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Quantmetrics Capital to launch UCITS version of Quantmetrics Multi Strategy Fund

Monday, March 23, 2015
Opalesque Industry Update - Quantmetrics Capital Management LLP will launch in April a UCITS version of its successful Quantmetrics Multi Strategy Fund on the Alpha UCITS Platform.

Quantmetrics is a London based investment manager set up in 2003 by James Fowler and Dr. Mushtaq Shah. The Quantmetrics Multi Strategy Fund implements about 50 model-driven futures trading strategies that aim to identify and exploit short-term mispricings in the equity index and government bond futures markets. The underlying assumption is that the behaviour of participants in futures’ markets generates supply-demand imbalances on a regular basis. The causes of such short-term mispricings can be either recurring events or features impacting the mechanisms of financial futures such as government bond auctions, futures expiries and roll-overs, cash market open and closing times, the seasonality/time of the month etc. or price moves leading market participants to behave in a certain way. The strategy aims at anticipating the behavior of investors around such events.

The strategy comes with a proven 9 year track record and according to the manager can serve as a diversifier in any portfolio. It is a new strategy in the UCITS space:

Strategy highlights:

  • Strategy: "behaviourial quant", quant strategies looking to anticipate investors' behaviour and flows on financial futures.
  • Implementation only through futures on equity indices, bonds and a bit of FX Manager: Quantmetrics Capital Management LLP, London
  • Firm AuM of $950m (including leverage on managed accounts)
  • 9 year strategy track record with 14.75% average annual returns, 9.4% annualised volatility, 11% maximum cumulative drawdown and only one negative calendar year. 16.8% net return in 2014. +4.92% YTD per end of February 2015.
  • Portfolio benefits: strategy has historically shown negative correlation to S&P in falling/stressed markets and positive correlation in rising equity markets.
  • Has no trend-following models and is uncorrelated with CTAs.

UCITS highlights:

  • UCITS launch expected in mid/late April 2015 on Alpha UCITS Platform.
  • Strategy implemented pari passu in UCITS and offshore fund.
  • Daily NAV and dealing.
  • Early bird share class on offer for first $100m at 0.75% + 20%. Normal institutional share class thereafter at 1.50%+20%.
  • Operational costs capped at 0.25% p.a. maximum.

Alpha UCITS is an independent structuring and distribution platform for UCITS funds launched by blue chip hedge fund managers. Alpha UCITS was set up in 2009 and is based in London.

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