Alma Quantica Managed Futures Focus

Fund

The Quantica Managed Futures Program returned -3.95% in June 2021, bringing its year-to-date net performance to 0.37%.

The reflationary market environment, which has given rise to multiple strong and continuous trends across asset classes since the end of last year, has – at least temporarily – been challenged during June. Most asset classes reversed from their longer-term trends, which translated into losses for the QMF Program. A sudden strengthening of the US Dollar led to losses in the Program’s FX positions (predominantly from commodity currencies CAD, AUD and NZD) amounting to -182bps. The flattening of the US yield curve led to a negative contribution of -205bps from the QMF Program’s short exposure to government bond futures, stemming predominantly from the long end of the US, EUR and CAD yield curves. The contribution from equities was flat this month.

The weakening trends observed during June led to some significant changes in the portfolio. The Program reduced its net exposure to bond futures from -228% (10-year duration equivalent) at the end of May by almost half to 122%. Long exposures to most FX futures in the portfolio were notably reduced. Indeed, the Program’s net short Dollar exposure was reduced by more than two-thirds from previously 60% to now 18%. Conversely, the reduced risk allocation to bonds and FX, driven by a weakening trend opportunity set, was accompanied by an increased risk allocation to equities (from -5% to 39%, marking a new high for the year), reflective of increased attractiveness of the asset class on a relative risk-adjusted basis.

From a risk attribution perspective, the portfolio is more diversified today than it was a month ago, with a more balanced risk allocation between short fixed income and long equities and FX positions.