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Quantology’s flagship fund up 4 per cent in February

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French systematic long/short equity hedge fund Quantology Capital Management’s flagship fund was up +4.0 per cent in February, while the Nasdaq 100 and S&P 500 were down -4.6 per cent and -3.0 per cent, respectively over the month.

An investor update from the firm says the strategy benefitted from high levels of dispersion and elevated volatility in the equity space.
 
Quantology’s says its long book performed very well, remaining flat, again when stocks were down 3 per cent to 4.6 per cent. The short book gained 8 per cent or roughly double the losses of the equity indices. Coming into February, the model generated a significant number of signals on new short and long positions resulting in a long/short book which decreased the sensitivity to growth stocks. The model also became more selective, decreasing the number of positions from 110 to 60 by month-end. Gross exposure during the month stayed constant at 100 per cent.
 
Quantology says its Market Sentiment Indicator continues falling and is now at 20 (Scale of 100). A score of zero (0) indicates a high level of price dispersion (usually when equity markets are falling), while at the other end, a score of 100 indicates a low level of price dispersion (typically when equity markets are rising).
  
Since inception, the strategy has provided strong downside capture, with positive performance in 13 out of 17 negative S&P 500 months. 

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