Wermuth Asset Management, the German family office and BaFin-regulated investment adviser, has restructured its quant advisory business.
The focus is now on the systematic US equity long/short strategy which celebrated its fifth anniversary of audited returns in October.
The Jersey-based fund for eligible investors, Wermuth Quant Global Strategy IC, had begun trading in April 2012. It has assets under management of USD10.5m and is expected to cross the USD15m mark in the near future. The fund outperformed peers and benchmarks in October and also year-to-date. For the full five-year period of audited returns, the strategy compounds with a rate of 11 per cent, compared to zero per cent for the HFRX Macro Systematic Diversified CTA Index.
Yury Roslavlev, head of research and developer of the strategy, says: “I’m proud we can offer a proven strategy that is designed to work well when others don’t – in periods of increased market stress and fat-tail events.”
Andreas Gilgen, head of the quant team, says: “The US QE I, II, III and similar interventions have provided the markets with a strong support; the ‘golden era’ for mean reversion was born, where everything is bought that falls a few per cent. We cannot predict the future - but if something cannot go on forever, it won’t.”
Both the Wermuth Quant Eastern European Long Short Strategy IC and the Wermuth Leveraged Quant Eastern European Long Short IC will discontinue as funds. They will still be available on a managed accounts basis for outside investors. The decision to shut down the two hedge funds was taken because there has been a lack of investor demand for Russia-related funds in recent years.