Quant Fund dormouse Down -2.11% In October

Nov 7 2017 | 10:27pm ET

Dr. Martin Coward’s quantitative investment manager dormouse slipped in October despite generally strong returns posted by the broad CTA space during the period.  

The company’s managed accounts segment returned -2.11% in October after gaining +3.53% in September, according to an email received by FINalternatives. The loss brings dormouse’s year-to-date performance back down to +0.91%. 

Dormouse’s A and B classes of its hedge fund, meanwhile, each returned -2.08% for the period and now stand +0.43%  and +0.82%, respectively, for the year to date. 

A month after dramatically outperforming Hedge Fund Research’s benchmark HFRX Systematic Diversified CTA Index in September, dormouse’s October return significantly lagged the benchmark’s +3.67% tally. 

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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