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Aquantum Commodity Spread (ACS)

A market-neutral spread trading program aimed at exploiting changes in a commodity's forward curve

Investment Strategy

The ACS Program is a systematic commodity market-neutral CTA program. It is statistical arbitrage in nature, by calculating and identifying statistical mispricing in the forward curve 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. Historically, the returns of the ACS Program have been uncorrelated to the returns of other investments, including other CTAs.

While the Program may combine multiple spread positions per market, each individual trade is implemented as an intra-market calendar spread. However, additional spreads may be used to hedge existing positions or reduce the exposure to adverse changes in the forward curve.

The average trade length for the Program is 19-20 days while the holding period for all trades ranges from 1 to sometimes more than 30 days. The round turns per $1m are about 3,400 per year.

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, presently targeted at 10% per year.

The ACS Program is offered in managed account and fund format.

The live date (LD) of the ACS Program was July 1, 2013.

Basic risks: The risk of loss in trading futures is substantial. Therefore it is mandatory to carefully consider whether such trading is suitable in the light of interested investor’s financial conditions. A potential loss cannot be determined in advance and can exceed any collateral (margin) posted. In considering whether to trade or to authorize someone to trade, interested investors should be aware of all risk factors as described in our Disclosure Document which is available upon request.

Back to Investment Programs

Aquantum Commodity Spread (ACS)

A commodity market-neutral program aimed at exploiting liquidity premiums and convenience yields

Current Market Universe

The ACS Program seeks to profitably trade each of the markets shown on this page while taking advantage of the diversification potential available from such a varied list of futures contracts.

Other commodity markets and contracts may be added to the ACS Program if Aquantum's research is able to demonstrate that such an addition would enhance the Program's overall risk-adjusted performance.

Brent Crude Oil Chicago Wheat Sugar Live Cattle COMEX Copper
WTI Crude Oil Kansas Wheat Coffee Feeder Cattle  
Natural Gas Corn Cocoa Lean Hogs  
Heating Oil Soybeans Cotton    
Gas Oil Soybean Oil      
Gasoline Soybean Meal