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 -1.4% in December 2022, bringing the net return for the year to +11.7%.
This month’s performance was mainly attributable to equities and currencies. Equities were the main detractor, returning -1.1%, driven by the Fund’s net long exposure to European markets, which reversed some of their strong gains from the previous month, and its net short exposure to Asian markets, which were buoyed by a faster than anticipated China reopening. Currencies also weighed on performance, returning -0.6% for the month, mainly on the back of the sharp strengthening of the Japanese Yen against the US Dollar.
The overall contribution of short-term interest rates and fixed income was mostly neutral, although government bonds in the US and Europe displayed some large intra-month volatility. Similarly, commodities ended the month flat, but hiding significant intra-month reversals and dispersion across sub-sectors. Ultimately, by the end of December, gains in precious metals and agricultural markets were offset by losses of equivalent magnitude in different energy markets.
The market moves of December had a limited impact on the overall positioning of the Fund, except for commodities. The Fund kept a mostly neutral net exposure, in both equities and currencies, associated with a gross exposure of around 40% and 36%, respectively. Notably, the Fund’s net exposure to the US Dollar turned short into year-end (i.e., 4%), a first in almost 18 months. At the same time, 10-year duration equivalent net exposure in fixed income & interest rates remained at -57% at the end of the month. More generally, December saw a relative re-allocation of risk by the Fund from equities, fixed income, and currencies into commodities, with its net long exposure increasing from 32% at the beginning to 52% at the end of the month.
As a result, heading into the new year, two-thirds of the Fund’s overall risk is split roughly equally between a net long exposure to commodities and a net short exposure to government bonds and short-term interest rates.
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.
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
ISIN: LU1869434735 Ticker: DPQR1CG LX Launch: 9 Nov 2016