3 Nov 2011
Wermuth Asset Management, a Moscow-based German alternative asset advisory firm, has reported its Quant long/short equities fund – Global Strategy – has outperformed most worldwide funds over the past three months. It is now opening the fund to institutional investors with subscriptions of up to $100 million.
Wermuth posted a NAV increase of 23% over August and September, in October this figure reportedly rose a further 10% to 33% over the three months. Since inception on 30 September 2007 the strategy has returned 38% per annum net of fees.
The Quant GS fund uses an aggressive short-term, trend following model. Buy, sell and hold lists are generated by an experienced in-house macro-economist based in Wiesbaden and a strong bottom-up research team based in Moscow.
The quant team then uses the research results as well as its proprietary algorithms – developed and applied since 2005 – to automatically enter and exit positions, taking both long and short investments. The processes are monitored by a rigid risk management system that is ultimately supervised by the firm’s German controller.
Wermuth posted a NAV increase of 23% over August and September, in October this figure reportedly rose a further 10% to 33% over the three months. Since inception on 30 September 2007 the strategy has returned 38% per annum net of fees.
The Quant GS fund uses an aggressive short-term, trend following model. Buy, sell and hold lists are generated by an experienced in-house macro-economist based in Wiesbaden and a strong bottom-up research team based in Moscow.
The quant team then uses the research results as well as its proprietary algorithms – developed and applied since 2005 – to automatically enter and exit positions, taking both long and short investments. The processes are monitored by a rigid risk management system that is ultimately supervised by the firm’s German controller.
