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 Program returned 4.78% in April 2022, bringing its year-to-date net performance to 12.36%.
All asset-classes contributed positively to the performance, reflecting the diversity of sustained trends across equities, bonds, rates, commodities and currencies. The Program’s risk allocation across asset-classes remained stable throughout the month, with the only noticeable changes being moderate increases in its short equity exposure from -19% to -30%, its short fixed-income exposure from -41% to -62% (10-year duration equivalent exposures), and its long Dollar exposure from +10% to +17%.
The continuous rise of both short- and long-duration yields in the US and Europe throughout April supported the Program’s diversified set of short Fixed-Income and Rates positions, which returned 1.4% and 0.8%, respectively, over that period. Similarly, the Program’s diversified net short exposure to US, European, Asian, and Emerging Markets equity indexes enabled the Program to take advantage of the steady decline in global equity markets and returned 1.4% for the month.
Following two very strong months, the Commodities asset-class continued to offer a range of attractive and independent trend opportunities in April and contributed 1.2% to the monthly performance. Energy futures added 1.2%, while agricultural commodities returned 0.7% for the month. Metals were the only notable detractors from performance last month, with a negative contribution of -0.7%.
Finally, the two strongest return contributors in April were in FX, with short positions in the Japanese Yen and the Euro generating an aggregate 1.3%, following a continued weakening of both currencies against the US Dollar throughout the month. Overall, currencies added 0.8% to the overall performance in April.
In summary, a set of powerful and sustained trends across the most liquid financial markets remained in place, as the signal-driven portfolio turnover of the Program over the past three months stayed low, and the portfolio remained well diversified.
As of month-end, Commodities still have the highest risk allocation among all asset classes. The remainder of the Program’s overall portfolio risk remains well distributed across Equities, Fixed-Income, Rates and Currencies.
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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