Martin Coward's Quant Fund dormouse Gains +1.01% in October

Nov 7 2016 | 9:51pm ET

Dr. Martin Coward’s quantitative investment manager dormouse booked another positive month in October, gaining 1.01% for the period.

The result brings dormouse’s year-to-date return to 15.73%, according to an investor update seen by FINalternatives. In comparison, Hedge Fund Research’s HFRX Macro/CTA Index lost 1.58% in October, while its HFRX Systematic Diversified CTA Index fell 3.74%. 

Highlighting dormouse’s outperformance, the two benchmark measures are now -2.72% and -1.71%, respectively, for the year through October 31.

Dormouse, which intentionally spells its name with a lower-case “d”, invests in liquid futures contracts in developed economies covering bonds, currencies, equity indices, commodities and short-term interest rates. The company debuted a hedge fund version of its strategy in early August, prior to which it operated on a managed account basis for five years. 

Based in Malta, dormouse was founded in 2011 by Coward, formerly CIO of well-known quant manager IKOS. The firm, subject of an in-depth article on FINalternatives in June, 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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