Tue, Sep 26, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Aquila Capital launches UCITS-compliant CTA fund that offers daily liquidity, Dr. Harry Kat new Quant Team’s Head of Research

Friday, September 16, 2011
Opalesque Industry Update – Aquila Capital launched a new, UCITS compliant CTA fund to the UK market today.

The AC Spectrum Fund is a liquid futures fund and is one of the first of its kind to offer daily rather than weekly liquidity. It is a fully systematic trend follower that targets a return of 18% to 20% per year with 15% volatility. The AC Spectrum Fund has shown strong performance in 2011. In the month of August the fund returned 9.88%, with a return of 9.44% since inception (¹).

The fund exploits a number of proprietary, rule based strategies that have been developed by the Aquila Capital Quant Team and masterminded by Prof. Dr. Harry M Kat, who has recently joined Aquila as the Quant Team’s Head of Research. Responsibility for the management of the AC Spectrum Fund lies with fund manager Dr. Jan Auspurg, who is supported by Dr. Dieter Rentsch, Harold Heuschmidt and the Quant Team.

Trend following is at the fund’s core but is supplemented with two additional strategies that are negatively correlated to the trend following strategy to create a more stable return stream over time.

Prof. Dr. Harry M Kat said:

“The Spectrum team combines long standing practical expertise with deep academic insights to create a unique product for Aquila Capital.

“Efficient diversification is one of the main pillars of AC Spectrum – the fund diversifies over markets as well as over fundamentally different strategies.”

Commenting on the appointment of Prof. Kat to Aquila full time, Roman Rosslenbroich, CEO and founder of Aquila Capital said:

“Prof. Kat is a world-renowned expert on alternative investments and a pioneer in hedge fund replication research. We’re delighted to welcome him to the team.”

(press release)

Prof. Dr. Harry M. Kat is Aquila Capital’s head of research. He holds a MSc and PhD in Economics and Econometrics from Tinbergen Graduate School of Business at University of Amsterdam and an expert for alternative investments and financial derivatives and a pioneer in hedge fund replication research. Prof. Dr. Harry M. Kat is a member of the Editorial Board at the Journal of Derivatives, the Journal of Alternative Investments and the Journal of Wealth Management. Previously, Prof. Dr. Kat was Director of the Alternative Investment Research Centre at Cass Business School in London, Head of Equity Derivatives Europe at Bank of America in London, Head of Derivatives Structuring and Marketing at First Chicago in Tokyo and Head of Derivatives Research at Mees Pierson in Amsterdam.

Dr. Jan Auspurg is a fund manager within Aquila Capital's quant team. Dr. Auspurg holds a doctorate in Management (Dr. oec. HSG) from the University of St. Gallen, Switzerland and has over 20 years of financial market experience. Previously, Dr. Auspurg worked for Salomon Brothers/Citigroup in Zurich and London, Bankers Trust in Zurich, J.P. Morgan in Zurich and London and Swiss Volksbank in Zurich.

AC Spectrum is a UCITS CTA that trades stock index, bond, interest rate, currency, and commodity markets around the world. It takes long and short positions in liquid futures markets. A fully systematic approach combines trend, carry and correlation strategies. AC Spectrum's proprietary conviction weighted position sizing and volatility equalization systems optimize the fund's multi-strategy approach and ensure efficient risk control. The Fund targets a return of 18% to 20% per year with 15% volatility.

Aquila Capital is a dynamic alternative investment company with $3.9bn under management, specializing in next-generation absolute return and real asset investment strategies including, but not limited to UCITS-III compliant funds. The company’s success is built on identifying and delivering market independent and uncorrelated investment solutions. Aquila Capital was founded in 2001 by Roman Rosslenbroich and Dieter Rentsch, who both have extensive experience in the international asset management arena. With over 60 investment specialists at Aquila Capital, the Company is head-quartered in Hamburg and supported by regional offices in Frankfurt and Zurich as well as the group’s structuring arm, Alceda Fund Management S.A. in Luxembourg. www.aquila-capital.de


See our 2008 articles on Harry Kat:
Opalesque Exclusive: Aquila Capital's multi-asset funds are up 1.9% and 1.0% in September, DWS and Aquila Capital launched a UCITS III CO2 fund Source
Opalesque Exclusive: Harry Kat`s FundCreator update says performance in line with expectations Source


BG

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. iCapital Network enters deal to acquire innovative U.S. private equity access fund platform from Deutsche Bank[more]

    Komfie Manalo, Opalesque Asia: Financial technology platform iCapital Network has entered into a definitive purchase agreement to acquire the US Private Equi

  2. Neuberger Berman closes $1.1bn Credit Opportunities Fund[more]

    Neuberger Berman, a private, independent, employee-owned investment manager, announced that NB Private Equity Credit Opportunities Fund LP closed on $1.1 billion of limited partner commitments. The Fund seeks to invest in the secured and unsecured debt of private equity-backed companies, primarily i

  3. Capital Dynamics launches mid-market private credit business[more]

    Capital Dynamics, a global private asset manager, has launched a dedicated Private Credit Asset Management business. Experienced industry executives Jens Ernberg and Thomas Hall have joined Capital Dynamics to co-lead the company's new private credit initiative. They are based in Capital Dynamics' N

  4. Artificial intelligence may replace 40% of all jobs: Bridgewater founder Ray Dalio[more]

    From Foxbusiness.com: Bridgewater Associates founder Ray Dalio said Friday that almost half of the jobs in the next two decades will be replaced by artificial intelligence. "By in large, the world is going to largely consist of people who can take language and put it into code, which then allo

  5. Opalesque Exclusive: US investment firms must have tailored cybersecurity policies and procedures in place[more]

    Benedicte Gravrand, Opalesque Geneva: Cyber attacks are on the increase. One of the last victims was Equifax, a US credit scoring agency. As a result of its insufficient cybersecurity program, the agency was slapped with state and federal investigations, private lawsuits and a summons for chief e