Alma Quantica Managed Futures Focus
Overview
Share Class
NAV
Cumulative Performance (%)
Fund Inception 3 July 2018
| Daily | Monthly | Ytd | 1Yr | 3Yr | 5Yr | Incept. | Incept.Date |
|---|
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
Alma Platinum Quantica Managed Futures Focus 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.
Investment Manager
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.
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 28/05/2021Fund
The Quantica Managed Futures Program returned 1.20% in August 2021, bringing its year-to-date net performance to 1.56%.
The upward trend in global equity markets continued in August. This led the QMF Program to benefit from its increasing aggregate long position in equities, which had already started to be built up at the end of May. Consequently, the QMF Program’s equity exposure was by far the strongest return contributor for the month (+280bps). The main detractor this month were fixed income and STIRs with -110bps. The FX contribution was a negative 10bps.
The last couple of weeks saw a continuation in the QMF Program’s portfolio allocation dynamics initiated towards the end of June:
• The aggregate net exposure to fixed income further increased over the course of the month and stood at 211% (10-year duration equivalent) by the end of August.
• Aggregate net exposure to equities increased from 108% at the end of July to 144% at the end of the month.
• Finally, the build-up of an aggregate long US Dollar position continued in August. The net exposure of -56% stems largely from short positions in the Euro (-40%), the Australian Dollar (-18%) and the Yen (-7%).
Equities continue to be the portfolio’s asset class with the largest risk exposure, displaying a stable 1-day VaR (99%) of 156bps throughout August. The corresponding VaRs for fixed income & rates and FX both increased over the course of the month and stand at 86bps and 43bps respectively.
Facts & Documents
Facts
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
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-U
ISIN: LU1825540146
Ticker: DBQI1CU LX
Launch: 3 Jul 2018
I2C-U
ISIN: LU1825540575
Ticker: DBQI2CU LX
Launch: 12 Jul 2018
I3C-C
ISIN: LU1825540492
Ticker: DBQI3CC LX
Launch: 20 Jul 2018
I4C-U
ISIN: LU1857216391
Ticker: DBQI4CU LX
Launch: 7 Sep 2018
I1C-C
ISIN: LU1825540229
Ticker: DBMFICA LX
Launch: 1 Mar 2021
Documents
available upon request