Quant Manager dormouse Gains 1.14% in November, Up 17.43% YTD

Dec 9 2016 | 8:42pm ET

Quantitative investment manager dormouse booked its tenth positive month out of the past eleven in November, gaining 1.14% for the period and bucking the losses suffered by many CTAs during the month.

The result brings dormouse’s year-to-date return to 17.43%, according to an investor update seen by FINalternatives. In comparison, Hedge Fund Research’s HFRX Macro/CTA Index lost 0.69% in November and its HFRX Systematic Diversified CTA Index fell 0.34. Many CTAs are thought to have been caught offside by the equity and bond market reactions to Donald Trump’s election as U.S. president.

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 Dr. Martin Coward, formerly CIO of well-known quant manager IKOS. 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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