Quant Fund dormouse Gains 1.61% in May; Up 8.5% YTD

Jun 8 2016 | 9:50pm ET

Quantitative investment manager dormouse gained 1.61% in May and is now up 8.5% for the year to date, according to an investor update seen by FINalternatives.

In comparison, Hedge Fund Research’s HFRX Macro/CTA Index lost -1.72% in May and is down -1.31% so far in 2016. Dormouse, which was founded in 2011 by former IKOS CIO Martin Coward and opened to outside capital in 2014, was up an extraordinary 30.27% in 2015.

It has been in the green four out of five months so far this year, with the fifth (March) essentially breakeven at -0.03%.

May’s result was primarily due to strong performance in index and fixed-income trading, and to a lesser extent, commodities. The fund’s foreign exchange trading was the primary drag on performance, according to dormouse, which intentionally spells its name with a lower-case “d”. 

In terms of strategies, reversion again contributed significantly to the month’s returns, along with idiosyncratic, fundamental, and macro (directional) approaches. In the negative column were trend and relative macro strategies.

Malta-based dormouse is 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. The company has announced plans to launch a new Cayman Islands-domiciled fund early in the second half of this year.

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