Quantica Managed Futures UCITS

Investment Objective

Quantica Managed Futures UCITS 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.

Latest Meeting Note

Meeting 05 Jun 2023

The Quantica Managed Futures Program (QMF) Program is a research-driven medium term trend following strategy that utilises risk-adjusted and relative trend measurements across its universe of 97 futures markets. It considers each instrum...

The Quantica Managed Futures Program (QMF) Program is a research-driven medium term trend following strategy that utilises risk-adjusted and relative trend measurements across its universe of 97 futures markets. It considers each instrument's performance within a multi-dimensional context relative to the other markets, as opposed to evaluating them in isolation with this method helping to identify decorrelation, divergence, dispersion, and patterns of over- or underperformance over a medium to long-term timeframe. The approach helps to make the fund more adaptable to changing correlation patterns and market regimes, such as the shift from 'risk on' to 'risk off' markets. Signal generation, the first step in Quantica's process, integrates cross-instrument and cross-asset correlations, differing from conventional methods that typically factor these in during later portfolio construction. This portfolio construction phase is bottom-up and opportunistic, allowing asset class and instrument weights to fluctuate significantly based on the strength of trend signals. This dynamic method contributes to performance by underweighting exposures to stagnant markets and overweighting those with the most robust trends. Efficient implementation, a key component of Quantica's process, minimizes portfolio turnover and transaction costs by trading only in liquid markets and maintaining a low turnover rate. The methodology, which is exponentially weighted, detects trends over 6-8 weeks, though some holding periods can extend to years. The fund aims to offer attractive risk-adjusted returns over the long term, with a target of 12% gross annualised volatility, in an effort to deliver a long-term gross Sharpe ratio of 1. The fund seeks to maintain low to no correlation with both traditional and alternative asset classes, while providing liquid exposure with maximum transparency.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2023 0.3 0.9 0.1 0.3 0.7 0.6 0.4 0.3 0.1 0.8 0.7 0.7 0.5
2022 0.4 0.2 0.5 0.0 0.8 0.8 1.0 0.8 0.8 0.3 0.3 0.0 0.9

or Register for Free

  • Gain access to comprehensive data and information regarding alternative UCITS funds
  • Keep track of performance, flows, and fees trends
  • Access the latest thematic research written by our team of expert in-house analysts
Current Site Absolute Hedge is a market leading UCITS research database providing proprietary research on funds, themes and strategies in the UCITS space. Kepler Trust Intelligence is produced by the investment companies team at Kepler Partners and is the UK’s premier source of detailed qualitative research on investment trusts. Kepler Liquid Strategies is a Dublin domiciled UCITS fund platform featuring a number of best-of-breed fund managers. Kepler Partners is a corporate advisory and asset raising boutique specialising in the regulated funds market in Europe and investment trusts in the UK.