Aquantum

ACS Energies QEP only

Investment Strategy

ACS Energies is a systematic commodity marketneutral trading program. It is designed to benefit from price dislocations in the forward structure of the six major energy futures markets: WTI Crude, Brent Crude, RBOB Gasoline, Natural Gas, Heating Oil, Gas Oil.
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 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 DateJan 2017
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 37.53%
Sharpe Ratio 0.47
Sortino Ratio 0.60
Winning Months (%) 64.44%
Correlation vs. S&P 500 TR -0.13

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 -6.35 -2.77 -1.94 -4.48 1.16 -0.67 -14.30
2023 -1.45 -1.15 1.28 -1.54 3.39 -0.14 -0.27 -0.16 -0.71 -1.12 4.54 0.25 2.75
2022 -5.46 -5.26 -9.61 10.37 0.62 -0.02 3.85 -0.37 4.52 1.82 0.61 2.92 2.49
2021 -0.75 1.53 -0.46 0.43 -0.93 0.35 0.08 2.26 -0.02 -1.01 3.09 0.67 5.27
2020 2.03 3.05 2.20 -10.80 2.12 1.40 0.14 1.89 -1.23 -0.14 1.45 1.29 2.64
2019 -1.39 3.24 0.20 1.05 0.48 0.14 0.08 -3.60 3.31 0.21 1.25 1.25 6.20
2018 8.07 1.74 1.27 1.96 0.79 -2.44 0.59 0.85 0.09 0.16 0.42 0.38 14.44
2017 0.74 -2.07 2.27 -1.61 2.19 1.67 0.13 7.45 1.18 3.40 -1.09 1.05 16.03
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 ACS Energies Program returns shown on this page represent the compounded composite live trading returns of all managed accounts and funds trading the ACS Energies Program. Performance is net of all trading related expenses, management fees and performance fees. Trading related expenses include execution and clearing commissions as well as exchange fees and taxes and amounted to on average 1.8% p.a. ($2.15 per lot (half turn)) since inception of the ACS Energies Program. 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.
THE RISK OF LOSS IN TRADING FUTURES IS SUBSTANTIAL AND MAY EXCEED YOUR INITIAL INVESTMENT AND MARGIN FUNDS.

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 ACS Energies Program returns shown on this page represent the compounded composite live trading returns of all managed accounts and funds trading the ACS Energies Program. Performance is net of all trading related expenses, management fees and performance fees. Trading related expenses include execution and clearing commissions as well as exchange fees and taxes and amounted to on average 1.8% p.a. ($2.15 per lot (half turn)) since inception of the ACS Energies Program. 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.
THE RISK OF LOSS IN TRADING FUTURES IS SUBSTANTIAL AND MAY EXCEED YOUR INITIAL INVESTMENT AND MARGIN FUNDS.

Return Statistics

Last Month -0.67%
Year To Date -14.30%
3 Month ROR -4.02%
12 Months ROR -12.20%
36 Month ROR -5.13%
Total Return Cumulative 37.53%
Total Return Annualized 4.34%
Best Month 10.37%
Winning Months (%) 64.44%
Gain Deviation 2.00

Risk Statistics

Standard Deviation Annualized 10.26%
Max Drawdown (Monthly) -19.04%
Max Drawdown Length 12
Worst Month -10.80%
Losing Months (%) 35.56%
Average Losing Month -2.22%
Loss Deviation 2.63
Correlation vs S&P 500 -0.13
Correlation vs DJ/CS MF -0.15

Risk/Reward Statistics

Sharpe Ratio 0.47
Sortino Ratio 0.60
Omega Ratio 0.63
Skewness -0.54
Kurtosis 4.42

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -19.04% 3 9 01/2022 12/2022
2 -14.71% 4 0 01/2024 -
3 -10.80% 1 20 04/2020 12/2021
4 -3.60% 1 3 08/2019 11/2019
5 -2.86% 4 1 01/2023 05/2023

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 10.37%-10.80%0.40%0.42%-0.67%64.44%
3 Months 12.41%-19.04%1.23%1.67%-4.02%68.18%
6 Months 21.42%-16.83%2.76%2.49%-14.30%75.29%
1 Year 32.70%-15.03%5.94%4.42%-12.20%77.22%
2 Years 37.88%-18.59%10.10%7.18%0.40%92.54%
3 Years 50.30%-8.93%13.64%11.34%-5.13%85.45%
5 Years 52.38%-0.14%23.04%20.93%-0.14%93.55%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg4.34%14.05%34.41%89.88%199.71%326.71%
% Positive64.44%68.18%75.29%77.22%92.54%85.45%
Avg. Pos. Period1.84%3.68%5.67%9.32%11.40%16.53%
Avg. Neg. Period-2.22%-4.02%-6.11%-5.53%-6.04%-3.39%
Sharpe Ratio0.470.851.302.083.183.43
Sortino Ratio0.601.142.235.7413.3425.84
Standard Deviation2.96%5.02%7.33%9.91%11.00%13.78%
Downside Deviation2.05%3.34%3.88%3.31%2.49%1.72%
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
The ACS Energies Program returns shown on this page represent the compounded composite live trading returns of all managed accounts and funds trading the ACS Energies Program. Performance is net of all trading related expenses, management fees and performance fees. Trading related expenses include execution and clearing commissions as well as exchange fees and taxes and amounted to on average 1.8% p.a. ($2.15 per lot (half turn)) since inception of the ACS Energies Program. 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.
THE RISK OF LOSS IN TRADING FUTURES IS SUBSTANTIAL AND MAY EXCEED YOUR INITIAL INVESTMENT AND MARGIN FUNDS.

Company Information

Minimum Investment5,000,000 USD (notional funding: 70.00%)
AUM42,100,000 USD
Management Fee20.00%
Performance Fee1.50%
Highwater MarkYes
RT per Million4000
Margin to Equity0.06%
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 -6.35 -2.77 -1.94 -4.48 1.16 -0.67 -14.30
2023 -1.45 -1.15 1.28 -1.54 3.39 -0.14 -0.27 -0.16 -0.71 -1.12 4.54 0.25 2.75
2022 -5.46 -5.26 -9.61 10.37 0.62 -0.02 3.85 -0.37 4.52 1.82 0.61 2.92 2.49
2021 -0.75 1.53 -0.46 0.43 -0.93 0.35 0.08 2.26 -0.02 -1.01 3.09 0.67 5.27
2020 2.03 3.05 2.20 -10.80 2.12 1.40 0.14 1.89 -1.23 -0.14 1.45 1.29 2.64
2019 -1.39 3.24 0.20 1.05 0.48 0.14 0.08 -3.60 3.31 0.21 1.25 1.25 6.20
2018 8.07 1.74 1.27 1.96 0.79 -2.44 0.59 0.85 0.09 0.16 0.42 0.38 14.44
2017 0.74 -2.07 2.27 -1.61 2.19 1.67 0.13 7.45 1.18 3.40 -1.09 1.05 16.03
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

ACS Energies is a systematic commodity marketneutral trading program. It is designed to benefit from price dislocations in the forward structure of the six major energy futures markets: WTI Crude, Brent Crude, RBOB Gasoline, Natural Gas, Heating Oil, Gas Oil.
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 asset classes (traditional as well as alternative, incl. commodities).

Return Statistics

Last Month -0.67%
Year To Date -14.30%
3 Month ROR -4.02%
12 Months ROR -12.20%
36 Month ROR -5.13%
Total Return Cumulative 37.53%
Total Return Annualized 4.34%
Best Month 10.37%
Winning Months (%) 64.44%
Gain Deviation 2.00

Risk Statistics

Standard Deviation Annualized 10.26%
Max Drawdown (Monthly) -19.04%
Max Drawdown Length 12
Worst Month -10.80%
Losing Months (%) 35.56%
Average Losing Month -2.22%
Loss Deviation 2.63
Correlation vs S&P 500 -0.13
Correlation vs DJ/CS MF -0.15

Risk/Reward Statistics

Sharpe Ratio 0.47
Sortino Ratio 0.60
Omega Ratio 0.63
Skewness -0.54
Kurtosis 4.42

Monthly Returns

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 -19.04% 3 9 01/2022 12/2022
2 -14.71% 4 0 01/2024 -
3 -10.80% 1 20 04/2020 12/2021
4 -3.60% 1 3 08/2019 11/2019
5 -2.86% 4 1 01/2023 05/2023

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 10.37%-10.80%0.40%0.42%-0.67%64.44%
3 Months 12.41%-19.04%1.23%1.67%-4.02%68.18%
6 Months 21.42%-16.83%2.76%2.49%-14.30%75.29%
1 Year 32.70%-15.03%5.94%4.42%-12.20%77.22%
2 Years 37.88%-18.59%10.10%7.18%0.40%92.54%
3 Years 50.30%-8.93%13.64%11.34%-5.13%85.45%
5 Years 52.38%-0.14%23.04%20.93%-0.14%93.55%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg4.34%14.05%34.41%89.88%199.71%326.71%
% Positive64.44%68.18%75.29%77.22%92.54%85.45%
Avg. Pos. Period1.84%3.68%5.67%9.32%11.40%16.53%
Avg. Neg. Period-2.22%-4.02%-6.11%-5.53%-6.04%-3.39%
Sharpe Ratio0.470.851.302.083.183.43
Sortino Ratio0.601.142.235.7413.3425.84
Standard Deviation2.96%5.02%7.33%9.91%11.00%13.78%
Downside Deviation2.05%3.34%3.88%3.31%2.49%1.72%

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 ACS Energies Program returns shown on this page represent the compounded composite live trading returns of all managed accounts and funds trading the ACS Energies Program. Performance is net of all trading related expenses, management fees and performance fees. Trading related expenses include execution and clearing commissions as well as exchange fees and taxes and amounted to on average 1.8% p.a. ($2.15 per lot (half turn)) since inception of the ACS Energies Program. 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.
THE RISK OF LOSS IN TRADING FUTURES IS SUBSTANTIAL AND MAY EXCEED YOUR INITIAL INVESTMENT AND MARGIN FUNDS.