Quantica Capital is an investment management firm that specializes in quantitative investment strategies. The company leverages advanced mathematical models and algorithms to manage investments across various asset classes, aiming to deliver consistent, risk-adjusted returns for its clients.

Quantica Capital AG

Quantica Capital

Quantica Capital AG is an independent asset management company focused on quantitative investment strategies. Formed in 2003, it employs a highly qualified and experienced team of investment managers and researchers.

Quantica's flagship product, the Quantica Managed Futures program, is a systematic medium-term trend following investment program that trades liquid instruments covering more than 80 highly liquid global futures markets. All our strategies are managed in a manner that focuses on sophisticated risk management techniques, transparency and liquidity. 

Quantica Capital AG is regulated and licensed as an asset manager of collective investment schemes by the Swiss Financial Market Supervisory Authority (FINMA). It is also a member of the National Futures Association (NFA), Registered as a Commodity Trading Advisor (CTA) and Commodity Pool Operator (CPO) with the Commodity Futures Trading Commission (CFTC), a member of the Alternative Investment Management Association Limited (AIMA), signatory of the Standards Board for Alternative Investments (SBai) and the United Nations supported Principles for Responsible Investment (UNPRI).

Can trend-following CTAs, with estimated total assets under management of $300bn, impact the markets in which they trade?
 
In this note, we quantify the footprint, or market participation, of the trend-following industry as a whole in terms of the proportion of directional traded volume and open interest in a systematic and well-defined framework and provide some perspective and answers to this question.

Read the full report below.

Why have trend models stood the test of time?

In the most recent HedgeNordic Special Report, Nicolas Mirjolet, CEO and Co-Head of Research, explains why #trendfollowing strategies deliver returns that are regime-agnostic and can perform well independent of the economic macro environment.

We are a carbon neutral company! Another small step on our way to a more sustainable future. ClimatePartner supports us in accurately calculating, monitoring, and offsetting our carbon footprint according to internationally recognized standards and practices.

Check out our website at https://lnkd.in/eECczF8J to learn more about our approach to Responsible Investment & Corporate Social Responsibility.

In our new report, we quantify the potential portfolio diversification benefits of trend-following in the longer-term context while catering to the diversity of investor portfolios through extensive simulation studies. We show that these diversification benefits are mostly insensitive to the following three key factors:
 
    1. the existing risk allocation of the investor's portfolio
    2. the timing of the investment in trend-following, and
    3. expectations about future trend-following performance.

As a result, our findings suggest that a sizable allocation to trend-following is sensible for most investors and market scenarios. 

Read the full report below.

What drives a trend-follower's trading activity?
 
In this report, we show that not only changes in individual market trend signals, but also changes in instrument and portfolio risk play a key role in determining the trading activity of a trend-follower.
 
We take a closer look at the relative contribution of these three factors between January and March 2022, and show that at times, risk-management factors, and not trend signals, may account for more than half of a typical trend-follower’s portfolio turnover.

Read the full report below.

Why does a #trendfollower hold on to trading markets that have not shown a profitable trend opportunity in 15 years?
 
In this latest publication, we outline why focusing exclusively on the instruments that have exhibited the best tradable trends in the past may in fact not lead to superior #trendfollowing returns in the future. We show that maximizing instrument and asset-class diversification remains the best way to capture the most profitable trends reliably and successfully across markets and time.

Read the full report below.

We are delighted to announce that The Hedge Fund Journal selected the Quantica Managed Futures UCITS Fund as the best performing fund over 4 and 5 years in the CTA Trend Follower (AUM <$1bn) category. A big recognition to the entire team at Quantica Capital AG and we thank our investors for their continued support and trust in the QMF Program.

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Quantica Capital

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