Wermuth Asset Management, a German alternative asset advisory firm with some USD300m AUM and significant operations in Moscow, has delivered the best performing US long short equity strategy and the best performing Russia fund in 2011.
Wermuth’s German-Russian-Ukrainian team returned 9% going long and short US equities in 2011, and has averaged 32% per annum since inception of the strategy in October 2007, including a remarkable 133% in 2008 when stock markets crashed across the globe.
Wermuth Quant Global Strategy (WUSLS) has outperformed [all other] other US-focused long/short equity funds, based on performance for 2011 and the last four years through 30 November, 2011, as listed on Bloomberg and sorted using its “Fund Screening” function (31 December data is not yet available for all the peers).
While the Russian index lost 22% for the year, Wermuth Quant Strategy Eastern Europe gained 1% for the year, the only such fund to report a positive performance. Since inception in September 2005 the strategy has returned 17% per annum in dollar terms.
Among 61 Russia-focused funds who reported the 2011 data, the team was the only one to deliver positive performance. Its five-year track record also makes it the best performing Russia fund manager, again based on Bloomberg data using its “Fund Screening” function.
The fund’s investment process begins with macro inputs from WAM’s 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 then 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 both up and down moves. In today’s volatile markets, alpha is created through avoiding large draw-downs.
Sergey Ilchenko, Head of Quant Department, says: “The international financial community has looked skeptically at Moscow’s aims to become an international financial centre. Now some hard figures delivered by a German asset manager’s team based in Moscow may change that. We are delighted that WAM’s performance in 2011 and over the past years, show that we are a fund manager that is as capable in the US as we are in our more traditional Russian focused-market.”
