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 28/05/2021
The Quantica Managed Futures Program returned -3.85% in June 2021, bringing its year-to-date net performance to 8.59%.
The reflationary market environment, which has given rise to multiple strong and continuous trends across asset classes since the end of last year, has – at least temporarily – been challenged during June. Most asset classes reversed from their longer-term trends, which translated into losses for the QMF Program. Nevertheless, return dispersion within commodities was very high in June. While the Program’s long energy exposure was the strongest return contributor for the month (+145bps), long exposures in agriculturals and metals were detractors to performance (-40bps and
-130bps, respectively). A sudden strengthening of the US Dollar led to losses in the Program’s FX positions (predominantly from commodity currencies CAD, AUD and NZD) amounting to -155bps. The flattening of the US yield curve led to a negative contribution of -167bps from the QMF Program’s short exposure to government bond futures, stemming predominantly from the long end of the US, EUR and CAD yield curves. The contribution from equities was flat this month.
The weakening trends observed during June led to some significant changes in the portfolio. The Program reduced its net exposure to bond futures from -257% (10-year duration equivalent) at the end of May by almost half to 133%. Long exposures to most commodities and FX futures in the portfolio were notably reduced. Indeed, the Program’s net short Dollar exposure was reduced by more than two-thirds from previously 72% to now 22%. Conversely, the reduced risk allocation to commodities, bonds and FX, driven by a weakening trend opportunity set, was accompanied by an increased risk allocation to equities (from -6% to 46%, marking a new high for the year), reflective of increased attractiveness of the asset class on a relative risk-adjusted basis.
From a risk attribution perspective, the portfolio is more diversified today than it was a month ago, with a more balanced risk allocation between long commodities, short fixed income and long equities and FX positions.
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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