Quant Manager dormouse Gains +2.53% In January

Feb 6 2017 | 10:15pm ET

Quantitative investment manager dormouse rebounded sharply from a disappointing December to book a gain of 2.53% in January, again trending against the losses suffered by many of its peers during the period. 

The gain is noteworthy given the -1.79% posted by the HFRX Systematic Diversified CTA Index managed by industry benchmark provider Hedge Fund Research. The returns were included in information provided to FINalternatives

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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