Alma Quantica Managed Futures Focus

Fund

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.