Quant Fund dormouse Falls -1.53% in August; Up 13.89% YTD

Sep 13 2016 | 10:20pm ET

Quantitative investment manager dormouse posted its second consecutive monthly loss in August, falling -1.53% as the firm’s long-term fundamental and momentum models underperformed. 

The result trims dormouse’s year-to-date return to 13.89%, according to an investor update seen by FINalternatives. In comparison, Hedge Fund Research’s HFRX Macro/CTA Index fell 0.98% in the period and remains down 1.01% year-to-date. 

The strategy’s macro and short-term models were positive contributors during the month, according to dormouse, which intentionally spells its name with a lower-case “d”, while fixed income positions contributed to losses. 

Dormouse debuted its new hedge fund on August 5th, having operated its strategy on a managed account basis for the past five years. Those five days proved material, however, as the fund posted a loss of only -0.55% for the month. Generally, however, performance of the fund and the strategy should track closely together going forward, dormouse said.

The new fund is domiciled in the Cayman Islands and consists of two classes offering different minimums and fee structures, as well as monthly liquidity. As with the managed account strategy, the new vehicle engages in liquid futures contracts in developed economies covering bonds, currencies, equity indices, commodities and short-term interest rates.

Malta-based Dormouse was founded in 2011 by former IKOS CIO Martin Coward and opened to outside capital in 2014. The firm follows a systematic, quantitative, absolute return strategy that targets 10% annualized risk and aims to provide long-term uncorrelated returns from a number of diverse sources including macroeconomic, fundamental, and technical factors. 


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