Rcube Asset Management’s CTA programs are currently the best performers among French CTAs over the last 3 years.

 

RCube Commodity Spread‘s investment universe spans across world grains, oilseeds, softs and meats futures. Trading is focused on calendar, location and cross products spreads. Decision is discretionary but based on quantitative research with additional filter based on cash knowledge. Risk is managed through volatility targeting at 7.5%/year and a maximum loss by trade at 1.5 % of net liquidation value. Around 10 low correlated spreads are usually in RCube commodity spread portfolio.

RCube Commodity spread targets a 10 % ROR annualized, 7.5 % volatility with no correlation to S&P 500 or CTA indices.

RCube Singularis managed futures strategy is a short-term systematic trading program, exploiting the differences of efficiency between day-sessions and night-sessions of the most liquid exchange-traded equity index futures. The system follows the market’s night activity and immediately detect some market configurations where excessive moves can be identified with a high probability of correction within the next 24 hours. This trading method has proved to be stable over time in most market configurations. The strategy is contrarian and doesn’t rely on any technical indicators such as moving average or any notion like trend following techniques. The research to develop this program didn’t use any optimization or curve fitting method. On average, trade opportunities happen between 5 and 10 times a month, generating above 65% positive trades with an average duration of 20 hours.

The risk management for the program is very strong. Before entering a trade, all information is known in advance (entry price, stop loss, profit target and exit timer). Positions are sized to market volatility.

RCube Singularis targets a 15% annualized return, 10% volatility with no correlation to S&P 500 or CTAs’ indices.

Rcube AM is a registered Asset Management company, regulated by the Autorité des Marchés Financiers in France and National Futures Association in the USA.

For additional information please contact Cédric Pancrazi: cpancrazi@rcube.com;

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