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Quantica Capital AG

Managed Futures program

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Monthly performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2017-1.00%4.30%0.10%1.70%2.30%-4.10%0.60%     3.74%
20165.90%2.90%-2.80%0.70%-0.70%6.00%0.10%-2.70%0.50%-3.60%-0.80%2.50%7.72%
20153.40%-1.10%1.20%-2.90%-0.10%-4.00%-0.80%-8.90%3.00%-1.80%-0.70%-3.30%-15.41%
2014-3.30%3.70%0.20%0.50%1.30%2.10%-0.50%1.90%0.30%0.90%4.90%1.80%14.44%
20136.74%-1.21%2.36%1.55%-0.80%-4.42%1.99%-2.20%3.04%2.49%1.00%-0.10%10.46%
20120.54%2.05%-0.35%-1.62%-1.21%-2.11%4.31%-2.50%-0.52%-2.89%0.46%-0.39%-4.37%
20110.00%3.23%-2.76%4.45%-3.02%-3.07%5.53%5.33%-0.13%-1.25%0.00%0.88%8.99%
2010-3.31%2.48%2.39%1.60%-2.80%0.90%-1.10%4.70%-0.80%1.80%-1.50%4.30%8.61%
2009-0.74%0.45%0.93%-0.71%2.26%-3.11%1.46%1.03%2.02%-3.21%4.51%-3.41%1.15%
20086.61%2.84%2.03%-0.02%0.36%1.37%-3.43%-1.94%-0.96%4.77%4.17%2.01%18.80%
20071.30%-1.35%-0.74%3.84%2.85%1.17%-5.36%-4.71%5.20%2.26%1.20%0.56%5.82%
20064.05%-1.15%5.21%5.54%-4.04%-3.42%-0.66%1.58%0.69%1.30%1.64%0.57%11.36%
2005-1.52%-2.39%-1.10%1.05%4.98%1.91%3.96%3.45%12.38%-4.74%4.50%2.47%26.71%

Performance statistics — Jan 2005 to Jul 2017

Cumulative total return 142.73%
Annualized compound return 7.30%
Annualized standard deviation 10.32%
Monthly correlation to S&P 500 TRI 0.11
Annualized sharpe ratio (0%) 0.62
Monthly maximum loss (Aug 2015) -8.90%
Maximum drawdown (Apr 2015 - Dec 2015) -18.26%

Annual performance (%) — Jan 2005 to Jul 2017

Year or YTD Quantica Capital S&P 500 TRIBTOP50 Index
20173.7411.59-4.21
20167.7211.96-4.44
2015-15.411.38-0.92
201414.4413.6912.33
201310.4632.390.74
2012-4.3716.00-1.83
20118.992.11-4.25
20108.6115.066.38
20091.1526.46-4.77
200818.80-37.0013.58
20075.825.497.57
200611.3615.795.61
200526.714.912.76

Performance comparison: Growth of $10,000 invested since inception — Jan 2005 to Jul 2017

This chart represents a hypothetical investment of $10,000 at the time of the strategy’s inception and is not intended to imply an actual investment. Hypothetical returns do not assume the reinvestment of dividends and income.

Monthly returns — Aug 2007 to Jul 2017

Distribution of monthly returns — Jan 2005 to Jul 2017

Underwater curve — Jan 2005 to Jul 2017

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656

Investment goal

To generate capital growth by investing in liquid futures and forward contracts in different asset classes.

Markets traded

FX, Equity Indices, Fixed Income, Interest Rates, Commodity

Strategy

The Quantica Managed Futures Program ("QMFP") has the objective of generating capital growth by investing in liquid futures and forward contracts in different asset classes. The investment universe includes the most liquid global equity indices, fixed income, interest rate, currency, and commodity contracts, and investment decisions are based on a proprietary quantitative model designed to identify and exploit market inefficiencies in relative price movements across the different instruments. QMFP is fully systematic and takes long and short positions in futures and forward contracts within the different asset classes in accordance with well-defined risk parameters.

Key personnel

Dr. Bruno Gmür, Founding Partner and CEO/CIO - Dr. Bruno Gmür is a founding partner and CEO/CIO of Quantica Capital AG. 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.

Patrick J. Aregger, CEO – Mr. Aregger is Chief Executive Officer at Quantica Capital. He was previously with a Zurich based family office, where as CEO and Partner he managed to successfully build-up and further develop the company’s business both in Germany and Switzerland. Prior to that Patrick was Partner and Head of Distribution at Horizon21. This was after Noble Investments Switzerland, a company co-founded by Patrick and specialized in structuring and distributing hedge funds products, was acquired by the group. Patrick had started his career in financial services in 1999 with Man Investment Products as a Global Business Development Manager after having spent close to a decade as physical commodities trader mostly in Asia.

Thomas Looser, Chief Operating Officer — Thomas Looser is Chief Operating Officer at Quantica Capital AG. He was previously a senior quantitative analyst at Bank Vontobel, engineering investment products mainly for institutional clients and co-heading the product engineering and analysis department. Before that, he held various positions within Swiss Re, including working as a quantitative analyst at Swiss Re Alternative Investments, as an asset-liability management analyst at Conning Asset Management in the U.S. and as a risk manager at Swiss Re Investors. He started his career in the actuarial department of Swiss Re Life & Health. Thomas holds a master’s degree in mathematics from the Swiss Federal Institute of Technology (ETH Zurich) and is a CAIA charterholder.

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656