Quant Fund dormouse Gains 6.72% in June; Ahead 15.79% YTD

Quantitative investment manager dormouse performed well through the turmoil in late June to return a net +6.72%, the latest quantitative manager to reveal strong numbers in a month many managers would rather forget.

Dormouse is now up 15.79% for the first half of this year, according to an investor update seen by FINalternatives. In comparison, Hedge Fund Research’s HFRX Macro/CTA Index gained 1% in the period and remains down 0.33% year-to-date. Dormouse, which was founded in 2011 by former IKOS CIO Martin Coward and opened to outside capital in 2014, was up an extraordinary 30.27% last year.

Performance during the month was overwhelmingly led by the fund’s bond positions, along with contributions from index and commodity returns, according to dormouse, which intentionally spells its name with a lower-case “d”. FX, meanwhile, was in the red.

The firm also noted that six of dormouse’s seven strategies contributed to the strong result, led by reversion and fundamental strategies. Macro, idiosyncratic and trend approaches also did well, while only dormouse’s portfolio/risk management/other strategy was negative for the period. 

Malta-based dormouse is systematic multi-strategy fund focusing on identifying under- or over-priced liquid securities across stock indices, fixed income, rates, FX and commodities, and exploiting increased correlation between asset classes. 

The company, which was the subject of an in-depth story in the July issue of Modern Trader (see "The Quiet Creation of Systematic Alpha"), is planning to launch a Cayman Islands-domiciled version of its strategy later this year.