Quantica Managed Futures Focus UCITS Fund
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
Quantica Managed Futures Focus UCITS Fund 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
as a % of AUM
as a % of AUM
as a % of AUM
Investment Manager's Commentaryas of 29/10/2021
‘The Quantica Managed Futures Focus Fund returned -5.82% in July 2022, bringing its year-to-date net performance to 3.94%.
The month was characterized by a substantial and broad-based reversal of trends across all asset-classes, driven by a strong “off-the-lows” rally in global equities, plunging short- and long-term interest rates and a weakening US Dollar. These price dynamics went against the Fund’s net short equity, short fixed-income & rates and long US Dollar positioning.
Consequently, equities detracted from overall performance by -3.0%. In addition, the Program’s fixed-income, short-term interest rates, and currency positions reduced overall performance by -1.7%, -0.6%, and -0.9%, respectively.
As of August 1, 40% of the Focus Fund’s overall risk remains allocated to short equity positions. Another 30% is linked to long US Dollar exposure. The remaining 30% is split evenly between short fixed-income & rates risk.
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
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.
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