Quant Fund dormouse Loses -1.44% In May; Down -4.12% YTD

Jun 8 2017 | 9:07pm ET

Dr. Martin Coward’s quantitative investment manager dormouse slipped again in May, its fourth negative monthly result in the last six, as systematic CTAs retraced some of the broad advances made in April.

May's -1.44% return, attributable to the company’s managed accounts segment, brings the year-to-date tally back down -4.12%.

Dormouse’s A and B classes of its hedge fund, meanwhile, performed slightly better, dropping -1.4% apiece for the month and are down -4.39% and -4.44%, respectively, so far this year. In contrast, Hedge Fund Research’s benchmark HFRX Systematic Diversified CTA Index gained +0.36% in May and is down -0.35% YTD.

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 firm 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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