Martin Coward's dormouse Gains +2.88% in July

Aug 7 2017 | 11:30pm ET

Quantitative investment manager dormouse reversed several months of negative returns in July, as trend following CTAs were broadly able to get on the right side of movements in currency and commodity markets.

The company’s managed accounts segment returned +2.88% in July after four out of the last six months were the red. The gain narrowed dormouse’s year-to-date loss to -2.39%.

Dormouse’s A and B classes of its hedge fund, meanwhile, performed better, returning +3.09% apiece for the month and trimming YTD losses to -2.51% and -2.56%, respectively, so far this year. 

In comparison, Hedge Fund Research’s benchmark HFRX Systematic Diversified CTA Index gained +1.63% in June and is down -1.18% through the first seven months of the year.

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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