Thursday, 8 December 2016
Last updated 4 hours ago
Apr 24 2012 | 8:39am ET
Swiss-based Quantis Asset Management’s quantitative long/short equity fund is up an estimated 2.12% in March and 20.75% in the six months since it was launched.
The PFM Dynamic Equity Fund currently has less than $10 million in assets under management, but Quantis AM principal Bertrand Savatier is optimistic that, given the fund’s impressive initial performance, assets will grow rapidly.
The PFM fund’s investment universe includes U.S. and European large caps, NASDAQ-listed tech stocks and the major futures on stock indices. At any given time the fund will hold 60 positions and “given the underlying liquidity of these markets,” Savatier feels the fund has a capacity of over US$1 billion.
Quantis AM was founded in 2011 by six partners, the two principals being Savatier and CIO Christian Polloni. Pollini is a trading system designer and proprietary trader as well as a founding partner and CIO of Marco Pollo finance while Savatier has over 22 years’ experience designing and implementing quantitative investment models. In addition to serving as director of managed futures and BNP Asset Management, Savatier has been involved in a number of ventures, including ITF Management, a $60 million Swiss CTA; John Locke Investments, a US$140 million French CTA; and Numbers, a US$95 million French CTA.
Savatier says the investment process for the new fund has been “fully modelized,” with one-third of the long-term exposure allocated to about 30 large caps which have “proven their middle-term ability to outperform the market,” one-third allocated to a small number of high-tech securities showing “outstanding recent performances in which very strict money-management rules are applied in order to protect profits,” and a “complementary third of the portfolio…based on technical analysis systems on major securities. Being exposed on the long side most of the time, it may also detect some special configurations where being short on one part of the portfolio has will appear as a good opportunity to secure the performance.”
In addition to the long-term exposures, the fund will feature overlay shorter-term strategies including active trading techniques implemented on what Savatier terms a “dynamic basket of very volatile stocks,” trend-following or contrarian techniques depending on market configuration; opportunistic systems implemented for varying periods—a year or even “on certain special days;” and strategies traded on volatility without consideration of direction.
Savatier says developments in recent years have “deeply modified” the general outlook of the hedge fund investor. Various crises, he says, have shown that “risk lies really everywhere and even includes government bonds.”
The PFM Dynamic Equity Fund carries a management fee of 1.6% and an incentive fee of 20% with a high water mark. Its administrator is JP Fund Administration (Cayman) and the prime broker is Interactive Brokers. Minimum investment is CHF 15,000.
Quantis AM is a member of the Association Romande des Intermédiaires Financiers and CFTC registered as a FOREX firm and a Commodity Trading Advisor.