Team: Sergey Ilchenko, Yury Roslavlev, Tikhon Moiseev
Strategy: The Wermuth Quant Global Strategy (“WUSLS”) trading model is an short-term, trend following model. Proprietarily developed execution software allows all trades to be fully automated, avoiding the human factor with an increased reaction speed. Combination of short-or-nothing and long-or-nothing strategies helps to benefit from both rising and falling markets. Original strategy is 100% quantitative and was developed entirely in-house.
Diversification among numerous proprietary long/short strategies and among more than 4000 stocks, one day liquidity and unemotional automated execution are three core components of the Fund’s trading model. The main objective of such a trading model is to achieve long-term capital growth with controlled risk. The main source of income for this approach is high volatility in the market, or at least high volatility in certain sectors. Expected average annual returns are 25%, ranging from -10% to 130% depending on market conditions. WUSLS has positive skewness: big one month profits are expected to happen more frequently than big one month losses.
WUSLS is a perfect addition to Long/Aggressive, Long/Shorting Volatility portfolios as it delivers strong hedge characteristics. Due to lack of positive correlation with stock indices WUSLS adding to a classical portfolio can significantly improve the performance of the entire portfolio.
Fund Terms:
· Monthly liquidity with five-day notice
· No private equity, no real estate
· No subscription or redemption fees
Performance fees: 20%of investment profits, after 6 months and audited account look back.
Management Fees: 2% of NAV per annum.