Quantica Managed Futures Focus UCITS Fund
Overview
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.
Share Class
NAV
Cumulative Performance (%)
Fund Inception 3 July 2018
| Daily | Monthly | Ytd | 1Yr | 3Yr | 5Yr | Incept. | Incept.Date |
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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
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.
Investment Manager
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.
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 30/08/2024Fund
The Quantica Managed Futures (QMF) Focus UCITS Fund returned -1.9% net of fees in August 2024, bringing its year-to-date net performance to +2.9%.
Gains in equities were outweighed by losses in currencies. Within equities, long volatility gains did more than offset losses from long positions in Japanese and technology stocks. Currencies were the biggest detractor this month, with short positions in the Japanese Yen, Canadian and Australian Dollars all contributing negatively. Finally, fixed income and rates had a small negative impact on last month’s performance, as profits in short-term interest rates were offset by a negative contribution from government bond futures.
The sharp sell-off in equities at the beginning of August, the persistent fall in interest rates and the continued weakening of the US dollar led to changes in the Program’s positioning across the different asset classes. While the Program’s net long exposure to equities was reduced by a third, its exposure to government bonds moved from short to long during August. At the same time, overall exposure to currency risk was halved, with the Program’s directional exposure to the US Dollar moving to neutral at the end of the month.
As of early September, equities represent half of the portfolio’s risk, with 40% allocated to fixed income and rates, while currencies account for the remaining 10%.
Facts & Documents
Facts
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
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: 30 Sep 2022
I1C-E
ISIN: LU1825540062
Ticker: ALMFFIE LX
Launch: 20 Jun 2023
I1C-C
ISIN: LU1825540229
Ticker: DBMFICA LX
Launch: 1 Mar 2021
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
I5C-C
ISIN: LU2379648533
Ticker: ALMFFIC LX
Launch: 28 Oct 2021
Documents
Subscribe to the Fund Monthly Newsletteravailable upon request