Quantica Managed Futures Focus provides 100% participation in the Quantica Managed Futures Program, which is owned and operated by Quantica Capital. The QMF Program is a systematic investment strategy relying on proprietary quantitative models that aim to identify and take advantage of trend-following market inefficiencies in a diversified, liquid investment universe.

Share Class


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

The 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.

Investment Manager

Quantica Capital AG is a Swiss alternative asset manager founded in 2003 by Dr. Bruno Gmür, 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


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 31/10/2023


The Quantica Managed Futures UCITS Fund returned -4.5% in November 2023, bringing its year-to-date net performance to +0.3%.

The losses were mostly attributable to short positions in government bond, equity, and currency markets, all of which experienced significant and persistent trend reversals throughout November. Following a persistent rise over the last five months, US short- and long-term interest rates declined. The yield on 10-year US Treasuries, for instance, after rising by more than 150bps between May and October, corrected by almost 60bps in November. This led US sovereign and corporate debt to record their biggest monthly gains since the 1980s. Similarly, after continuously declining over the previous three months, global equity markets recorded one of their strongest monthly performances in years.

In light of such exceptional short-term market moves, the Fund’s net short exposure to fixed income, mostly driven by US short- and long-dated government bond futures, negatively impacted this month’s performance by -3.2%. Similarly, equities weighed on performance by -2.0%, largely attributable to the Fund’s short positions across US small cap, European and EM benchmarks. In addition, as the US Dollar weakened sharply with the drop in rates, the Fund’s overall long exposure to the greenback further detracted performance by -1.0%.

In contrast, the Fund’s positions across the commodity space did not suffer similar trend reversals. With a gain of 0.3%, commodities were a positive performance contributor last month, primarily driven by the metals sector.

The November price reversals in equities, bonds, and currencies led the Fund to reduce its net aggregate directional exposure in all three assets classes. The Fund’s short notional equity exposure declined from -35% at the start to -3% at the end of the month (based on a 54% gross exposure). The Fund’s aggregate short notional (10-year duration equivalent) exposure across bonds and short rates was reduced by around 40% over the same period. Notably, the Fund’s net exposure to short-term interest rates flipped back from short to long for the first time in almost two years.

As a result, the Fund enters the last month of the year with government bond and short-term interest rate positions accounting for around 35% of its total portfolio risk. Commodities and currencies each represent around 25% and equities around 15% of the portfolio’s risk.

Facts & Documents


Fund Domicile: Luxembourg


Fund Launch: 7 August 2015

Base Currency: USD

Depositary, Administrator, Transfert Agent: CACEIS 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

Sustainability-related disclosures:
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.


ISIN: LU1869434909   Ticker: DPQI1CC LX    Launch: 14 Jun 2017

ISIN: LU1869435039   Ticker: DPQI1CE LX    Launch: 18 Apr 2019

ISIN: LU1869434818   Ticker: DPQI1CG LX    Launch: 26 Apr 2018

ISIN: LU1869435112   Ticker: DQMIICU LX    Launch: 11 Apr 2019

ISIN: LU1869435385   Ticker: DPQI2CE LX    Launch: 28 Oct 2016

ISIN: LU1869435203   Ticker: DPQI2CU LX    Launch: 30 Jun 2017

ISIN: LU1869435898   Ticker: DPQI3CC LX    Launch: 7 Aug 2015

ISIN: LU1869435542   Ticker: DPQI3CE LX    Launch: 7 Aug 2015

ISIN: LU1869435625   Ticker: DPQI3CG LX    Launch: 7 Aug 2015

ISIN: LU1869435468   Ticker: DPQI3CU LX    Launch: 7 Aug 2015

ISIN: LU1869435971   Ticker: DPQI4CC LX    Launch: 10 Dec 2015

ISIN: LU1869436193   Ticker: DPQI4CE LX    Launch: 19 Jul 2016

ISIN: LU1869436276   Ticker: DPQI4CU LX    Launch: 4 Sep 2015

ISIN: LU1869436359   Ticker: DPQI5CE LX    Launch: 13 Feb 2019

ISIN: LU1869436433   Ticker: DPQI5CU LX    Launch: 19 Feb 2019

ISIN: LU1869434578   Ticker: DPQR1CC LX    Launch: 27 May 2016

ISIN: LU1869434651   Ticker: DPQR1CE LX    Launch: 21 Oct 2015


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