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Alternative Market Briefing

Aquanthus Premia launches on the RCube platform

Tuesday, December 31, 2019

Bailey McCann, Opalesque New York for New Managers:

A new multi-strategy quantitative macro portfolio program called Aquanthus Premia has launched on the RCube Asset Management Platform. The strategy is managed by Olivier Alvarez, who was previously head of the quantitative team for BNP Paribas Asia - Fixed Income.

Aquanthus Premia captures the risk premia within a portfolio of uncorrelated macro strategies. Current strategies include directional macro, trend following, volatility and mean reversion. Over time, Alvarez may expand the number of strategies in the portfolio on an opportunistic basis. The trading program takes a "controlled" approach to using leverage and relies on a systematic approach to risk management.

Systematic alternative risk premia strategies have become popular with investors that want to add diversification to a traditional 60/40 portfolio while mitigating downside risk. In a traditional portfolio, the strategy can be a lower-cost liquid alternative to other hedge fund strategies. But it's been a tough time for the strategy, systematic alternative risk premia funds posted negative returns at the end of 2018 and have had uneven performance throughout much of this year. Muddled trends in the market and bouts of volatility have made it difficult for macro strategies to perform consistently.

Aquanthus' strategy is up +16.55% year to date through Novem......................

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