Quant Fund dormouse Slips -2.94% in December; Gains 13.98% For 2016

Jan 10 2017 | 11:41pm ET

Dr. Martin Coward’s quantitative investment manager dormouse suffered a rare stumble in December, losing -2.94% as the broader CTA segment remained under pressure. 

The result trims dormouse’s 2016 return to +13.98%, according to an investor update seen by FINalternatives. The gain, which follows a 31% return in 2015, is noteworthy given the -1.44% loss for the year booked by the HFRX Systematic Diversified CTA Index. 

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 mid-2016, 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 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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