Quant Fund dormouse Gains +3.53% in September; +3.08% YTD

Oct 6 2017 | 10:01pm ET

Dr. Martin Coward’s quantitative investment manager dormouse has extended its winning streak into September despite broader weakness in the CTA space during the month.

The company’s managed accounts segment returned +3.53% in September and booking 2% in August and 2.88% in July, according to information seen by FINalternatives. The gain brought dormouse’s year-to-date performance back into the green, at +3.08%. 

Returns in dormouse’s A and B classes of its hedge fund, meanwhile, bracketed the managed accounts tally at +3.23% and +3.68%, respectively for the month. For the YTD, the two classes are up +2.56% and +2.96, also respectively.

Dormouse dramatically outperformed Hedge Fund Research’s benchmark HFRX Systematic Diversified CTA Index for the month. HFR’s index fell -1.80% in September to bring its year-to-date tally to -1.92%. 

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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