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AQK Catena® ICE Index

Bloomberg Ticker: AQKCAIER (Excess Return), AQKCAITR (Total Return)


Index Strategy

The AqK Catena® ICE index is linked to the performance of a systematic global macro program and designed to follow medium to long-term price trends. It has been developed in cooperation with Perry J. Kaufman, the renowned managed futures expert and author of the seminal book "Trading Systems and Methods" (Wiley, 5th edition). The index is designed to target 16% annualized volatility and is denominated in USD.

Based on a fully rules-based investment approach, the index may reference long and short positions in more than 40 liquid futures markets from various sectors (equities, interest rates, bonds, currencies). "ICE" stands for "Interest Rates, Currencies, Equities," indicating that markets from other asset classes (e.g., commodities) are excluded. Trend indicators are spread over a variety of time frames and each can generate an independent trading signal. Overall, the Catena system automatically observes more than 9,000 individual indicators each day.

The index's live calculation date (LD) was August 8, 2011.

Excess return (ER) and total return (TR) versions of the index are available.

AQK CATENA ICE
TOTAL RETURN INDEX (USD)

Index Level (Dec 10, 2018) 27,812.67
Last Return 1.96%
MTD Return 2.15%
3M Return -1.23%
YTD Return -3.03%
1Y Return -7.35%
1Y Volatility 14.93%
1Y Sharpe Ratio N/A
IRR since Live Date (LD) 3.46%
Pos. Months since LD 46.07%
Avg. Monthly Return since LD 0.38%
Best Monthly Return since LD 11.31%
Worst Monthly Return since LD -8.53%
Worst Drawdown since LD -26.97%
1Y Corr. S&P 500 TR 0.30
1Y Corr. S&P GSCI TR 0.13
1Y Corr. JPM Bond Index -0.35

Historical performance (TR)

Calendar month returns in % (TR)

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2018 11.31 -4.61 -2.76 -0.89 -0.07 1.01 -1.39 -2.25 -2.05 -0.64 -2.02 2.15 -3.03
2017 -1.84 1.25 -3.15 -4.83 2.46 -6.76 3.99 8.74 -1.07 5.64 2.65 -2.55 3.47
2016 9.62 1.90 -2.94 -5.08 -1.24 8.36 1.05 -1.67 -0.53 -4.05 8.53 1.99 15.62
2015 11.05 1.49 4.19 -8.31 -1.63 -4.80 0.16 -4.05 4.10 -1.91 -0.95 -8.53 -10.34
2014 -5.75 2.20 -1.87 2.96 8.96 1.02 -1.51 10.62 -2.49 -1.13 11.00 1.73 27.05
2013 2.87 -4.02 1.70 3.89 -6.93 -2.61 -3.43 2.24 -0.52 5.34 -0.21 -1.95 -4.27
2012 -2.14 0.14 -5.94 2.60 10.93 -5.15 2.08 -3.63 1.15 -2.55 1.57 5.29 3.19
2011 -1.18 1.00 -5.44 -1.44 5.70 -1.67

 

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THE INFORMATION DISPLAYED ON THIS WEBSITE IS FOR INFORMATIONAL PURPOSES ONLY.

INDEXES CANNOT BE INVESTED IN DIRECTLY. EXPOSURE TO AN INDEX CAN BE OBTAINED THROUGH INVESTABLE FINANCIAL INSTRUMENTS (E.G., SECURITIES) LINKED TO SUCH INDEX. THIS WEBSITE IS NEITHER INTENDED TO SOLICIT MANAGED ACCOUNTS NOR DOES IT CONSTITUTE AN OFFER FOR ANY FINANCIAL PRODUCT. IT DOES NOT SPONSOR, ENDORSE, SELL, PROMOTE, OR MANAGE ANY INVESTMENT PRODUCTS OFFERED BY THIRD PARTIES (E.G., BANKS).

ANY RETURN AND PERFORMANCE DATA SHOWN ON THIS PAGE DOES NOT INCLUDE FEES OR COSTS.

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 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.

AQUANTUM DISCLAIMS ALL LIABILITY FOR THE ACCURACY OR COMPLETENESS OF THE DATA SHOWN ON THIS WEBSITE. CHARTS ARE PROVIDED FOR ILLUSTRATIVE PURPOSES ONLY.

Data sources: Aquantum GmbH, Bloomberg L.P.