PFM Dynamic Equity, a quantitative long/short equity fund, marked its first anniversary in September with a gain of 2.30%, bringing its returns over its first 12 months to 23.50%.
The fund is run by Quantis Asset Management, a Swiss money manager founded in 2010 by six partners, the two principals being Bertrand 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.
Savatier told FINalternatives in an e-mail he hopes the strong one-year returns will allow them to kickstart their fundraising: "As you know, we launched this new fund in October 2011, in a difficult period for money raising. Despite this difficulty, we have started the fund with...around US$4 million. After one year showing good performances, we can re-start the money raising process hoping it will be successful."
The fund invests in a portfolio of equity securities that includes U.S. and European large caps, NASDAQ-listed tech stocks and the major futures on stock indices. Depending on market configurations, the fund may either enhance long positions, hedge the exposure by using short selling or equity futures, or use short term-oriented active trading techniques. At any given time the fund will hold 60 positions and Savatier feels the fund has a capacity of over US$1 billion.
"Despite some very pessimistic forcasts regarding the global economy, the stock market has remained pretty strong, supported by the exceptional increase of some shares value," said Savatier. "This proves the ability of the economy to reorganize itself, giving up some old sectors and creating value in others.
"We think this kind of dichotomy will continue and that asset manager ability to buy the right individual stocks and be protected against uncertain sectors, will be the key for success. As proven in the past, a quantitative approach can be very efficient in this selection process."