Fund Focus: Quantis Asset Management’s PFM Dynamic Equity Fund

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.


In Depth

High Time For A Cannabis Hedge Fund?

Sep 30 2014 | 7:07am ET

Launching a hedge fund is always a gamble, but Leslie Bocskor's decision to launch...

Lifestyle

Griffin Donates $1M To Rauner's Illinois Gov. Campaign

Sep 22 2014 | 9:29am ET

Hedge fund billionaire Kenneth Griffin definitely has a dog in this fight. The Citadel...

Guest Contributor

Appraisal Ratio Key To Evaluating Hedge Funds And Other New Investments

Sep 29 2014 | 3:07pm ET

As a former finance professor Peter Hecht experiences heartburn every time he hears...

 

Videos

Editor's Note

    Must Attend Hedge Fund Charity Events For October

    Sep 30 2014 | 9:29am ET

    The crisp Autumnal days of October are upon us, and so are a few of the hedge fund industry’s favorite charitable events. If you have never been to Rocktoberfest, well, you are missing out. And for a quieter evening of sipping and socializing, stop by HFC’s Wine Soiree. Read more…

 

Futures Magazine

September 2014 Cover

High frequency market making

High frequency trading is not evil, it is not a conspiracy and it really is not new; it is the natural evolution of the professional trading community making markets, providing liquidity and hopefully...

The Alpha Pages

TAP July/August 2014 Cover

The Alpha Pages Interview: Senator Rand Paul

Senator Paul sat down in the debut series of the Alpha Pages Interview to discuss the broken tax code, regulation surrounding Bitcoin, and his plans for the 2016 Presidential election.