Quantica Capital AG : 2X Quantica Managed Futures Fund

Summary

The 2X Quantica Managed Futures Fund is a Cayman Islands domiciled Offshore Fund that provides 200% participation on the Quantica Managed Futures program. The program is a systematic medium-term trend-following investment program trading liquid futures and FX forward markets within equities, commodities, currencies, fixed income and interest rates. The investment strategy trades more than 60 instruments with liquid exposure to global markets and is based on proprietary quantitative models that statistically identify relative trends in market price movements. The strategy uses sophisticated dynamic risk management techniques and focuses on liquid markets.

Investment Strategy

The program is managed using a proprietary quantitative model designed to identify and exploit inefficiencies in relative price movements across the major asset classes. The model will statistically analyse price movements of the instruments in our investment universe and determine if an instrument should be bought or sold and the size of the exposure. The model is a real time model and under normal market trading conditions trade execution will happen typically once a day. The model will also self regulate the overall exposure of the fund according to some parameters determined by the manager. In times when the model detects higher inefficiencies in the market it will bring the exposure higher and vice-versa. There is no overriding of the model by the managers.

Risk Management

Market Risk: 1) Real-time implementation of the risk metrics methodology with - Real-time valuation of positions (forwards) - Real-time calculation of risk measures like: Volatility, VaR and IVaR on a position and on a portfolio level - Stress Tests of correlations 2) Independent risk controling through Risk-Manager at Quantica - Risk and performance analysis of model portfolio, real portfolio and Gap Portfolio - Early warning system with respect to model risk 3) Daily reconciliation of trades, positions (incl. Cash) and P&LCounterparty Risks: 1) Multi-Clearing Platform in place, cash positions partly on protected accounts 2) Closing of all positions and transfer of money within one dayOperational Risks: 1) Backup procedures for data and systems 2) No personal dependence in daily portfolio management, clear deputyship for all portfolios 3) Closing of all positions within on day 4) Minimum infrastructure: Laptop/PC, Internet and Bloomberg