Quantica Managed Futures UCITS Fund
Overview
Quantica Managed Futures Focus provides 100% participation in the Quantica Managed Futures Program, which is owned and operated by Quantica Capital. The QMF Program is a systematic investment strategy relying on proprietary quantitative models that aim to identify and take advantage of trend-following market inefficiencies in a diversified, liquid investment universe.
Share Class
NAV
Cumulative Performance (%)
Fund Inception 7 August 2015
Daily | Monthly | Ytd | 1Yr | 3Yr | 5Yr | Incept. | Incept.Date |
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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
Funds Strategy
The Strategy intends to gain exposure to global exchange-traded futures markets (equity indices, bonds, interest rates, currencies and commodities), 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 futures 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.
Investment Manager
Quantica Capital AG is a Swiss alternative asset manager founded in 2003 by Dr. Bruno Gmür, 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.
Key Persons
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
Performance
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.
Investment Manager's Commentary
as of 29/02/2024Fund
The Quantica Managed Futures UCITS Fund returned +3.8% net of fees in February 2024, bringing its year-to-date net performance to +5.9%.
As in the previous month, commodities and equities were the key performance drivers, contributing +2.4% and +2.7% respectively to the Fund in February. Commodity performance was largely driven by gains in agricultural commodities, with cocoa futures being the top performer both for the month and year to date. Cocoa futures saw the biggest monthly advance in more than two decades on the back of growing supply fears for the key chocolate ingredient. Other meaningful contributors in February were a short position in soybeans and a long position in cotton. In equities, gains were evenly spread across regions, with the S&P 500 and the Nasdaq being the biggest contributors, as both market indices reached new all-time highs at the end of the month.
Fixed income and currencies also made a modest positive contribution in February, with – again – a short position in the Japanese Yen being the best performing position within these asset classes.
The only detracting sector was short-term interest rates, reducing overall performance by -0.9%, with long positions in the 3-month interest rates futures in EUR and GBP being the main detractors.
Changes in positioning of the Fund were largely confined to the fixed income and currency sectors during the month. The Fund moved from a net long to a net short position in government bond futures, as it reduced its 10-year-duration equivalent net exposure from +21% to -21%. At the same time, the Fund increased its aggregate long position in the US Dollar from +3% to +21%.
Heading into March, equities account for around 40% of the total portfolio risk as a result of these portfolio changes. Fixed income & interest rates and commodity positions each account for around 25% of the portfolio’s risk and currencies make up the remainder.
Facts & Documents
Facts
Fund Domicile: Luxembourg
Fund Type: UCITS SICAV
Fund Launch: 7 August 2015
Base Currency: USD
Depositary, Administrator, Transfert Agent: CACEIS 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:
Luxembourg, Austria, Germany, France, UK, Italy, Switzerland, Finland, Ireland, Netherlands, Spain
Sustainability-related disclosures:
The information related to the integration of sustainability risks and to the potential adverse sustainability impacts at the sub-fund level can be found in the prospectus of the Fund.
Identifiers:
I1C-C
ISIN: LU1869434909
Ticker: DPQI1CC LX
Launch: 14 Jun 2017
I1C-E
ISIN: LU1869435039
Ticker: DPQI1CE LX
Launch: 18 Apr 2019
I1C-G
ISIN: LU1869434818
Ticker: DPQI1CG LX
Launch: 26 Apr 2018
I1C-U
ISIN: LU1869435112
Ticker: DQMIICU LX
Launch: 11 Apr 2019
I2C-E
ISIN: LU1869435385
Ticker: DPQI2CE LX
Launch: 28 Oct 2016
I2C-U
ISIN: LU1869435203
Ticker: DPQI2CU LX
Launch: 30 Jun 2017
I3C-C
ISIN: LU1869435898
Ticker: DPQI3CC LX
Launch: 7 Aug 2015
I3C-E
ISIN: LU1869435542
Ticker: DPQI3CE LX
Launch: 7 Aug 2015
I3C-G
ISIN: LU1869435625
Ticker: DPQI3CG LX
Launch: 7 Aug 2015
I3C-U
ISIN: LU1869435468
Ticker: DPQI3CU LX
Launch: 7 Aug 2015
I4C-C
ISIN: LU1869435971
Ticker: DPQI4CC LX
Launch: 10 Dec 2015
I4C-E
ISIN: LU1869436193
Ticker: DPQI4CE LX
Launch: 19 Jul 2016
I4C-U
ISIN: LU1869436276
Ticker: DPQI4CU LX
Launch: 4 Sep 2015
R1C-C
ISIN: LU1869434578
Ticker: DPQR1CC LX
Launch: 27 May 2016
R1C-E
ISIN: LU1869434651
Ticker: DPQR1CE LX
Launch: 21 Oct 2015
Documents
Subscribe to the Fund Monthly Newsletteravailable upon request