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 31/12/2020
The Quantica Managed Futures Program returned -1.41% in March 2021, bringing its year-to-date net performance to 8.26%.
The Program’s returns were predominantly driven by its exposure to the reflationary trade, put in place by long positions in energy and commodity currencies, as well as short positions in most of the bond futures. Commodities and FX contributed a negative -40bps or -50bps respectively for the month of March. The short bond exposure, on the other hand, contributed a positive 70bps.
With roughly -70bps, the Program’s equity positions contributed negatively to this month’s performance, mostly driven by short positions in European index futures. Noteworthy exceptions were the positively contributing long positions in the FTSE Taiwan and the Topix. The QMF Program’s equity risk allocation remains at an unusually low level of 15bps, which is less than a sixth of its long-term average. This is especially remarkable given the fact that many equity markets keep hovering around their all-time highs. This reflects the way in which the QMF Program, by measuring trends on a relative and risk-adjusted basis, currently identifies stronger trend opportunities in commodity, bond and currency markets than in equity markets.
As with equities, the QMF Program’s overall risk allocation remained fairly stable throughout March, with the Program’s main risk exposures to short bond and long commodity positions hovering at around 90bps and 105bps in terms of one-day VaR 99%, respectively. The Program’s risk allocation to commodities – driven predominantly by long positions in energy futures – reached historically high levels towards the end of the month. Only once in the last eight years (back in January 2016) did the Program display a similar exposure to commodities.
In contrast, the Program reduced its short Dollar risk exposure by almost a third in March, following a material and persistent strengthening of the US Dollar from its end-of-February lows versus all major currencies.
The QMF Program’s general asset allocation remains stable, and the portfolio is still well-positioned to benefit from a reflationary market environment.
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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