Quantica Managed Futures UCITS Fund
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
Quantica Managed Futures UCITS Fund 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 29/10/2021
The Quantica Managed Futures UCITS Fund returned +2.1% in April 2023, bringing its year-to-date net performance to -5.0%.
Commodities were the main driver behind this month’s positive performance, returning 1.3% for April. The contributions of the remaining asset classes were mostly limited in comparison over this period. Equities gained 0.3%, attributable mostly to gains in European equities and currencies gained 0.2%. Fixed income & rates returned -0.1%.
Within commodities, agricultural commodities alone returned 2.5% in April, led by long positions in sugar and coffee, and short positions in wheat contracts. Such gains were however partially offset by losses of 0.8% and 0.4%, respectively, across the metals (led by iron ore) and the energy complex.
From a positioning perspective, the most notable change in April was recorded in the Fund’s net notional equity exposure, which increased from +15% at the beginning to +50% at the end of the month. At the same time, the Fund’s net US Dollar exposure switched from a +14% long to a -11% short position over the period. After March’s substantial reduction, the Fund’s aggregate net short exposure to fixed income & rates futures did remain stable throughout the month at a level of around -10% (10-year duration equivalent).
At the beginning of May, approximately 40% of the fund’s overall risk is allocated to commodity markets, 30% to equity markets, while the remainder is spread across fixed income, short-term interest rate, and FX markets.
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:
Luxembourg, Austria, Germany, France, UK, Italy, Switzerland, Finland, Ireland, Netherlands, Spain
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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available upon request