Alma Quantica Managed Futures
Cumulative Performance (%)
Fund Inception 7 August 2015
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 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 (equity indices, bonds, interest rates, currencies and commodities), 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 futures 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 28/07/2021
The Quantica Managed Futures Program returned 0.77% in August 2021, bringing its year-to-date net performance to 9.33%.
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 (+240bps). The total contribution from commodities was a negative 41bps, which was driven, just like in July, by the Program’s long exposure to the energy sector. The other detractor this month were fixed income and STIRs with -95bps. 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 173% (10-year duration equivalent) by the end of August.
• Aggregate net exposure to equities increased from 90% at the end of July to 118% at the end of the month.
• Conversely, exposure to commodity markets decreased further to 7%, with only minor long exposures remaining in energy (5%) and agriculturals (3%).
• Finally, the build-up of an aggregate long US Dollar position continued in August. The net exposure of -45% stems largely from short positions in the Euro (-33%), the Australian Dollar (-14%) and the Yen (-6%).
Equities continue to be the portfolio’s asset class with the largest risk exposure, displaying a stable 1-day VaR (99%) of 130bps throughout August. The corresponding VaRs for fixed income & rates and FX both increased over the course of the month and stand at 70bps and 35bps respectively. Commodities, which had accounted for a large portion of the program’s risk allocation since the beginning of the year, are now the asset class with the smallest risk attribution, with a VaR of 24bps.
Facts & Documents
Fund Domicile: Luxembourg
Fund Type: UCITS SICAV
Fund Launch: 7 August 2015
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:
Finland, France, Germany, Ireland, Italy, Luxembourg, Spain, Switzerland, UK
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.
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