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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.

AQUANTUM COMMODITY SPREAD
PROGRAM (COMPOSITE, BASED ON DAILY DATA)

Index Level (Feb 14, 2019) 3,890.17
Last Return 1.19%
MTD Return 1.52%
3M Return -2.34%
YTD Return -1.56%
1Y Return 0.85%
Annualized Return (IRR) 7.64%
1Y Volatility 8.21%
Sharpe Ratio since LD 0.78
Sortino Ratio since LD 1.16
Calmar Ratio since LD 0.35
Positive Months 55.88%
Average Monthly Return 0.67%
Best Monthly Return 10.90%
Worst Monthly Return -9.82%
Worst Drawdown -21.77%
Longest Drawdown [bus. days] 460
Time to Recovery [bus. days] 36.36
Winning Trades 62.45%
1Y Corr. S&P 500 TR 0.01
1Y Corr. S&P GSCI TR -0.12
1Y Corr. JPM Bond Index 0.00
1Y Corr. Newedge CTA Index 0.10

Historical performance net of costs and fees

Calendar month returns net of costs and fees (%)

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2019 -3.03 1.52 -1.56
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 13.94
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 17.55
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 -14.83
2015 -2.41 5.08 -0.97 -2.63 0.81 0.83 4.03 -2.68 2.09 -1.63 5.54 -3.54 4.02
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 22.93
2013 3.95 1.64 1.40 1.08 -1.24 -1.47 5.38

 

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

The information displayed on this website is provided solely for presentation purposes. IT IS INTENDED FOR QUALIFIED ELIGIBLE PERSONS ONLY.

The ACS Program returns shown on this page represent the 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 1.9% p.a. (on average $2.45 per lot (half turn)) in the reporting period.

Composite return calculations are used to merge the net performance of individual managed accounts into a single return number. In order to arrive at a representative composite number, each individual account is weighed by its size (trading level).

It is important to note that composite returns do not mirror the actual performance of a given managed account. An individual account may have realized more or less favorable results than those presented on this page, for instance due to investment timing and fee differences.

The S&P 500 Total Return Index used on this page is the total return version of the S&P 500 index, a market capitalization-weighted index of 500 publicly traded U.S. stocks. It is denominated in USD and includes the full reinvestment of dividend payments and other capital measures. Bloomberg ticker: SPTR Index.

The Newedge CTA Index used on this page is an industry leading benchmark of CTA performance. It is denominated in USD and references and equally weighted basket of CTAs selected from the largest managers open to new investment. Bloomberg ticker: NEIXCTA Index.

The S&P GSCI Total Return Index used on this page is a futures-based commodity index. It is denominated in USD and calculated on a world production-weighted basis. The index includes the effects of price returns, roll returns, and collateral returns at the 3-month Treasury Bill rate. Bloomberg ticker: SPGSCITR Index.

The JPM Bond Index used on this page is the J.P. Morgan Global Aggregate USD Bond Total Return Index. It is a USD-denominated index referencing investment grade fixed income assets from developed and emerging markets. Bloomberg ticker: JGAGGUSD Index.

The 3m T-Bills Index used on this page represents the performance of 3-month USD Treasury Bills. It references the high discount auction rate (Bloomberg ticker: USB3MTA Index) and is calculated by Aquantum GbmH.

AQUANTUM DISCLAIMS ALL LIABILITY FOR THE ACCURACY OR COMPLETENESS OF THE DATA SHOWN ON THIS WEBSITE. CHARTS ARE PROVIDED FOR ILLUSTRATIVE PURPOSES ONLY. THIS COMMUNICATION IS NOT TO BE CONSTRUED AS AN OFFER TO INVEST IN ANY MANAGED FUTURES PRODUCT. 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.

Data sources: Aquantum GmbH, Bloomberg L.P.

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.

ENERGIES GRAINS SOFTS MEATS METALS
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