Quantica Managed Futures Focus UCITS Fund
Quantica Managed Futures Focus provides 100% participation in the Quantica Managed Futures Program, which is owned and operated by Quantica Capital, but excluding any commodity market exposure. 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.
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
The 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.
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.
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 30/11/2023
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.
Facts & Documents
Fund Domicile: Luxembourg
Fund Type: UCITS SICAV
Fund Launch: 3 July 2018
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, Ireland
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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