Quantica Capital’s managed futures program returned -5.2% in February, bringing the systematic trend-following strategy’s annual net performance to -3.8%, according to a monthly investor letter obtained by Alternatives Watch.
These returns follow an outstanding 2019 with gains of 24.7%. The program’s risk-based relative approach to trend following was able to detect and capitalize on both major asset class trends that developed through the year by dynamically reallocating risk between the asset classes, according to a year-end note to investors.
As global markets moved dramatically . . .
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