Martin Coward's Quant Fund dormouse Gains +2% In August

Sep 7 2017 | 5:05pm ET

Quantitative investment manager dormouse continued the gains seen in July last month, as CTAs booked another strong period of gains in rate, currency and commodity markets. 

The company’s managed accounts segment returned +2.00% in August after a explosive 2.88% reversal in July after several months in the red. The gain further narrowed dormouse’s year-to-date loss to only -0.43%.

Returns in Dormouse’s A and B classes of its hedge fund, meanwhile, were slightly lower, at +1.92% apiece for the month and bringing YTD losses to -0.65% and -0.69%, respectively, through the end of August.  

In comparison, Hedge Fund Research’s benchmark HFRX Systematic Diversified CTA Index gained +1.08% in August and is down -0.12% through the first eight 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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