S
Signal generation
Long and short breakout signals on intraday and daily timeframes, with momentum confirmation. Statistical filters remove lower-probability signals. Short-term volatility estimates set the target level and the initial stop loss.
Systematic / Breakout and trend-following / Listed futures / Professional investors
Noctiluca Capital Systematic Futures Programme
Rules written before the trade, automated execution, every fill reconciled against broker records.
Noctiluca Capital is an actively managed certificate that tracks a systematic breakout and trend-following strategy on eight listed futures markets: three equity indices, two metals, two energy contracts and one currency contract (Euro FX). Positions are taken long and short, sized to a 1% target risk per trade, with aggregate exposure capped at 200% of equity. The strategy is managed by FRAMONT & Partners Management Ltd, an MFSA authorised AIFM, on technology provided by Kajero Ltd.
Futures embed leverage: losses can be rapid and larger than expected. The certificate was issued on 29 June 2026 and has no track record of its own; the results shown on this page relate to trades executed on test capital. Capital is at risk, up to total loss.
8
Active futures markets
1%
Target risk per trade
200%
Maximum exposure
852
Documented trades, 27 months
Written rules
Long and short
Eight futures markets
CME · NYMEX · COMEX
1% target risk per trade
200% maximum exposure
Four exit rules
Every trade reconciled
MFSA authorised AIFM
01The strategy
Follow a move that has already started, without forecasting it
A breakout is the move through a price level the market had respected until then. The programme looks for these moves on intraday and daily horizons, accepts them only when momentum and statistical filters confirm them, and then lets the position run until one of the exit rules closes it. There is no forecast about the economy or interest rates: there is a process that responds to prices.
The signal enters, the rule manages. The edge sought is statistical, not a trading idea.
The same signal engine ran unchanged for twenty-seven consecutive months, from March 2024 to May 2026, on test capital. What changed over the period was position size, not the logic. Winning trades are fewer than half: the result depends on the ratio between average gain and average loss, not on how often the strategy is right.
01Investment objective
-
a
Medium to long-term capital appreciation
The term sheet sets the objective: capital appreciation through a systematic quantitative strategy on listed futures on global equity indices and commodity markets.
-
b
Returns that do not depend on market direction
Positions are taken long and short according to the signals, across markets that do not move together: equity indices, metals, energy and currencies.
-
c
Loss governed at the level of each trade
1% target risk per trade, subject to a one-contract minimum which can exceed 1% on low-contract markets. End-of-day and end-of-week exits cap overnight and weekend exposure.
Objectives describe intent. They are not a promise, a target return or a guarantee. The strategy can lose value in any market environment, including when prices move decisively.
In brief
- Noctiluca Capital is an actively managed certificate, ISIN CH1554882477, issued by a protected cell of Expand2 Issuer PCC Limited on the GenTwo platform. It is not a fund: the holder has a claim on the issuer, not ownership of the futures.
- Strategy management and regulatory responsibility sit with FRAMONT & Partners Management Ltd, an Alternative Investment Fund Manager authorised by the MFSA in Malta. The signal engine is Kajero Ltd software, licensed to the manager.
- The strategy is systematic: breakout signals with momentum confirmation, statistical filters, 1% target risk per trade with a one-contract minimum, 200% maximum aggregate exposure, four exit rules, automated execution through TradeStation.
- Eight active futures markets across equity indices, metals, energy and currencies, with three more on hold; the universe changes over time. Over the test period the programme traded eleven markets: three of them, platinum, Nasdaq 100 and S&P 500, produced 74% of the result.
- The 852 trades between March 2024 and May 2026 were executed in the market on test capital between USD 100,000 and 366,000. The returns of the risk-normalised series restate the size of each trade: they are a recalculation, not a live account.
- The certificate is newly issued, reserved for professional investors, unlisted and placed by private placement. Capital is at risk and the loss can extend to the entire amount invested.
The term sheet, provided by FRAMONT on request together with the fact sheet, is the only binding source on costs, risks, liquidity and instrument identifiers.
02The rules
Four steps, all written before the trade exists
The programme is rules-based and fully automated. Every trade goes through the same sequence: signal generation, sizing, exit management, execution and record keeping. No step depends on judgement in the moment.
P
Position sizing
1% target risk per trade on a fixed fractional basis, subject to a one-contract minimum which can exceed 1% on low-contract markets. Aggregate exposure is capped at 200% of equity.
E
Exit framework
Four rules close the position, wherever the price sits:
- target fixed at entry
- trailing stop loss
- end-of-day exit
- end-of-week exit
I
Execution and records
Automated order routing through TradeStation, continuous reconciliation, a per-account audit trail and MFSA-compliant record keeping. An independent module, the Trade Log Reconciliation Module, checks every executed trade against broker records.
What it is not. It is not a discretionary strategy: nobody decides to buy or sell. It is not immutable either: the manager can change the universe, the parameters and the markets, as it did when it suspended gasoline in July 2024 and reinstated it in August 2025. An automated model still has to be supervised: a regime change can make the rules less effective without the model noticing.
03The markets
Eight markets, four exchanges, one set of rules
The same rules run on every market. The strategy trades listed, liquid futures on CME, NYMEX and COMEX; under its mandate it does not invest in private equity, private debt, real estate or illiquid securities, does not take physical delivery of commodities and limits counterparties to regulated financial institutions and brokers.
Equity indices
3ESS&P 500
NQNasdaq 100
YMDow Jones
Metals
2GCGold
PLPlatinum
Energy
2CLWTI crude oil
RBRBOB gasoline
Currencies
1ECEuro FX
On hold
3RTYRussell 2000
SISilver
NGNatural gas
The market universe is subject to ongoing change, depending on current market conditions, risk management under the 1% per-trade target and ongoing research and development. The term sheet's investment universe is wider than the markets listed and can be amended by the manager: it covers commodities, equities and index derivatives, money market instruments, currencies and cash up to 49%.
The track record below covers the eleven markets traded over the test period, including S&P MidCap 400 (EMD) and Nikkei 225 (NKD), which are no longer traded; WTI crude oil (CL) and Euro FX (EC) were not part of it. Twelve contract lines appear in the trade log because the micro Nasdaq (MNQ) trades on the same signal as NQ and is counted within the Nasdaq 100 market.
04Track record on test capital
Twenty-seven months of live trading, read on two bases
From March 2024 to May 2026 the programme executed 852 trades in the market, not in a backtest: no prices are modelled and no signals are back-filled. Entry levels, exit levels and executed prices are the traded ones, slippage included. The single variable restated in the second reporting basis is the number of contracts per trade.
Read this before the numbers. The results were achieved on test capital between USD 100,000 and 366,000, partly in third-party accounts, and not on the certificate, which was issued on 29 June 2026, carries its own costs and holds a cash buffer for weekly redemptions. The risk-normalised series is a recalculation of position size, not a live account. Broker statements cover 6 of the 27 months. Past results, however calculated, are not a reliable indicator of future results.
Basis 1
As executed
What the trading records show
- Capital base between USD 100,000 and 366,000, changed during the period
- Fixed-ratio sizing in phase one, minimum contract size in phase two
- +81.3% annualised, time weighted; maximum drawdown -13.8%
- Constrained by the size of the test capital, not by the strategy rules
Basis 2
Risk-normalised
What an account sized by the 1% rule would have produced
- Identical entries, exits and executed prices; only trade size is restated
- Size set by the 1% risk rule from day one
- +94% annualised; maximum drawdown -10.7%
- The basis for the summary figures below
Risk-normalised series, March 2024 to May 2026
+94%Annualised return · +334% cumulative
-10.7%Maximum drawdown, daily series
2.89Sharpe, daily series, risk-free rate assumed nil
8.8Calmar, annualised return over maximum drawdown
23 / 27Positive months, 85% of the sample
-6.6%Worst month, July 2024
+29.4%Best month, October 2025
+5.6%Average month, geometric mean
As executed: two phases, one engine
| Phase 1 | Phase 2 | Full period | |
|---|---|---|---|
| Period | Mar 2024 - Jun 2025 | Jul 2025 - May 2026 | Mar 2024 - May 2026 |
| Deployed capital | USD 275,000 - 366,000 | USD 100,000 | USD 100,000 - 366,000 |
| Position sizing | Fixed ratio | Minimum contract size | Mixed |
| Trades | 465 | 387 | 852 |
| Trades per active month | 30.8 | 38.6 | 32.0 |
| Markets traded | 10 | 8 | 11 |
| Average exposure / equity | 1.4x | 2.0x | 1.8x |
| Annualised return, time weighted | 75.4% | 107.6% | 81.3% |
| Maximum drawdown | -12.4% | -13.8% | -13.8% |
| Win rate | 41.9% | 43.4% | 42.6% |
| Payoff ratio | 2.0x | 1.7x | 1.8x |
| Trade-level records | Internal logs | Internal logs | 852 of 852 |
| Broker account statements | Not available | From December 2025 | 6 of 27 months |
Trades per active month exclude the two account migration windows, during which no positions were opened. Trades were executed in third-party accounts until November 2025, so own account statements start in December 2025. From July 2025 the programme ran on a reduced capital base and on minimum contract sizing: win rate and payoff ratio hold across both phases, consistent with a change in position size rather than in the signal.
Where the result comes from
Share of cumulative log return by market, risk-normalised series, full period. Shares sum to 100%.
Verification and controls
852 / 852trades documented at trade level, March 2024 onwards
6 / 27months covered by own account broker statements, from December 2025
21months executed in third-party accounts, evidenced by trade logs and reconciliation
Proposed next step on verification. An independent review of the trade log against the available statements, at the investor's choice of reviewer and at FRAMONT's cost. The full trade log, the available statements and the reconciliation output are released in the data room at the first stage of the process. Realised profit and trade count are as executed; return, drawdown and ratio figures are risk-normalised.
05Structure and roles
A regulated manager, a technology provider, a separate issuer
The certificate tracks a notional portfolio. Holders have a claim on the issuer equal to the strategy level at the valuation date, not a right over the futures. Each party in the chain has a distinct role.
01
Professional investor
Subscribes to the certificates through their own intermediary, by private placement, after eligibility checks.
02
Issuer: protected cell of Expand2 Issuer PCC Limited
Guernsey protected cell company, registration no. 75607, incorporated on 16 April 2025. Cell CH1554882477 exists only for this issue; under Guernsey law the assets and liabilities of each cell are separate from the others. It is not licensed by the GFSC and is not a collective investment scheme.
03
Platform: GenTwo AG
Swiss securitisation platform that structures the issue and provides the calculation service and the publication of investor notices.
04
Strategy manager: FRAMONT & Partners Management Ltd
Selects and manages the strategy components within the term sheet's universe, guidelines and restrictions. Holds the regulatory permissions, risk management, compliance, investor onboarding, reporting and legal responsibility for the product.
05
Technology: Kajero Ltd, Gibraltar
Provides the signal engine, statistical filters, sizing logic, TLRM reconciliation, infrastructure and monitoring. The software is licensed to the manager: it is not a discretionary mandate.
06
Custodian and broker: TradeStation Europe B.V.
Execution and custody of the strategy components in the Netherlands. A custodian default can affect the strategy level.
07
Paying agent: InCore Bank AG, Switzerland
Receives subscription and redemption orders and settles payments. Common depository SIX SIS AG.
Certificate terms
| Type | Dynamic tracker certificate, Swiss Derivative Map code 1300, Swiss law, Zurich jurisdiction |
| Term | Open end; issuer and manager may terminate the product at any time |
| Currency and denomination | EUR, EUR 1,000 per certificate; EUR 10,000,000 issue, 10,000 certificates with reopening clause |
| Issue price | EUR 1,000 plus a distribution fee of up to 5.00% |
| Issue date | 29 June 2026 |
| Minimum | 10 certificates, then multiples of 1 |
| Price | Equal to the strategy level: sum of the components, less costs, divided by outstanding certificates |
| Redemption | Cash settlement at the strategy level; the issuer may redeem early, in whole or in part, on the 15th of each month |
| Valoren | 155488247 |
Who does what at Kajero
Ruggero ZamagnaDirector and CTO, co-founder
Thirteen years building automated futures systems. Principal architect of the strategy logic, SOAT and TLRM.
Rossella SiccoliDirector, co-founder
Corporate governance and administration, partnership and contractual oversight.
Alessio IncelliQuantitative developer
Research and statistical modelling in R, model validation, SOAT platform maintenance.
The extended technical team covers platform development and execution, trading operations and rollover management, infrastructure monitoring. The experience listed describes the technology provider and is neither a regulatory qualification nor an indication of future results.
06How to access
Two routes to the same signals, with different wrappers, liquidity and minimums
The programme is accessible through the certificate described on this page or through a dedicated managed account. The signals are identical; the certificate holds a cash buffer for weekly redemptions, so its net return can differ from that of a managed account.
Actively managed certificate
Securitised access via AMC
Minimum allocation
10 certificates
- Vehicle
- AMC issued by a partner institution, ISIN CH1554882477, EUR 1,000 per certificate
- Custody
- Standard securities account at the investor's bank
- Transparency
- NAV and monthly factsheet
- Liquidity
- Weekly subscription and redemption, best effort, through the paying agent
Dedicated managed account
Direct allocation, segregated structure
Minimum allocation
USD 1,000,000
- Vehicle
- Investor-owned brokerage account
- Custody
- The investor remains the direct owner
- Transparency
- Full real-time access
- Liquidity
- T+1, no lock-up
Fee structure
Management fee 2.00% per annum, billed monthly. Performance fee 20% above the high-water mark, crystallised quarterly on the last business day of March, June, September and December, no hurdle rate.
The certificate's term sheet also provides for administration charges, a set-up cost amortised over the first twelve months, the broker's transaction costs and a distribution fee of up to 5.00%, all deducted from the strategy level. The overall cost burden reduces the return in negative periods too. The term sheet is the binding source.
07Concentration and capacity
Where the return comes from, what limits size, how it is addressed
Where the return comes from
- 74% of the result over the period comes from three markets
- Platinum is the single largest contributor at 28%, and the least liquid of the eight active markets
- Equity index futures carry the bulk of the remaining exposure
- Gold, silver and the micro Nasdaq have fewer than fifteen trades each: per-trade figures on those samples are not yet meaningful
What limits size
- Contract-level liquidity in metals and energy, particularly platinum
- 1% target risk per trade at 200% aggregate exposure sets the contract count mechanically
- Slippage grows with order size, and not linearly
What due diligence covers
- Stated capacity of the programme and the slippage assumed at that size
- Maximum notional per market and the order allocation policy across accounts
- Managed accounts and the certificate run the same signals and are sized off the same limits
The track record was built on a capital base between USD 100,000 and 366,000. Capacity limits per market, the slippage assumed at institutional size and the allocation policy across accounts are covered in the technical due diligence session, not on this page.
08Documentation
Everything binding comes from FRAMONT
This page is a marketing communication. It does not replace the term sheet and is not an offer to subscribe.
Binding document
Term sheet
Certificate terms, parties, investment universe, guidelines and restrictions, costs, secondary market, selling restrictions and risks. The version published on Framont Access is dated 16 June 2026 and is marked as a draft by the issuer; the current version is provided by FRAMONT.
Open the term sheet (PDF)Data room
Trade log and reconciliation
Full log of the 852 trades, available broker statements, reconciliation output and strategy documentation. Access at the first stage of the due diligence process.
Request accessSubscription
Factsheet, KYC and AML
Monthly factsheet, professional investor eligibility check, customer due diligence and subscription instructions through the paying agent.
Contact FRAMONTOfficial source. For the current term sheet, the factsheet, subscription details and valuation information, contact FRAMONT & Partners Management Ltd at gianluigi.montagner@framontmanagement.com. Investor notices and adjustments to the product terms are published by the issuer under the "Product history" of the GenTwo platform. FRAMONT & Partners Management Ltd is authorised and regulated by the Malta Financial Services Authority.
09Risk disclosure
Read these before you go further
A summary of the principal risks, not a complete list. The term sheet contains the full disclosure. Risks and benefits are given equal prominence on this page.
R1Capital loss
There is no capital protection and no guaranteed return. In the worst case the redemption amount may be zero.
R2Leverage embedded in futures
Futures require a margin far below notional value: aggregate exposure can reach 200% of equity and losses can quickly exceed expectations, including beyond the initial margin.
R3Model and regime risk
The rules were calibrated on a specific period. Sideways markets, repeated false breakouts or a structural change in volatility can make the model ineffective for extended periods.
R4Concentration
Three markets produced 74% of the test-period result. A deterioration in the behaviour of platinum or of US equity indices weighs disproportionately.
R5Market liquidity and slippage
Platinum is the least liquid of the eight active markets. As assets grow, orders can move the price and results achieved on test capital may not be replicable.
R6Issuer risk
The certificate is a claim on a protected cell of Expand2 Issuer PCC Limited, which is not licensed by the GFSC. It is not a collective investment scheme, is not subject to the Swiss Collective Investment Schemes Act or FINMA supervision and does not benefit from their protections.
R7Custodian and counterparties
A custodian or broker default could generate a loss of strategy components and affect the strategy level.
R8Currency risk
The certificate is in euro, the futures traded are in US dollars. The unhedged part of the currency exposure affects the result in euro.
R9Certificate liquidity
The certificate is not listed. Orders are processed on a best-effort basis with a 1% spread under normal conditions; acceptance is not guaranteed and under stress liquidity may not exist at all.
R10Termination and early redemption
Issuer and manager may terminate the product at any time without a specific reason, and the issuer may redeem it early. The termination amount can be far below the issue price, down to zero in cases of illiquidity or insolvency of the components.
R11Track record on test capital
The results shown were achieved on test capital, partly in third-party accounts, and the risk-normalised series restates trade size. The certificate carries its own costs and a cash buffer: its return will differ. It has no track record of its own.
R12Technology and operations
Automated execution depends on software, connectivity and infrastructure from a third-party provider. A failure, a coding error or a broker outage can create unintended positions or missed exits.
R13Key person dependence
The strategy logic and the reconciliation were built by a small group at Kajero Ltd. Its unavailability or the end of the software licence affects the running of the programme.
R14Residual manager discretion
The manager can change the universe, the markets and the parameters and, under the term sheet, is not obliged to invest according to the strategy. The term sheet lists sub-optimal adjustments of the components among the risks.
R15Costs
Management and performance fees, administration and set-up charges, transaction costs and the distribution fee reduce the return; the part that is not performance-linked is due in negative periods too.
R16Regulation, tax and selling restrictions
The product may not be offered in the Russian Federation, Belarus, Canada, the United Kingdom, Guernsey or the United States, nor to US persons, and in Switzerland only to institutional and professional clients. Regulatory or tax changes may affect the net return.
Full risk disclosure
The list above is a non-exhaustive summary provided for information. It does not replace the risk disclosures in the term sheet, which should be read in full before any decision. If you are uncertain, consult a licensed independent financial adviser. FRAMONT & Partners Management Ltd does not provide personal investment advice. Past results, including results achieved on test capital, are not a reliable indicator of future results. Capital is at risk.
10Common questions
Questions professional investors ask about this certificate
What is Noctiluca Capital AMC?
It is an actively managed certificate (AMC) issued through a protected cell of Expand2 Issuer PCC Limited, Guernsey, on the GenTwo platform, ISIN CH1554882477. It tracks a systematic breakout and trend-following strategy on listed futures, managed by FRAMONT & Partners Management Ltd. It is not a fund: the holder has a claim on the issuer, not ownership of the futures. Reserved for professional investors. Capital is at risk.
Is the strategy systematic or discretionary?
It is systematic: breakout signals with momentum confirmation, statistical filters, sizing to a 1% target risk per trade with a one-contract minimum, four exit rules and automated execution through TradeStation. The manager can however change markets and parameters, and the term sheet allows the product to be suspended or terminated.
Are the results shown real?
The 852 trades between March 2024 and May 2026 were executed in the market, on test capital between USD 100,000 and 366,000, not simulated. The return and drawdown figures of the risk-normalised series however restate the size of each trade according to the 1% rule: they are a recalculation, not a live account. The certificate was issued on 29 June 2026 and has no track record of its own. Past results are not a reliable indicator of future results.
How liquid is the certificate?
The certificate is not listed. Subscriptions and redemptions are handled through the paying agent on a best-effort basis, with a 1% bid-offer spread under normal conditions: the weekly frequency is the one communicated by FRAMONT, while the term sheet of 16 June 2026 provides for monthly dealing on the 15th of the month. The current documentation prevails, and under stress liquidity may not exist at all.
What are the costs?
A management fee of 2.00% per annum and a performance fee of 20% above the high-water mark, observed quarterly, with no hurdle. The term sheet also provides for administration and issuance charges, deducted daily from the strategy level, and a distribution fee of up to 5% on the issue price. The term sheet is the binding source.
Who can invest?
Professional investors only, by private placement. The product may not be distributed to the public nor offered in the Russian Federation, Belarus, Canada, the United Kingdom, Guernsey or the United States, or to US persons. FRAMONT verifies eligibility before any subscription.
What is the difference between the certificate and the managed account?
The signals are the same. The managed account requires a minimum allocation of USD 1,000,000, stays in the investor's name, offers real-time transparency and T+1 liquidity. The certificate starts from 10 certificates, is held in a standard securities account, shows a NAV and a monthly factsheet and holds a cash buffer for weekly redemptions, so its net return can differ.
Where do I find the official documents?
The current term sheet, the factsheet, data room access and subscription instructions are provided exclusively by FRAMONT & Partners Management Ltd at gianluigi.montagner@framontmanagement.com or through the form at the foot of this page.
Answers are a summary for information only, are not investment advice and do not replace the term sheet.
11The manager
FRAMONT & Partners Management Ltd
FRAMONT brings MFSA authorisation, AIFMD compliance and the operating infrastructure needed to run a systematic strategy inside a regulated perimeter.
MFSA authorised AIFM
Authorised by the Malta Financial Services Authority as an Alternative Investment Fund Manager under the AIFMD, with full EU regulatory standing.
Responsibility for the strategy
The manager selects and manages the strategy components within the term sheet mandate, monitors that automated trading stays within the limits and is legally responsible for the product.
Compliance and risk
An independent Compliance Officer, a Risk Manager and an Investment Committee provide ongoing oversight. AML and KYC obligations, regulatory reporting and MFSA filings are handled in house.
Onboarding and reporting
Investor onboarding, the monthly factsheet and the relationship with the certificate issuer sit with FRAMONT.
EU investment vehicles
Beyond this certificate, FRAMONT operates an MFSA authorised platform for AIFs, AMCs and ETIs. More at framontmanagement.com.
The other products
The full catalogue, the product comparison and the structure of each wrapper are on Framont Access.
12Contact
Request the documentation
Current term sheet, factsheet, data room access and subscription instructions. The request goes directly to FRAMONT & Partners Management Ltd, which verifies professional investor eligibility before sending the documentation.
Investor enquiries
For the term sheet, the factsheet, the data room and subscription information. All official documents are provided exclusively through FRAMONT.
gianluigi.montagner@framontmanagement.comOffice
Dragonara Business Centre, 5th Floor
Dragonara Road, San Giljan STJ 3141
Malta
+356 20105592
Proposed path
Week 1: data room access. Weeks 2 to 3: technical and operational due diligence, independent review of the track record, capacity discussion. Weeks 4 to 6: choice of access route, term sheet, KYC and AML, contractual documentation. Indicative timing, with no commitment on either side.
This page is a marketing communication produced by FRAMONT & Partners Management Ltd and reserved for professional investors. It is not investment advice, a solicitation or a public offer of financial instruments: the certificate is placed by private placement only. The strategy trades futures with embedded leverage, long and short, and can lose value rapidly. The certificate is newly issued and has no track record of its own; the results shown relate to trades executed on test capital. Capital is at risk. Read the term sheet before investing. FRAMONT & Partners Management Ltd is authorised and regulated by the Malta Financial Services Authority as an Alternative Investment Fund Manager.