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Investment Overview

Strategy Description

The ACS Program is a systematic commodity market-neutral trading program. It is designed to benefit from price dislocations in the forward structure 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. While the ACS Program may combine multiple spread positions per market, each individual trade is implemented as an intra-market calendar spread. The average trade length for the ACS Program is 18-20 business days while the holding period for all trades ranges from 4 to sometimes more than 30 days.

Principals

Fabian Roth - Junior Portfolio Manager, Aquantum Group

Videos

Aquantum Opalesque Virtual Manager Visit

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Investment Highlights

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Investment Category

Managed Futures

Investment Strategy

Commodity Spread Trading

Investment Structure

Managed Account

Implementation of Strategy

Tactical Approach

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Average Timeframe

18-20 Days

Average Margin to Equity (%)

8%

Average Round Turns per Million

3,500

Investment Structure

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Legal Structure

Managed Accounts

Managed Account Minimum

$5MM

Strategy AUM

$15MM

Firm AUM

$242.8MM

Management Fee (%)

1.5%

Incentive Fee (%)

20%

Service Providers

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