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Aquantum Pegasus EH Index ™

Bloomberg Ticker: AQUAPEHE (Excess Return), AQUAPEHT (Total Return)


Index Strategy

The Aquantum Pegasus EH index is a market-neutral commodity index linked to the performance of an advanced spread trading strategy. Its objective is to produce strong risk-adjusted returns on an annual basis. "EH" means "Ex Hogs," indicating that lean hogs futures are excluded from the index. As a result, the index may also be eligible for Islamic investors.

The index is denominated in USD and references 23 commodity futures markets from various sectors (energies, metals, agriculture, and livestock). Based on two complimentary trading programs, P1 and P2, simultaneous long and short positions in futures contracts with different maturities are established to benefit from convenience yields as well as liquidity and roll premiums.

In the past, the index's returns have been uncorrelated to the returns of other asset classes, both traditional and alternative.

The index's live calculation date (LD) was November 13, 2009.

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

AQUANTUM PEGASUS EH
TOTAL RETURN INDEX (USD)

Index Level (Dec 10, 2018) 1,306.15
Last Return -0.01%
MTD Return 0.43%
3M Return -0.72%
YTD Return 4.83%
1Y Return 4.57%
1Y Volatility 1.98%
1Y Sharpe Ratio 1.32
IRR since Live Date (LD) 3.77%
Pos. Months since LD 68.18%
Avg. Monthly Return since LD 0.31%
Best Monthly Return since LD 3.78%
Worst Monthly Return since LD -2.30%
Worst Drawdown since LD -5.17%
1Y Corr. S&P 500 TR -0.11
1Y Corr. S&P GSCI TR -0.05
1Y Corr. JPM Bond Index 0.03

Historical performance (TR)

Calendar month returns in % (TR)

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2018 2.73 0.72 0.80 -0.28 0.85 -0.09 0.70 0.07 -0.24 -0.08 -0.84 0.43 4.83
2017 1.39 0.14 0.37 0.03 0.48 0.54 0.45 0.15 1.51 0.85 0.12 -0.05 6.16
2016 0.25 0.54 0.47 -0.51 -0.17 0.30 0.97 -0.07 0.08 -0.96 0.30 -0.10 1.10
2015 -0.23 2.16 0.07 -0.53 -0.04 0.33 0.41 -0.25 -0.16 0.68 0.71 0.64 3.84
2014 -0.81 3.78 0.69 0.48 0.04 0.25 1.15 1.08 1.08 -0.16 0.31 0.74 8.91
2013 0.01 -0.22 0.44 0.65 0.69 -0.54 0.23 0.58 -0.03 0.23 0.28 -0.12 2.22
2012 0.06 -0.46 0.62 -1.83 2.65 -2.30 -1.26 0.34 -0.09 -0.07 0.71 0.57 -1.17
2011 1.18 0.71 0.00 1.51 -0.41 0.53 0.65 0.10 0.24 0.19 -0.47 0.16 4.45
2010 1.13 0.47 1.18 1.01 0.38 -0.19 -1.93 1.74 -0.14 0.44 0.17 0.21 4.51
2009 0.16 -0.44 -0.28

 

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.