Quantica Capital Managed Futures Program
The Managed Futures Program of Quantica Capital AG is a program that is systematic, quantitative, medium to long term and trend following and counter trend. It started on January 2005. As of December 31, 2014, the firm’s AUM is at $706 million. It is located in Schaffhausen, Switzerland. Quantica principals are Dr. Bruno Gmür, Dr. Patrick Wirth and Thomas Looser.
Quantica Capital was founded by Dr. Bruno Gmür.
Goals in Investment
The goal of Quantica Capital is to create growth in capital through investments in managed futures across asset classes that are liquid.
The Quantica Managed Futures Program or QMFP seeks to create capital growth by investments in liquid futures and forward contracts. The portfolio includes commodity contracts, currency, interest rates, fixed income and equity indices.
Each decision is determined by a proprietary quantitative model. The model finds inefficiencies in the market and movements in the prices from different instruments. The QMFP uses short and long term positions, completely systematic and controlled by risk management models.
QMFP decides whether to buy or sell and in what level of exposure using price movements. During normal market scenarios, trade happens at least once every day. Exposure is also kept in check both by automated and manager-provided parameters. The higher the inefficiency in the market, the higher will QMPP increases the exposure. Managers cannot override the models.
There are three types of risk in the system, market, counterparty and operational risks. To minimize market risk, the firm uses risk metrics that take into account volatility, VaR and IVaR and tests for correlations. Risk Managers at the firm also makes independent risk analysis using model, gap and real portfolio. Profit and loss, cash positions and trades are reconciled daily.
Counterparty risks are also managed through daily transfers of money and position closing. Clearing is also done on several platforms and cash positions on protected accounts.
Operational risks are also controlled with data backups, delegation of portfolios and minimal dependence on infrastructure limited to only a desktop or laptop, the Internet and Bloomberg.
Dr. Bruno Gmür
Dr. Bruno Gmür is the founding partner of the firm. Before Quantica Capital, he was in charge of actuarial pricing in Swiss Re and financial reinsurance at Bank Julius Baer. He was also member of the bank’s Strategic Asset Allocation Committee. He was also in charge of the bank’s strategy on construction of portfolio and management of risk. He also taught game theory and financial economics courses at the University of Zurich.
He completed his Master’s degree in Mathematics from the Swiss Federal Institute of Technology and his Ph. D., summa cum laude, in Financial Economics from the University of Zurich. He is a member and qualified actuary of the Swiss Association of Actuaries.
Dr. Patrick Wirth
Dr. Patrick Wirth is the Head of Portfolio Management of the firm. Before joining the firm, he was part of the VP Bank of Switzerland as a senior quantitative analyst and of the Bank Julius Baer as developer of investments solutions for high net worth individuals. There he also developed products and trading strategies. He was also employed at the UBS and the Institute of Operations Research and Computational Finance of the University of St. Gallen.
He completed his Master’s degree in Physics from the Swiss Federal Institute of Technology and his Ph. D. in Economics and Operations Research from the University of St. Gallen.
Thomas Looser is the Head of Operations. Before joining, he was part of the Bank Vontobel as a Quantitative Analyst. His duties included development of investment products for institutional clients and also part of the analysis department. He was also a Quantitative Analyst for the Swiss Re, Asset Liability Management Analyst for the Conning Asset Management in the US and a Risk Manager at Swiss Re Investors. He began his career in Swiss Re Life & Health Actuarial Department.
He completed his Master’s degree in Mathematics from the Swiss Federal Institute of Technology and is a CAIA charter holder.
2005 to 2014 Performance Statistics
Quantica Capital has a cumulative total return of 156.78%. Annualized compound return is at 9.89%. Quantica Capital reached an all-time high in 2014 after a very strong year for trend-followers. Annualized standard deviation is at 10.07%. Monthly correlation to S&P 500 TRI is at -0.13. Annualized sharpe ratio (0%) is at 0.99. July 2007 monthly maximum loss is at -5.36% From June to August 2007, there is a maximum drawdown of -9.82%.
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