Alma Quantica Managed Futures
Overview
Share Class
NAV
Cumulative Performance (%)
Fund Inception 7 August 2015
| Daily | Monthly | Ytd | 1Yr | 3Yr | 5Yr | Incept. | Incept.Date |
|---|
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
Funds Strategy
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) and FX Forwards, 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.
Investment Manager
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.
Key Persons
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
Performance
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.
Investment Manager's Commentary
as of 28/08/2020Fund
The Quantica Managed Futures Program (I3C-U) returned -3.97% for the month, bringing the annual net performance to -3.40%.
This month’s return is attributable to a pronounced reversal in two of the significant trends observed this year so far – positive equity market momentum and US Dollar weakening -, that represented more than 2/3 of QMF’s overall risk allocation at the beginning of September.
After surging to new all time highs, equity markets had their uptrend broken at the end of August and have lost additional ground in September. The equity market pullback and associated increase in volatility led to a reduction in QMF’s net exposure from 50% to 30% at the end of September and a -1.3% negative contribution to overall performance.
The strengthening of the US Dollar during the month adversely impacted on the one hand the Program’s net long positions in the Euro and the Australian Dollar within the FX book, and on the other hand its net long positions in Gold, Silver and Copper. The short-dollar trade reversal had an aggregate negative contribution of -2.7% to QMF’s September performance.
The Program’s risk allocation to the rates complex remains very low. Still it has contributed positively, driven by the Program’s largest long position in the space, Italian government bonds, balanced by short exposures in the 10yr JGB and the German Bund.
Other positive contributors for the month originated from the commodity space with a long position in soybeans and short positions in natural gas and heating oil.
At the end of September QMF’s main risk allocation remains split between US Equities, Metals and FX, with estimated portfolio volatility standing at 10.8%.
Facts & Documents
Facts
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
Identifiers:
I1C-C
ISIN: LU1869434909
Ticker: DPQI1CC LX
Launch: 14 Jun 2017
I1C-E
ISIN: LU1869435039
Ticker: DPQI1CE LX
Launch: 18 Apr 2019
I1C-G
ISIN: LU1869434818
Ticker: DPQI1CG LX
Launch: 26 Apr 2018
I1C-U
ISIN: LU1869435112
Ticker: DQMIICU LX
Launch: 11 Apr 2019
I2C-E
ISIN: LU1869435385
Ticker: DPQI2CE LX
Launch: 28 Oct 2016
I2C-U
ISIN: LU1869435203
Ticker: DPQI2CU LX
Launch: 30 Jun 2017
I3C-C
ISIN: LU1869435898
Ticker: DPQI3CC LX
Launch: 7 Aug 2015
I3C-E
ISIN: LU1869435542
Ticker: DPQI3CE LX
Launch: 7 Aug 2015
I3C-G
ISIN: LU1869435625
Ticker: DPQI3CG LX
Launch: 7 Aug 2015
I3C-U
ISIN: LU1869435468
Ticker: DPQI3CU LX
Launch: 7 Aug 2015
I4C-C
ISIN: LU1869435971
Ticker: DPQI4CC LX
Launch: 10 Dec 2015
I4C-E
ISIN: LU1869436193
Ticker: DPQI4CE LX
Launch: 19 Jul 2016
I4C-U
ISIN: LU1869436276
Ticker: DPQI4CU LX
Launch: 4 Sep 2015
I5C-E
ISIN: LU1869436359
Ticker: DPQI5CE LX
Launch: 13 Feb 2019
I5C-U
ISIN: LU1869436433
Ticker: DPQI5CU LX
Launch: 19 Feb 2019
R1C-C
ISIN: LU1869434578
Ticker: DPQR1CC LX
Launch: 27 May 2016
R1C-E
ISIN: LU1869434651
Ticker: DPQR1CE LX
Launch: 21 Oct 2015
R1C-G
ISIN: LU1869434735
Ticker: DPQR1CG LX
Launch: 9 Nov 2016
Documents
available upon request