Tracking CTAs since 1994
Quantica Capital AG
Quantica Managed Futures Program
Principal(s): Bruno Gmur, Patrick Wirth, Thomas Looser
Strategy: Systematic / Currencies, Financials, Indices
Investment Restrictions: 4.7 Exempt QEPs Only
Statistical Reports are Subscription Based
Trading Description, Risk Strategy & Background
The Quantica Managed Futures is a systematic medium-term trend-following investment program trading liquid futures and FX forward markets within equities, commodities, currencies, fixed income and interest rates. The investment strategy trades more than 60 instruments with liquid exposure to global markets and is based on proprietary quantitative models that statistically identify trends in market price movements. The strategy uses sophisticated dynamic risk management techniques and focuses on liquid instruments.
The following represents the Investment Approach of Quantica: Application of statistical methods in portfolio construction • Responds to absence of market trends • Implementation across all asset classes • Proprietary risk models ensure sound risk management • Disciplined and transparent investment decisions
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Dr. Bruno Gmür is a founding partner of Quantica Capital. He is responsible for investments, portfolio management and R&D at Quantica. Prior to founding Quantica in 2003, he held positions at Swiss Re in actuarial pricing and financial reinsurance structuring and at Bank Julius Baer, where he was a voting member of the bank’s strategic asset allocation committee and responsible with his quantitative team for the portfolio construction and risk management of the bank's strategy funds. Before that, he was teaching graduate courses in game theory and financial economics at the University of Zurich. He holds a Ph.D. in financial economics from the University of Zurich (Dr. oec. publ., “summa cum laude”) and a master degree in mathematics from the Swiss Federal Institute of Technology (ETH Zurich). He is a qualified actuary and full member of the Swiss Association of Actuaries.
Dr. Patrick Wirth is a senior investment manager at Quantica. He is a portfolio manager and futures trader for all Quantica products and is involved in research projects. He was previously a senior quantitative analyst at VP Bank (Schweiz) AG and Bank Julius Baer AG where he was responsible for tailor-made investment solutions for ultra high net worth clients, the development of customized product solutions and quantitative trading strategies. Before, he worked at UBS AG in the Wealth Management department and as a researcher at the Institute of Operations Research and Computational Finance of the University of St. Gallen. Patrick holds a master degree in physics from the Swiss Federal Institute of Technology (ETH Zurich) and a PhD in economics/operations research from the University of St. Gallen.
Thomas Looser is a senior investment manager at Quantica. He is a portfolio manager and FX forwards trader for all Quantica products and is involved in research projects. He was previously a senior quantitative analyst at Bank Vontobel, engineering investment products mainly for institutional clients and co-heading the product engineering and analysis department. He previously worked at Swiss Re Alternative Investments as a quantitative analyst and at Conning Asset Management in the U.S., a subsidiary of Swiss Re, as an asset-liability management analyst. Before that, he worked as a risk manager at Swiss Re Investors. He started his career in the actuarial department of Swiss Re Life & Health. Thomas holds a master degree in mathematics from the Swiss Federal Institute of Technology (ETH Zurich) and is a CAIA charter holder.
Performance
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.10% | 3.50% | – | – | – | – | – | – | – | – | – | – | 5.67% | 0.00% |
| 2025 | -0.24% | -2.74% | 0.50% | -5.84% | -0.24% | 1.60% | 0.70% | 4.10% | 7.45% | 3.10% | 0.96% | 0.30% | 9.44% | -8.40% |
| 2024 | 2.55% | 5.15% | 2.65% | 0.00% | -0.42% | -1.91% | -1.00% | -0.79% | 2.65% | -4.10% | 3.16% | -0.44% | 7.34% | -5.58% |
| 2023 | 0.14% | 0.44% | -7.40% | 1.70% | 2.50% | 3.10% | -1.20% | 1.22% | 5.60% | 0.00% | -5.10% | -0.60% | -0.28% | -7.40% |
| 2022 | -2.90% | 3.90% | 7.20% | 5.30% | -0.50% | 2.80% | -6.30% | 3.40% | 5.72% | 0.30% | -5.75% | -1.50% | 11.10% | -7.16% |
| 2021 | 1.65% | 7.05% | -0.98% | 2.34% | 1.04% | -3.36% | 0.00% | 0.70% | -4.42% | -4.32% | 0.10% | -3.20% | -3.92% | -13.76% |
| 2020 | 1.50% | -5.24% | -3.04% | 3.25% | -0.74% | 0.20% | 2.90% | 1.24% | -3.55% | -2.15% | 4.80% | 5.60% | 4.20% | -8.12% |
| 2019 | 4.15% | 0.05% | 6.60% | 1.80% | -1.24% | 5.90% | 3.90% | 3.50% | -0.74% | -1.54% | 1.80% | -1.42% | 24.73% | -2.27% |
| 2018 | 4.80% | -4.04% | -1.42% | 0.10% | -2.72% | 1.20% | 0.60% | 2.90% | -2.00% | -7.30% | 1.80% | 3.00% | -3.67% | -12.33% |
| 2017 | -1.00% | 4.30% | 0.10% | 1.70% | 2.30% | -4.10% | 0.60% | 2.67% | -3.74% | 4.90% | 2.10% | 0.90% | 10.80% | -4.65% |
| 2016 | 5.90% | 2.85% | -2.83% | 0.73% | -0.70% | 6.00% | 0.14% | -2.70% | 0.50% | -3.60% | -0.80% | 2.50% | 7.71% | -6.49% |
| 2015 | 3.40% | -1.10% | 1.21% | -2.90% | -0.10% | -4.00% | -0.80% | -8.90% | 3.00% | -1.80% | -0.70% | -3.30% | -15.41% | -18.27% |
| 2014 | -3.30% | 3.70% | 0.20% | 0.50% | 1.30% | 2.10% | -0.50% | 1.90% | 0.30% | 0.92% | 4.92% | 1.80% | 14.49% | -3.30% |
| 2013 | 6.70% | -1.20% | 2.40% | 1.50% | -0.80% | -4.40% | 2.00% | -2.20% | 3.00% | 2.50% | 1.00% | -0.10% | 10.42% | -5.40% |
| 2012 | 0.50% | 2.10% | -0.30% | -1.61% | -1.22% | -2.12% | 4.30% | -2.54% | -0.50% | -2.94% | 0.50% | -0.43% | -4.40% | -6.89% |
| 2011 | 0.00% | 3.20% | -2.80% | 4.50% | -3.00% | -3.10% | 5.50% | 5.30% | -0.11% | -1.20% | 0.00% | 0.90% | 9.00% | -6.01% |
| 2010 | -3.30% | 2.50% | 2.40% | 1.60% | -2.80% | 0.90% | -1.10% | 4.71% | -0.80% | 1.82% | -1.50% | 4.32% | 8.70% | -3.30% |
| 2009 | -0.70% | 0.40% | 0.90% | -0.70% | 2.30% | -3.10% | 1.50% | 1.00% | 2.00% | -3.20% | 4.52% | -3.40% | 1.20% | -3.40% |
| 2008 | 6.60% | 2.80% | 2.00% | 0.00% | 0.40% | 1.40% | -3.42% | -1.94% | -1.04% | 4.80% | 4.20% | 2.00% | 18.80% | -6.27% |
| 2007 | 1.30% | -1.40% | -0.80% | 3.80% | 2.90% | 1.20% | -5.40% | -4.70% | 5.20% | 2.30% | 1.20% | 0.61% | 5.80% | -9.85% |
| 2006 | 4.10% | -1.20% | 5.20% | 5.50% | -4.00% | -3.40% | -0.74% | 1.60% | 0.70% | 1.30% | 1.60% | 0.60% | 11.30% | -7.95% |
| 2005 | -1.54% | -2.44% | -1.13% | 1.00% | 5.00% | 1.90% | 4.00% | 3.50% | 12.40% | -4.74% | 4.50% | 2.50% | 26.70% | -5.03% |
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.>
Risk Disclosure
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.