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FUNDS | Quartz Fund

Quartz Fund


Quartz  Quantitative Strategies apply statistical arbitrage to short and medium term momentum and mean reversion directional strategies, respectively in S&P500 and Nikkei 225 indexes. The algorithm analyses realised correlation and dispersion data among sectors and index constituents across various time slice windows.  The Quartz model utilises inputs that imply the macro risk in the market and takes a long or short bais accordingly. 


MONTHLY COMMENTARY


APRIL 2016

Result: On a gross basis, Quartz performance for Apr 2016 is +0.11%


Qualitative Review of Apr 2016:


As we pointed out in our March investor letter, S&P500 moved sideways to slightly downward in the first half of April.


As the US earnings season started and the Fed related dovishness was priced in by markets in a bullish way, the S&P500 showed a short-lived upward momentum in the third week of the month, from 2,065s to 2,111s .


Even though the Fed did not surprise the market and it continued to stay doveish, the BoJ decision (which had been widely expected to include additional expansion) of no change negatively surprised the markets and triggered a sell-off in the last 2 trading days, finishing the month almost flat, only +0.27%.


Offsetting drivers and mixed macro- and microeconomic pictures worldwide are limiting trending behaviour in both directions.


 The bullish drivers continue to be the doveish central banks, recovery in commodity prices – particularly in oil – and strong earnings from US banks and some tech blue chips. The bearish factors, on the other hand, continue to be declining USD (especially against the JPY and EUR), sluggish earnings/ earnings outlooks for some energy and tech firms (e.g., AAPL), and mixed news flow from China.


Quantitative Review of April 2016:


Due to the range trading until April 12 – mostly between 2,045s and 2,063s – Quartz algorithm tried to capture intraday swings with in-and-out trades until mid-month.


Parallel to its long positioning in the third week of the month, Quartz rode gains until the S&P500 index reached 2,100s.


The weakening in the USD and disappointing BoJ decision led to a sell-off at the end of the month, which trimmed Quartz’s monthly gains. Nevertheless, the algorithm finished the month in positive territory: +0.11%.


Quantitative Outlook:


Quartz algorithm signals a bullish market behaviour in the first half of May, in which S&P500 may attempt to test its all-time highs at 2,130s.


From the middle of the second trading week through the mid-month, Quartz is currently signalling a major down trend in the S&P500 index. A break of 2,013s downside may lead to retest of 1,970s in the index.


Fund data
Class A Class B Class C Class D
27 MAY, 2016

$ 90,4230 - - € 89,7420
Inception Date 02.10.2015 30.10.2015 06.11.2015 05.10.2015
Investment Minimums $ 10.000,00 € 10.000,00 $ 1.000,00 € 1.000,00
Subsequent Investment $ 10.000,00 € 10.000,00 $ 1.000,00 € 1.000,00
Ticker Bloomberg
ISIN MT70000014460 MT7000014478 MT7000014486 MT7000014494

Account Features: daily

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Monthly Performance


Class A
Year JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC Total
2015 - - - - - - - - - 0,6590 % -0,5772 % -0,6435 % -0,5660 %
2016 -6,1408 % -2,2137 % 0,6914 % -0,8118 % - - - - - - - - -8,3342 %

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