Quant Fund dormouse Down 0.70% in October, Remains Up 28% YTD

Nov 4 2015 | 8:04pm ET

Alternative investment management company dormouse lost 0.70% in October, according to an investor update, its second consecutive monthly loss.

However, the fund outperformed its peer group, as defined by Hedge Fund Research’s HFRX Macro/CTA Index, which lost 0.94% during the period. 

The result brings dormouse’s year-to-date gain down to 28.03%, still a very healthy return given the travails elsewhere in the hedge fund space. The hedge fund has enjoyed a few outstanding months this year, earning more than 11% in January, nearly 7% in March, and even 2.6% in August.  

The Malta-based fund – which is intentionally spelled with a lower-case ‘d’ – was founded in 2011 by former IKOS CIO and quantitative investments pioneer Martin Coward, who described the fund as a systematic multi-strategy fund focusing on identifying under- or over-priced liquid securities across stock indices, fixed income, rates, FX and commodities, and exploiting increased correlation between asset classes.


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