Real-time position and risk management forms the backbone of the Aquantum Active Range strategy, which has a fund volume of over 1.1 billion euros.

Maik Kaminski: Our investors particularly appreciate the strategy's combination of equity market-like returns with very low drawdowns, regardless of whether we are in a bull or bear market. As of 30 April 2025, the annual performance of the Aquantum Active Range UCITS S Class was +9.10 percent. This result was achieved with a volatility of just 5.53 percent and a maximum daily drawdown of only 3.74 percent. The Aquantum Active Range strategy thus helps improve the Sharpe ratio in portfolios by reducing drawdowns while preserving upside potential. Mark-to-market risks and black-swan events are actively managed, as we have demonstrated on several occasions in practice. To the best of our knowledge and research, this approach is unique in Europe.

Especially in an environment of heightened uncertainty and market volatility, the value of such portfolio stability becomes evident. Another key point is that, since its launch, the strategy has had a negative correlation of -0.66 to the S&P 500, making it particularly attractive. During challenging market phases, the Aquantum Active Range strategy can provide stability without compromising returns. In fact, returns have grown steadily since launch, much like a high-rise building being constructed floor by floor.

The Aquantum Active Range strategy offers attractive potential returns alongside consistent risk management. What key factors make this balance possible?

The strategy is based on a rule-based option strategy for the S&P 500 that exclusively uses liquid put options with a short remaining term. We construct corridors below the current market level, which the market ideally moves into before expiry. Our specially developed position and risk management tool is central to implementation. This allows us to analyse how the portfolio behaves in real time under various market changes, such as fluctuations in volatility or the volatility surface. The tool displays all relevant risk figures at both the individual spread and portfolio levels and provides precise information on where adjustments need to be made. This helps ensure the pay-off remains attractive at all times and that the strategy can be quickly and purposefully adjusted in the event of abrupt market movements. During the entire US trading session, two members of our four-person team — Carina Polzer, Max Noller, Fabian Roth and myself — monitor and control the portfolio in real time.

You just mentioned the position and risk module that was developed in-house and supports your strategy. Could you tell us more about this tool and explain its role in the day-to-day management of the strategy?

Our position and risk module was specifically developed for the Aquantum Active Range strategy and plays an integral role in our daily decision-making process. It enables us to simulate risk scenarios in real time, at the touch of a button and on both an individual spread and an overall portfolio basis, including extreme market movements.

We also use the module to carry out historical simulations to assess the attractiveness of individual spreads as objectively as possible, depending on the current market environment - for example, the VIX level. This enables us to select the spreads offering the best risk/return ratio in the current market environment.

Another key feature of our tool is the daily risk and return report, which we compile each morning. This shows which market movement represents the most favourable scenario for the portfolio over the course of the day, as well as at what level the first risk zones would be reached depending on volatility levels. Based on this information, we pre-define potential adjustment steps before the market opens, which are only triggered if corresponding market events occur, such as a black swan scenario. This is supplemented by statistical analyses. For instance, the market movement on 3 and 4 April 2025 corresponded almost exactly to the development in the S&P 500 on the Thursday and Friday before Black Monday in 1987. This level of preparation enables us to respond quickly and efficiently during periods of elevated volatility.

During my trip to New York in April, I received positive feedback on our position and risk module from several sources, including our execution broker, experienced options traders, and analysts from major investment banks.

At the beginning of April, the escalating customs dispute between the USA and China caused considerable market distortions. How did you experience this phase?

The market activity at the beginning of April was unusual: the S&P 500 lost 4.84 percent on 3 April and 5.97 percent on 4 April. These marked the seventh- and third- largest daily losses since 2000, starting from a VIX below 40, resulting in two back-to-back Black Swan events in quick succession. Despite these crash-like days, the Aquantum Active Range strategy achieved positive results on both days - with a cumulative return of +0.95 percent.

This is based on a fundamental assumption of our strategy: market stress does not arise spontaneously but builds up over time. To understand this in more detail, we analysed almost 100 years of stock market history, systematically examining all stock market crashes since 1928. The patterns and mechanisms derived from this analysis form an integral part of our strategy today. Since 1928, there have only been four trading days with a daily loss of more than 10 percent (twice in 1929, once in 1987, and once in 2020). Significant price slumps have consistently been preceded by elevated volatility. To effectively manage mark-to-market risk, it is crucial to anticipate and prepare for these rare, unexpected events. Since launching the Aquantum Active Range UCITS in July 2021, we have experienced six of the 30 largest daily losses in the S&P 500 when the VIX was below 40. On all of these days, the strategy delivered positive returns.

In concrete terms, this means that we recognise mark-to-market risk, intervening at the first measurable signs of stress, and adjusting our portfolio structure to reflect the prevailing market scenario. Within the strategy, we trade in three different volatility clusters. As soon as a new cluster is reached, our system indicates the necessary changes, which are implemented immediately. We are 'prepared, fast and on point'. Our in-house risk module is geared towards this, providing us with relevant risk scenarios in real time at spread and portfolio level. This enabled us to proactively adjust the portfolio early in April, mitigate risk, and deliver positive performance even during this extreme period. The S&P 500 recorded an exceptionally rapid decline of 12 per cent between 3 April and 7 April 2025. This sell-off occurred in a low-volatility environment and was the fastest decline since the introduction of the VIX in 1990.