Quantica Managed Futures UCITS

The Quantica Managed Futures Program (QMF) Program is a research-driven medium term trend following strategy that utilises risk-adjusted and relative trend measurements across its universe of 97 futures markets. It considers each instrument's performance within a multi-dimensional context relative to the other markets, as opposed to evaluating them in isolation with this method helping to identify decorrelation, divergence, dispersion, and patterns of over- or underperformance over a medium to long-term timeframe. The approach helps to make the fund more adaptable to changing correlation patterns and market regimes, such as the shift from 'risk on' to 'risk off' markets. Signal generation, the first step in Quantica's process, integrates cross-instrument and cross-asset correlations, differing from conventional methods that typically factor these in during later portfolio construction. This portfolio construction phase is bottom-up and opportunistic, allowing asset class and instrument weights to fluctuate significantly based on the strength of trend signals. This dynamic method contributes to performance by underweighting exposures to stagnant markets and overweighting those with the most robust trends. Efficient implementation, a key component of Quantica's process, minimizes portfolio turnover and transaction costs by trading only in liquid markets and maintaining a low turnover rate. The methodology, which is exponentially weighted, detects trends over 6-8 weeks, though some holding periods can extend to years. The fund aims to offer attractive risk-adjusted returns over the long term, with a target of 12% gross annualised volatility, in an effort to deliver a long-term gross Sharpe ratio of 1. The fund seeks to maintain low to no correlation with both traditional and alternative asset classes, while providing liquid exposure with maximum transparency.