Quadriga Igneo

Investment Objective

The fund is a liquid absolute return strategy with a long bias to the Precious Metals sector, US treasuries, implied volatility, and long-only tail risk insurance. Quadriga Igneo Ucits follows a proprietary multifactor investment process that combines both fundamental and quantitative inputs, including top-down macro, geopolitics, bottom-ups micro, technical analysis, and flow analysis, within a disciplined framework for portfolio construction and risk management.

Latest Meeting Note

Meeting 02 Dec 2020

Quadriga Igneo is designed to preserve capital and deliver high negatively correlated returns during adverse and hostile markets (effectively acting as an insurance policy) with neutral/positive carry. The strategy looks at ‘anti-bubble’... Read more

Quadriga Igneo is designed to preserve capital and deliver high negatively correlated returns during adverse and hostile markets (effectively acting as an insurance policy) with neutral/positive carry. The strategy looks at ‘anti-bubble’ assets, those that have become artificially cheap as a result of the ongoing monetary experiment, and is built around three core blocks: precious metals, US treasuries, and long only insurance. Core precious metals is the largest portfolio allocation, targeting 50% of the overall exposure (no shorts), and is implemented primarily via long gold positions (futures and options). The fund can also trade gold miners and DM/EM FX crosses (vs. gold). The US treasuries and TIP bucket is sized at 20-30% of total risk, with the fund trading the whole interest rate curve. In addition to this there is a long-only insurance strategy which is actively managed across asset classes including puts on risk assets and calls on so called ‘anti-bubbles’ (e.g. gold, Vix, etc). This portfolio comprises about 20-30 option contracts (vanilla, hybrid and exotic; max premium per option < 1% NAV) where there is a strong emphasis on managing the cost of hedging and maximising convexity. The weighting between these three engines is dynamically adjusted and rebalanced on ongoing basis to maintain intact the product characteristics, with the fund typically monetising the insurance pay-offs and reinvesting these proceeds into the other two buckets.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2020 0.8 0.9 0.2 0.0 0.2 0.2 0.1 0.8 0.2 0.1 0.3 0.1 0.9
2019 1.0 0.5 0.5 0.1 0.4 0.6 0.4 0.0 0.5 0.4 0.0 0.9 0.8

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