Alma Quantica Managed Futures Focus
Cumulative Performance (%)
Fund Inception 3 July 2018
The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance quoted. The investment return and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Strategy & Manager
Alma Platinum Quantica Managed Futures Focus is an open-ended UCITS compliant fund with Quantica Capital AG acting as Investment Manager. The Investment Strategy intends to gain exposure to global exchange-traded futures markets on equity indices, bonds, interest rates and currencies, all in accordance with Quantica’s proprietary systematic investment strategy. It aims to detect and take advantage of medium-term trend-following market inefficiencies in the financial futures markets (excluding commodity markets). It has low long-term correlation to traditional asset classes and offers diversification to both traditional and non-traditional investment portfolios. The Fund is highly style-consistent and follows a robust approach.
Founded in 2003 by Dr. Bruno Gmür, Quantica Capital AG is a Swiss alternative asset manager specialized in systematic investment strategies.
The Quantica Managed Futures Program (QMF) is managed according to proprietary systematic and quantitative models with a focus on sophisticated data analysis, portfolio construction, execution and risk management techniques.
Quantica’s investment philosophy centers on the conviction that quality risk-adjusted returns can be systematically exploited from liquid markets.
Quantica’s objective is to deliver intelligent portfolio diversification.
Dr Bruno Gmür, Chief Investment Officer
Dr Bruno Gmür is the founder and Chief Investment Officer of Quantica Capital. Previously, he held positions at Swiss Re in financial reinsurance structuring and at Bank Julius Baer, where he was head of the quantitative team in the chief investment office and a voting member of the bank’s strategic asset allocation committee. Before that, he was teaching graduate courses in game theory and financial economics at the University of Zurich.
Bruno holds a Ph.D. in financial economics from the University of Zurich (Dr. oec. publ., “summa cum laude”) and a master degree in mathematics from the Swiss Federal Institute of Technology (ETH Zurich). He is a qualified actuary and full member of the Swiss Association of Actuaries.
Statistics & Commentary
The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance data quoted. The investment return and the principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost.
Sector Breakdown as a % of AUM
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Investment Manager's Commentaryas of
Market Review and Outlook
In February 2020, the Quantica Managed Futures Program returned -4.48%, bringing the annual net performance to -3.36%.
Global markets moved in line with developments around the coronavirus outbreak and its perceived effect on the global economy. Initially, for the first three weeks, markets rallied and reached all-time highs. However, as concerns over the virus’ proliferation outside of China and impact on global supply chains weighed on investor sentiment, equity markets staged the largest pull back since the financial crisis to end the month in negative territory. Our long positioning worked against the correcting equity markets with the program’s largest losses coming from the DOW and S&P 500.
The coronavirus epidemic triggered an abrupt risk-off sentiment pushing global government bond yields lower. The US 10y plunged to record levels while JGB and Bund yields moved further below zero. The program’s increased exposure to Fixed Income helped offset losses from Equities. The largest positive contributions came from US fixed income instruments.
In FX, the QMF Program’s predominantly long USD positioning benefited from the month’s market behavior. Our short positions in AUD, CAD and EUR positively contributed to the overall portfolio.
The program has reduced its exposure to equities while significantly increasing its exposure to fixed income assets. The portfolio has increased its long exposure to the US dollar.
The program has decreased its fixed income positioning while keeping the rest of the portfolio relatively stable.
Facts & Documents
Fund Domicile: Luxembourg
Fund Type: UCITS SICAV
Fund Launch: 3 July 2018
Base Currency: USD
Depositary, Administrator, Transfert Agent: RBC Investor Services Bank S.A.
Dealing: Each day with a 1-day notice
Cut-off time: 3 pm CET
Management Company: Alma Capital Investment Management
Investment Manager: Quantica Capital AG
Countries where the fund is registered:
France, Germany, Ireland, Luxembourg, Switzerland, UK
ISIN: LU1825540146 Ticker: DBQI1CU LX Launch: 3 Jul 2018
ISIN: LU1825540575 Ticker: DBQI2CU LX Launch: 12 Jul 2018
ISIN: LU1825540492 Ticker: DBQI3CC LX Launch: 20 Jul 2018
ISIN: LU1857216391 Ticker: DBQI4CU LX Launch: 7 Sep 2018