7 Nov 2011
Wermuth Quant Eastern Europe Strategy, part of Wermuth Asset management, has returned over 10% YTD, making it the best performing Russia focused fund for the year based on data published on Bloomberg through October 31, 2011.
The strategy has returned about twice the return of the Russian index (RTS$) with about half the volatility since its inception in 2005, for a total annual return of 19% per annum net of fees versus 10% per annum for the index.
The Fund’s strategy begins with macro inputs from WAM economist, Dieter Wermuth, and bottom-up analysis from the research team, which generates buy, sell and hold lists of Russian equities. The quant strategies are applied to enter and exit positions automatically based on trend-following models which are developed in-house. The strategy thus combines both a value filter and an automated entry/exit system which protects investor capital while capturing Russia’s growth. In today’s volatile markets, alpha is created through avoiding large drawdowns and Quant Eastern Europe Strategy has demonstrated a historical track record of outperformance during volatile periods.
The strategy has returned about twice the return of the Russian index (RTS$) with about half the volatility since its inception in 2005, for a total annual return of 19% per annum net of fees versus 10% per annum for the index.
The Fund’s strategy begins with macro inputs from WAM economist, Dieter Wermuth, and bottom-up analysis from the research team, which generates buy, sell and hold lists of Russian equities. The quant strategies are applied to enter and exit positions automatically based on trend-following models which are developed in-house. The strategy thus combines both a value filter and an automated entry/exit system which protects investor capital while capturing Russia’s growth. In today’s volatile markets, alpha is created through avoiding large drawdowns and Quant Eastern Europe Strategy has demonstrated a historical track record of outperformance during volatile periods.
