” expressing our quantitative investment principles.
Aquantum was founded as a provider of passive strategies in late 2008 by former Winton Capital Senior Scientist Thomas Morrow who has an extensive history in systematic trading. After foundation of the regulated group entity Aquantum GmbH, first funds and managed accounts were launched in 2013. Aquantum GmbH is authorized and regulated by the German Bundesanstalt fuer Finanzdienstleistungsaufsicht (BaFin), is registered as a Commodity Trading Advisor (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association (“NFA”).
The Aquantum Group is team-owned, equity-funded, and hence fully independent. Our international team comprises seasoned professionals with successful track records in asset management and investment banking.

General Information

Inception DateJul 2013
Minimum Investment5,000,000 USD
Management Fee20.00%
Performance Fee1.50%
Highwater MarkYes
Phone+49 89 383 77 44 0
E-mail[email protected]
Websitewww.aquantumgroup.com

Statistics

Total Return Cumulative 61.42%
Sharpe Ratio 0.45
Sortino Ratio 0.63
Winning Months (%) 58.91%
Correlation vs. S&P 500 TR -0.05

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 -6.03 -2.37 -1.73 -9.84
2023 -2.63 -0.17 -0.05 -1.09 1.92 1.04 1.10 0.91 0.12 -1.01 4.33 0.54 4.96
2022 -5.57 -4.04 -8.33 9.54 0.68 0.56 4.94 0.16 6.10 1.79 1.37 1.66 7.77
2021 -2.37 0.69 1.24 2.14 0.73 1.89 1.93 1.76 -0.99 -0.62 0.22 0.89 7.66
2020 1.38 2.73 3.58 -8.42 2.20 -1.18 1.25 0.17 2.96 -0.56 0.33 1.74 5.76
2019 -3.03 3.20 4.13 0.66 -2.30 -2.57 -3.67 -1.97 -6.18 1.35 -0.70 1.59 -9.56
2018 10.90 2.51 -2.10 0.61 -0.45 0.00 -1.04 1.30 3.04 1.22 -2.40 0.18 13.96
2017 3.49 -0.68 1.72 -2.62 0.32 4.94 2.35 8.28 -4.70 3.38 -0.73 1.17 17.54
2016 1.10 -2.79 -0.69 -2.61 -0.30 -3.84 1.43 -2.35 1.38 -9.82 4.60 -1.30 -14.81
2015 -2.41 5.08 -0.97 -2.68 0.81 0.83 4.03 -2.68 2.09 -1.63 5.54 -3.54 3.98
2014 0.71 10.73 2.03 1.54 -1.45 -0.22 0.76 0.65 7.88 -0.57 0.26 -0.78 22.94
2013 3.95 1.64 1.40 1.08 -1.24 -1.47 5.38
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS IN TRADING FUTURES IS SUBSTANTIAL AND MAY EXCEED YOUR INITIAL INVESTMENT AND MARGIN FUNDS.
The ACS Program returns shown on this page represent the compounded composite live trading returns of all managed accounts and funds trading the ACS strategy. Performance is net of all expenses, management fees and performance fees. Trading related expenses include execution and clearing commissions as well as exchange fees and taxes/regulatory fees and amounted to on average 1.9% p.a. ($2.35 per lot (half turn)) since inception of the ACS Program. Composite return calculations are used to merge the net performance of individual managed accounts and funds into a single return number. In order to arrive at a representative composite number, each individual account is weighed by its size (trading level). Composite returns do not mirror the actual performance of a given managed account or fund. An individual managed account or fund may have realized more or less favorable results than those presented on this page, for instance due to investment timing and fee differences. Data is current as of date of publication (see above) and may be a MTD estimate.
THIS COMMUNICATION IS NOT AND MAY NOT BE CONSTRUED AS AN OFFER, SOLICITATION OR ADVICE TO INVEST IN ANY MANAGED FUTURES PRODUCT. ALL DATA IS PROVIDED FOR ILLUSTRATIVE PURPOSES ONLY AND NO RESPONSIBILITY IS ASSUMED FOR THE CORRECTNESS OR COMPLETENESS OF THIS DOCUMENT. FOR LEGALLY BINDING INFORMATION, PLEASE REFER TO THE DISCLOSURE DOCUMENT AND OFFICIAL OFFERING DOCUMENTS (E.G., OFFERING MEMORANDUM, FUND PROSPECTUS, MANAGED ACCOUNT AGREEMENT) WHICH CONTAIN A DETAILED DESCRIPTION OF RISK FACTORS.

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 Month Rolling ROR

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

AUM

Volatility (12 Months Rolling)

Risk/Return Comparison

Drawdown

Instruments

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS IN TRADING FUTURES IS SUBSTANTIAL AND MAY EXCEED YOUR INITIAL INVESTMENT AND MARGIN FUNDS.
The ACS Program returns shown on this page represent the compounded composite live trading returns of all managed accounts and funds trading the ACS strategy. Performance is net of all expenses, management fees and performance fees. Trading related expenses include execution and clearing commissions as well as exchange fees and taxes/regulatory fees and amounted to on average 1.9% p.a. ($2.35 per lot (half turn)) since inception of the ACS Program. Composite return calculations are used to merge the net performance of individual managed accounts and funds into a single return number. In order to arrive at a representative composite number, each individual account is weighed by its size (trading level). Composite returns do not mirror the actual performance of a given managed account or fund. An individual managed account or fund may have realized more or less favorable results than those presented on this page, for instance due to investment timing and fee differences. Data is current as of date of publication (see above) and may be a MTD estimate.
THIS COMMUNICATION IS NOT AND MAY NOT BE CONSTRUED AS AN OFFER, SOLICITATION OR ADVICE TO INVEST IN ANY MANAGED FUTURES PRODUCT. ALL DATA IS PROVIDED FOR ILLUSTRATIVE PURPOSES ONLY AND NO RESPONSIBILITY IS ASSUMED FOR THE CORRECTNESS OR COMPLETENESS OF THIS DOCUMENT. FOR LEGALLY BINDING INFORMATION, PLEASE REFER TO THE DISCLOSURE DOCUMENT AND OFFICIAL OFFERING DOCUMENTS (E.G., OFFERING MEMORANDUM, FUND PROSPECTUS, MANAGED ACCOUNT AGREEMENT) WHICH CONTAIN A DETAILED DESCRIPTION OF RISK FACTORS.

Return Statistics

Last Month -1.73%
Year To Date -9.84%
3 Month ROR -9.84%
12 Months ROR -2.61%
36 Month ROR 10.31%
Total Return Cumulative 61.42%
Total Return Annualized 4.55%
Best Month 10.90%
Winning Months (%) 58.91%
Gain Deviation 2.38

Risk Statistics

Standard Deviation Annualized 11.32%
Max Drawdown (Monthly) -20.40%
Max Drawdown Length 26
Worst Month -9.82%
Losing Months (%) 40.31%
Average Losing Month -2.42%
Loss Deviation 2.16
Correlation vs S&P 500 -0.05
Correlation vs DJ/CS MF 0.09

Risk/Reward Statistics

Sharpe Ratio 0.45
Sortino Ratio 0.63
Omega Ratio 0.70
Skewness 0.20
Kurtosis 2.18

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -20.40% 11 15 12/2015 01/2018
2 -18.45% 35 6 05/2019 09/2022
3 -9.84% 3 0 01/2024 -
4 -5.19% 3 2 11/2018 03/2019
5 -3.90% 4 3 01/2023 07/2023

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 10.90%-9.82%0.42%0.65%-1.73%58.91%
3 Months 16.30%-16.93%1.27%1.22%-9.84%62.20%
6 Months 23.68%-16.53%2.63%2.70%-6.39%64.52%
1 Year 30.00%-16.74%5.07%5.50%-2.61%65.25%
2 Years 41.43%-14.64%8.46%8.95%22.76%68.87%
3 Years 25.92%-17.91%10.96%12.53%10.31%86.17%
5 Years 50.36%0.77%19.67%16.27%0.77%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg4.55%14.16%32.14%69.70%142.12%232.22%
% Positive58.91%62.20%64.52%65.25%68.87%86.17%
Avg. Pos. Period2.37%4.57%6.97%11.34%15.34%13.57%
Avg. Neg. Period-2.42%-4.16%-5.24%-6.69%-6.76%-5.32%
Sharpe Ratio0.450.781.201.612.193.93
Sortino Ratio0.631.151.983.226.3313.89
Standard Deviation3.27%5.64%7.60%10.91%13.35%9.65%
Downside Deviation2.06%3.33%4.12%4.85%4.19%2.62%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS IN TRADING FUTURES IS SUBSTANTIAL AND MAY EXCEED YOUR INITIAL INVESTMENT AND MARGIN FUNDS.
The ACS Program returns shown on this page represent the compounded composite live trading returns of all managed accounts and funds trading the ACS strategy. Performance is net of all expenses, management fees and performance fees. Trading related expenses include execution and clearing commissions as well as exchange fees and taxes/regulatory fees and amounted to on average 1.9% p.a. ($2.35 per lot (half turn)) since inception of the ACS Program. Composite return calculations are used to merge the net performance of individual managed accounts and funds into a single return number. In order to arrive at a representative composite number, each individual account is weighed by its size (trading level). Composite returns do not mirror the actual performance of a given managed account or fund. An individual managed account or fund may have realized more or less favorable results than those presented on this page, for instance due to investment timing and fee differences. Data is current as of date of publication (see above) and may be a MTD estimate.
THIS COMMUNICATION IS NOT AND MAY NOT BE CONSTRUED AS AN OFFER, SOLICITATION OR ADVICE TO INVEST IN ANY MANAGED FUTURES PRODUCT. ALL DATA IS PROVIDED FOR ILLUSTRATIVE PURPOSES ONLY AND NO RESPONSIBILITY IS ASSUMED FOR THE CORRECTNESS OR COMPLETENESS OF THIS DOCUMENT. FOR LEGALLY BINDING INFORMATION, PLEASE REFER TO THE DISCLOSURE DOCUMENT AND OFFICIAL OFFERING DOCUMENTS (E.G., OFFERING MEMORANDUM, FUND PROSPECTUS, MANAGED ACCOUNT AGREEMENT) WHICH CONTAIN A DETAILED DESCRIPTION OF RISK FACTORS.

Company Information

Minimum Investment5,000,000 USD (notional funding: 70.00%)
AUM5,000,000 USD
Management Fee20.00%
Performance Fee1.50%
Highwater MarkYes
RT per Million3500
Margin to Equity0.08%
Legal StructureManaged Account
Investment RestrictionOnly for Qualified Eligible Persons

Company Information

CompanyAquantum
Principal -
Phone+49 89 383 77 44 0
E-mail[email protected]
License NumberBaFin, CFTC/NFA 0495234 (NFA ID)
LocationMunich, Germany
Performance Compiled by -

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 -6.03 -2.37 -1.73 -9.84
2023 -2.63 -0.17 -0.05 -1.09 1.92 1.04 1.10 0.91 0.12 -1.01 4.33 0.54 4.96
2022 -5.57 -4.04 -8.33 9.54 0.68 0.56 4.94 0.16 6.10 1.79 1.37 1.66 7.77
2021 -2.37 0.69 1.24 2.14 0.73 1.89 1.93 1.76 -0.99 -0.62 0.22 0.89 7.66
2020 1.38 2.73 3.58 -8.42 2.20 -1.18 1.25 0.17 2.96 -0.56 0.33 1.74 5.76
2019 -3.03 3.20 4.13 0.66 -2.30 -2.57 -3.67 -1.97 -6.18 1.35 -0.70 1.59 -9.56
2018 10.90 2.51 -2.10 0.61 -0.45 0.00 -1.04 1.30 3.04 1.22 -2.40 0.18 13.96
2017 3.49 -0.68 1.72 -2.62 0.32 4.94 2.35 8.28 -4.70 3.38 -0.73 1.17 17.54
2016 1.10 -2.79 -0.69 -2.61 -0.30 -3.84 1.43 -2.35 1.38 -9.82 4.60 -1.30 -14.81
2015 -2.41 5.08 -0.97 -2.68 0.81 0.83 4.03 -2.68 2.09 -1.63 5.54 -3.54 3.98
2014 0.71 10.73 2.03 1.54 -1.45 -0.22 0.76 0.65 7.88 -0.57 0.26 -0.78 22.94
2013 3.95 1.64 1.40 1.08 -1.24 -1.47 5.38
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Strategy Description

The ACS Program is a systematic commodity market-neutral trading program. It is designed to benefitfrom price dislocations in the forward structure of numerous commodity 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.
While the ACS 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 ACS Program is 18-20 business days while the holding period for all trades ranges from 4 to sometimes more than 30 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.
Historically, the returns of the ACS Program have been uncorrelated to the returns of other asset classes (traditional as well as alternative, incl. commodities).

Return Statistics

Last Month -1.73%
Year To Date -9.84%
3 Month ROR -9.84%
12 Months ROR -2.61%
36 Month ROR 10.31%
Total Return Cumulative 61.42%
Total Return Annualized 4.55%
Best Month 10.90%
Winning Months (%) 58.91%
Gain Deviation 2.38

Risk Statistics

Standard Deviation Annualized 11.32%
Max Drawdown (Monthly) -20.40%
Max Drawdown Length 26
Worst Month -9.82%
Losing Months (%) 40.31%
Average Losing Month -2.42%
Loss Deviation 2.16
Correlation vs S&P 500 -0.05
Correlation vs DJ/CS MF 0.09

Risk/Reward Statistics

Sharpe Ratio 0.45
Sortino Ratio 0.63
Omega Ratio 0.70
Skewness 0.20
Kurtosis 2.18

Performance (VAMI)

Fund Manager

Aquantum is an institutional asset manager and specialist strategy provider with a strict focus on absolute return trading strategies. Our edge is to trade seasonally recurring inefficiencies in the commodity markets which are caused by fundamental factors.
Aquantum maintains a strong emphasis on research in the areas of system development, trade implementation, and execution. We are convinced that trading innovations and technological improvements are central to the creation of absolute returns in the long-term. Our name derives from the words “Aqua,” representing liquidity and transparency, and “Quantum,” expressing our quantitative investment principles.
Aquantum was founded as a provider of passive strategies in late 2008 by former Winton Capital Senior Scientist Thomas Morrow who has an extensive history in systematic trading. After foundation of the regulated group entity Aquantum GmbH, first funds and managed accounts were launched in 2013. Aquantum GmbH is authorized and regulated by the German Bundesanstalt fuer Finanzdienstleistungsaufsicht (BaFin), is registered as a Commodity Trading Advisor (“CTA”) with the Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association (“NFA”).
The Aquantum Group is team-owned, equity-funded, and hence fully independent. Our international team comprises seasoned professionals with successful track records in asset management and investment banking.

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -20.40% 11 15 12/2015 01/2018
2 -18.45% 35 6 05/2019 09/2022
3 -9.84% 3 0 01/2024 -
4 -5.19% 3 2 11/2018 03/2019
5 -3.90% 4 3 01/2023 07/2023

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 10.90%-9.82%0.42%0.65%-1.73%58.91%
3 Months 16.30%-16.93%1.27%1.22%-9.84%62.20%
6 Months 23.68%-16.53%2.63%2.70%-6.39%64.52%
1 Year 30.00%-16.74%5.07%5.50%-2.61%65.25%
2 Years 41.43%-14.64%8.46%8.95%22.76%68.87%
3 Years 25.92%-17.91%10.96%12.53%10.31%86.17%
5 Years 50.36%0.77%19.67%16.27%0.77%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg4.55%14.16%32.14%69.70%142.12%232.22%
% Positive58.91%62.20%64.52%65.25%68.87%86.17%
Avg. Pos. Period2.37%4.57%6.97%11.34%15.34%13.57%
Avg. Neg. Period-2.42%-4.16%-5.24%-6.69%-6.76%-5.32%
Sharpe Ratio0.450.781.201.612.193.93
Sortino Ratio0.631.151.983.226.3313.89
Standard Deviation3.27%5.64%7.60%10.91%13.35%9.65%
Downside Deviation2.06%3.33%4.12%4.85%4.19%2.62%

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

Drawdown

Volatility (12 Months Rolling)

Instruments

AUM

For the latest performance, please scan the image above with a QR Reader.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS IN TRADING FUTURES IS SUBSTANTIAL AND MAY EXCEED YOUR INITIAL INVESTMENT AND MARGIN FUNDS.
The ACS Program returns shown on this page represent the compounded composite live trading returns of all managed accounts and funds trading the ACS strategy. Performance is net of all expenses, management fees and performance fees. Trading related expenses include execution and clearing commissions as well as exchange fees and taxes/regulatory fees and amounted to on average 1.9% p.a. ($2.35 per lot (half turn)) since inception of the ACS Program. Composite return calculations are used to merge the net performance of individual managed accounts and funds into a single return number. In order to arrive at a representative composite number, each individual account is weighed by its size (trading level). Composite returns do not mirror the actual performance of a given managed account or fund. An individual managed account or fund may have realized more or less favorable results than those presented on this page, for instance due to investment timing and fee differences. Data is current as of date of publication (see above) and may be a MTD estimate.
THIS COMMUNICATION IS NOT AND MAY NOT BE CONSTRUED AS AN OFFER, SOLICITATION OR ADVICE TO INVEST IN ANY MANAGED FUTURES PRODUCT. ALL DATA IS PROVIDED FOR ILLUSTRATIVE PURPOSES ONLY AND NO RESPONSIBILITY IS ASSUMED FOR THE CORRECTNESS OR COMPLETENESS OF THIS DOCUMENT. FOR LEGALLY BINDING INFORMATION, PLEASE REFER TO THE DISCLOSURE DOCUMENT AND OFFICIAL OFFERING DOCUMENTS (E.G., OFFERING MEMORANDUM, FUND PROSPECTUS, MANAGED ACCOUNT AGREEMENT) WHICH CONTAIN A DETAILED DESCRIPTION OF RISK FACTORS.
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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.