Alma Quantica Managed Futures Focus

Fund

The Quantica Managed Futures Program returned -1.67% for the month, bringing the annual net performance to -4.99%.

October performance was to a large degree determined by the Program’s long US equity exposure, which contributed positively for the first half of the month. Such positive returns, however, were consequently wiped during the remainder of the month, when markets started to correct with rising fear from repeated lockdowns and increasing uncertainties around the upcoming US election. The negative equity contribution of 1.9% was somewhat mitigated by the Program’s fixed income exposure, which added a positive 0.3%.

Throughout the month, the QMF Program’s overall net exposure was further diversified. This was mainly driven by adding long exposure to bonds, with the 10-year equivalent net exposure to fixed income futures rising from 20% to almost 65% by the end of the month. This long bond trend was driven largely by European government bonds, while at the same time the exposure to their US, Japanese and British counterparts turned or remained slightly short.

The exposure to the short dollar trend, which had been a key factor in the portfolio construction throughout September, remains visible in what are still comparably large FX (mostly CHF and EUR) net long exposures.

At the end of October, the QMF Program is well diversified with the largest exposures being in North American equities and European bonds. The estimated portfolio volatility stands at 9.1%.