Quantica Managed Futures Focus UCITS Fund

Fund

The Quantica Managed Futures Focus UCITS Fund returned -5.6% in November 2023, bringing its year-to-date net performance to +1.2%.

The losses were mostly attributable to short positions in government bond, equity, and currency markets, all of which experienced significant and persistent trend reversals throughout November. Following a persistent rise over the last five months, US short- and long-term interest rates declined. The yield on 10-year US Treasuries, for instance, after rising by more than 150bps between May and October, corrected by almost 60bps in November. This led US sovereign and corporate debt to record their biggest monthly gains since the 1980s. Similarly, after continuously declining over the previous three months, global equity markets recorded one of their strongest monthly performances in years.

In light of such exceptional short-term market moves, the Fund’s net short exposure to fixed income, mostly driven by US short- and long-dated government bond futures, negatively impacted this month’s performance by -3.7%. Similarly, equities weighed on performance by -2.4%, largely attributable to the Fund’s short positions across US small cap, European and EM benchmarks. In addition, as the US Dollar weakened sharply with the drop in rates, the Fund’s overall long exposure to the greenback further detracted performance by -1.2%.

The November price reversals in equities, bonds, and currencies led the Fund to reduce its net aggregate directional exposure in all three assets classes. The Fund’s short notional equity exposure declined from -42% at the start to -1% at the end of the month (based on a 69% gross exposure). The Fund’s aggregate short notional (10-year duration equivalent) exposure across bonds and short rates was reduced by around 40% over the same period. Notably, the Fund’s net exposure to short-term interest rates flipped back from short to long for the first time in almost two years.

As a result, the Fund enters the last month of the year with government bond and short-term interest rate positions accounting for around 45% of its total portfolio risk. Currencies represent around 30% and equities around 25% of the portfolio’s risk.