Former Winton Capital Senior Scientist Thomas Morrow has been creating trading systems for more than 25 years for major banks, hedge funds and Aquantum, the firm he founded in 2008. Aquantum specializes in systematic seasonality trading, an area that provides statistically valid results, with absolute returns that have largely no correlation with other markets and strategies.
While trading seasonal anomalies is a well-known trading approach, the way Aquantum performs it – via calendar spreads in a purely time based and systematic way, aiming to exploit seasonality in the commodity forward curves, not in (outright) commodity prices – is pretty unique in the asset management space.
Thomas noted many years ago that commodity curves tend to move in a certain direction at certain times of the year. Further analyses showed that these moves are not only statistically verifiable, they can be backed fundamentally. Therefore, Aquantum does not simply trade statistical anomalies that appear in the data but patterns that reoccur due to fundamental reasons. These fundamental reasons can be summarized as changing expectations of market participants regarding supply and demand of a certain commodity.
In this video, you will learn:
- Why Aquantum’s systematic trading edge #seasonality provides access to a unique risk premium and is a consistent source of return.
- Why Aquantum’s trading strategies are largely #uncorrelated to all other asset classes.
- That seasonal patterns are #systematically analyzed and traded at Aquantum and why model-inherent risk management is a major performance factor.
- Details about Aquantum’s #team of experienced professionals, history and organizational set-up.
Founder Thomas Morrow has more than 25 years of experience in the systematic trading world. He designed and managed algorithmic trading models for equities, interest rates, commodities, stocks and FX at Bankers Trust, Deutsche Bank, and Winton Capital Management. Over the years, he has traded approximately 80 different futures markets and has gained extensive knowledge on the workings of them.
Originally from London, Tom immigrated to Australia after graduating from university with a Joint BSc Honors in Pure and Applied Mathematics.
Mr. Morrow joined Bankers Trust in the late 1980s where he initially developed technology for their retail banking systems. In the early 1990s, he moved into the trading area and became a quantitative analyst in the bank's fixed income group, later widening that role into swaps and options within the structured derivatives group. While in these roles, Mr. Morrow developed some trading ideas, and due to his background in mathematics and technology, he was able to turn this into a systematic trading model. In 1997, he began trading and developing systems full time at Bankers Trust.
In 1999, Mr. Morrow moved to Deutsche Bank following the acquisition of Bankers Trust by Deutsche Bank, where he continued trading and developing systems across a variety of asset classes.
Mr. Morrow moved back to the UK in 2007 to become a Senior Scientist at Winton Capital Management, one of the world's premier systematic trading funds. In 2008, he founded the Aquantum Group where he now serves as Chief Investment Officer and a member of Aquantum's Management Board.
Christian Schneider has more than 20 years of experience in the financial industry. Before starting at Aquantum in November 2011, Mr. Schneider worked in various managerial positions for the Assenagon-Group, which he joined as a partner in 2007 to steer numerous aspects of the company's operations in Germany and Luxembourg.
Prior to his role at Assenagon, he was responsible for interlinking capital markets- and asset management products within the UniCredit Markets & Investment Banking Division. During that time, in 2005, he founded and subsequently expanded Structured Invest S.A., a Luxembourg-based asset management company which served as the groundwork for other major start-ups in the structured fund area.
Before 2005, Mr. Schneider supported the successful set-up of INDEXCHANGE Investment AG (later BlackRock Asset Management Deutschland AG), where he was responsible for all legal and international affairs.
Mr. Schneider graduated from the Ludwig Maximilians University in Munich, where he studied Law, and started his career as a lawyer before joining HVB Group in 2000.
Mr. Schneider is a partner at Aquantum. He is a member of Aquantum's Management Board and responsible for client relations, risk, compliance, and operations.
Carina Polzer joined Aquantum in September 2012 and is responsible for the portfolio management of Aquantum’s investment programs and the coordination of research projects. Together with Christian Schneider and Thomas Morrow she manages Aquantum‘s client relations and marketing activities.
Between 2006 and 2009, Mrs. Polzer studied Business Administration at the University of Heidenheim in cooperation with Wacker Chemie AG in Munich. In 2013, she graduated with a master's degree in Finance & Information Management from the Technische Universität München and the University of Augsburg. Mrs. Polzer has professional experience in many arms of the asset management business, including trading, finance, controlling, data analysis, sales and project management.
Mrs. Polzer is partner at Aquantum GmbH and a member of Aquantum's Management Board.
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