Sat, Sep 25, 2021
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

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.

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. PE/VC: Private equity continues to lead fund closings, Venture capital firms are fighting to throw money at cleantech[more]

    Private equity continues to lead fund closings From Among private fund closings, private equity funds have led the pack starting in 2011, based on data collected by Pensions & Investments. During those years, private equity's share has ranged from 56% to 72% of the total

  2. PE/VC: Climate tech is hot, but VCs can't forget about water, Five top trusts to tap into the private equity boom[more]

    Climate tech is hot, but VCs can't forget about water From Crunch Base: "It is unequivocal that human influence has warmed the atmosphere, oceans, and land." These fiery words come from the latest landmark U.N. report detailing intensifying, universal climate change impacts. They cover

  3. New Launches: H.I.G. closes first European buyout fund at $2.4bn, Cheyne Capital raises another $1.18bn credit fund to invest in struggling European companies, Falfurrias Capital Partners raises $850m in oversubscribed fund, Alan Howard-backed 10T raises $750m for debut crypto fund, Crayhill Capital strikes $820m hard cap close for second credit-focused fundraise, Edmond de Rothschild's Eres IV eyes second close in H1 2022, Revaia closes Europe's largest female-founded VC fund, Octopus unveils UK Future Generations sustainable fund, TrueBridge Capital Partners closes seed & micro-VC fund I, at $170m, Federated Hermes launches low-carbon bond fund with Swedish partner[more]

    H.I.G. closes first European buyout fund at $2.4bn From H.I.G. Capital closed its first European middle-market buyout fund, the H.I.G. Europe Middle Market LBO Fund, at €2 billion ($2.4 billion), a news release shows. The fund targets middle-market companies prim

  4. U.S.: Peter Thiel gamed Silicon Valley, Donald Trump, and democracy to make billions, tax-free[more]

    From Bloomberg: The meeting started with a thank-you. President-elect Donald Trump was planted at a long table on the 25th floor of his Manhattan tower. Trump sat dead center, per custom, and, also per custom, looked deeply satisfied with himself. He was joined by his usual coterie of lackeys

  5. Opalesque Exclusive: Female led team of veteran ESG investors to launch debut fund[more]

    Bailey McCann, Opalesque New York for New Managers: A female-led team of veteran ESG investors is preparing to launch a new fund early next year built on their ESG investing and advisory experience. Sustainable