Alma Quantica Managed Futures Focus
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
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.
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.
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 16/10/2020
The Quantica Managed Futures Program returned 3.39% for the month, bringing the annual net performance to 2.54%.
The past month has offered an exceptional environment for trend following with 35 of the Program’s 47 traded futures contributing positively. The QMF Program successfully captured multiple trends in equity and FX markets:
• A diversified long equity positioning across the US, Asia and Emerging Markets accounted for a third of the Program’s overall returns, benefiting from global equity markets rising to new highs into the year-end.
• A further weakening of the US Dollar benefited the Program’s short Dollar positioning across its book of European and Asia-Pacific currency futures, generating a noteworthy gain of 1.3% for the month.
In contrast, relative trend opportunities in fixed income and short-term interest rates remained limited, with the QMF Program maintaining a modest overall short risk allocation to the asset class mainly through a short positioning across the US maturity curve. The return contribution of fixed income and rates was therefore marginal, but positive.
It is worth mentioning that despite the strong momentum in global equities, the QMF Program decreased its net equity exposure from 57% to 34% throughout December. This is a consequence of the Program’s relative, risk-adjusted approach, and the emergence of comparatively stronger risk-adjusted trends in currency markets. As such, the Program increased its aggregate long FX risk exposure significantly to 87% compared to 58% at the beginning of the month.
As we move into a new year, the weakening US Dollar remains one, if not, the key driving factor behind many of the trends and market dynamics currently at play in two of the three main asset classes. While it has delivered some sizable profits since the beginning of November, it also currently represents the biggest risk factor exposure of the QMF Program.
Facts & Documents
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
ISIN: LU1825540146 Ticker: DBQI1CU LX Launch: 3 Jul 2018
ISIN: LU1825540575 Ticker: DBQI2CU LX Launch: 12 Jul 2018
ISIN: LU1825540492 Ticker: DBQI3CC LX Launch: 20 Jul 2018
ISIN: LU1857216391 Ticker: DBQI4CU LX Launch: 7 Sep 2018