dormouse Limited

Managed Accounts QEP only

Investment Strategy

DORMOUSE applies statistical arbitrage methodology to the futures markets. By neutralizing exposures to the beta risk factors typical of most futures managers and modeling the relationships between markets, this approach has enabled dormouse to produce consistent returns with a low correlation to CTA indices. These techniques are applied to a diverse set of the most liquid futures markets in fixed income, equity indices, currencies and commodities.

Performance (VAMI)

Monthly Returns

Fund Manager

Dr Martin Coward
Dr. Martin Coward has three decades of experience in trading, execution and risk management. After gaining a first class mathematics degree and Ph.D. from Cambridge University, he initially worked on projects for the UK Government as a statistical and mathematical risk analyst. He then moved into finance, working as a Foreign Exchange strategist with Goldman Sachs (from 1986) for 3 years. Prior to setting up IKOS, he worked for Investcorp Bahrain (from 1989) for 3 years, establishing its proprietary trading of equity derivatives. Martin is recognised for being one of the pioneers of quantitative systematic electronic trading in the hedge fund industry. Martin has selected and mentored teams of quantitative analysts who have created some of the most successful programmes including Managed Futures, Currencies, Equity Statistical Arbitrage and Multi-Strategy. Martin continues to actively innovate, design and create investment strategies. He is licensed as a portfolio manager under MiFID.

Dr Eric Westphal
Dr. Eric Westphal has been working in finance for almost two decades. Upon leaving academia with a Ph.D. in Theoretical Particle Physics and Cosmology from Caltech in 1998, he went to work for various groups within Koch Industries, the largest privately held company in the world. Here he carried out a wide variety of projects including rating and hedging crop insurance policies, structuring arbitrage trades based on weather derivatives, providing risk management for trading groups, and selecting and managing a portfolio of hedge funds. Ultimately, Dr. Westphal served as senior researcher and as portfolio manager, creating and trading systematic strategies in a variety of markets including equities, currencies, interest rates, options, and futures. After leaving Koch Industries he served as portfolio manager at IKOS for their systematic futures and currencies products. Dr. Westphal is licensed as a portfolio manager under MiFID.


Dr. Hans-Joachim Drescher
Dr. Hans-Joachim Drescher has a PhD in Theoretical Nuclear Physics from the University of Nantes in France. Later on he worked in several post-doc positions doing research in Particle and Cosmic Ray Physics at New York University, University of Frankfurt and the Frankfurt Institute for Advanced Studies. Research topics among others were the simulation of particle interactions in accelerators and in the atmosphere. Later, he worked for 2 years at IKOS as a researcher in finance working on risk management and algorithmic trading. Hans' research is published in peer-reviewed scientific journals and presented at numerous international conferences.

Mr. George Dowdye
George Dowdye has been working as a financial services professional for almost 3 decades. He started in investment banking with Barclays de Zoete Wedd Limited in the UK in 1990 and traded futures and options on behalf of the bank in Japan. George specialised in listed and OTC derivatives throughout his career in roles for Morgan Stanley, SBC Warburg, and UBS. He has held directorships for UBS, SBC Warburg and Barclays. After investment banking he became a hedge fund consultant with Albourne Partners. George was appointed as Global Sales Manager of IKOS in 2004 and left IKOS in 2009 and is licensed as an investment adviser under MiFID

General Information

Inception DateJul 2011
Minimum Investment20,000,000 USD
Management Fee1.00%
Performance Fee20.00%
Highwater MarkYes
Phone+356-2-7333094
E-mail[email protected]
Websitewww.dormouse.com

Statistics

Total Return Cumulative 105.54%
Sharpe Ratio 0.61
Sortino Ratio 0.97
Winning Months (%) 55.77%
Correlation vs. SG CTA Index 0.23

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 0.46 4.38 1.86 2.43 -2.61 -2.28 4.12
2023 -0.15 1.91 -1.56 1.82 0.38 -1.57 -0.33 -0.35 4.73 -0.52 -4.09 -0.59 -0.58
2022 -0.55 2.55 0.13 0.81 -1.84 -2.23 6.81 0.72 -5.44 -1.06 2.50 -3.62 -1.77
2021 -1.33 -1.12 -7.29 3.37 0.69 -1.40 1.34 2.00 -1.52 -0.08 4.19 0.92 -0.72
2020 -2.91 0.77 -7.19 0.22 -0.42 -1.98 4.85 -2.43 4.30 -1.66 -1.09 3.75 -4.35
2019 -0.29 0.97 2.67 -0.71 1.37 3.04 1.03 2.56 0.63 -2.16 -0.82 1.90 10.53
2018 3.25 0.09 -2.68 2.13 1.62 2.09 3.49 0.61 0.72 -1.31 -1.31 2.56 11.63
2017 2.53 -4.14 -2.27 1.27 -1.44 -1.04 2.88 2.00 3.53 -2.11 -2.16 -3.58 -4.81
2016 1.01 1.76 0.03 3.93 1.62 6.84 0.05 -1.44 0.48 0.99 1.14 -2.94 13.96
2015 11.10 -0.50 6.98 -1.93 2.36 0.50 5.92 2.67 -0.44 -1.05 4.17 -1.55 31.08
2014 1.34 -2.40 1.52 -1.81 0.69 -5.05 -4.04 3.48 0.39 2.85 2.61 5.89 5.01
2013 -3.11 -0.23 -0.24 5.76 -1.25 -2.44 -3.33 -4.13 2.18 2.06 -0.55 -1.30 -6.79
2012 4.91 5.46 0.81 0.33 -0.51 3.52 5.72 5.28 -0.57 -1.34 -2.53 -3.53 18.32
2011 0.14 1.64 1.16 0.72 -0.47 1.49 4.75
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 Month Rolling ROR

Up Capture vs. SG CTA Index

Down Capture vs. SG CTA Index

AUM

Volatility (12 Months Rolling)

Risk/Return Comparison

Drawdown

Instruments

Data not available
Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.

Return Statistics

Last Month -2.28%
Year To Date 4.12%
3 Month ROR -2.52%
12 Months ROR 2.73%
36 Month ROR 8.76%
Total Return Cumulative 105.54%
Total Return Annualized 5.70%
Best Month 11.10%
Winning Months (%) 55.77%
Gain Deviation 2.02

Risk Statistics

Standard Deviation Annualized 9.82%
Max Drawdown (Monthly) -22.23%
Max Drawdown Length 29
Worst Month -7.29%
Losing Months (%) 44.23%
Average Losing Month -1.94%
Loss Deviation 1.54
Correlation vs S&P 500 0.05
Correlation vs DJ/CS MF 0.27

Risk/Reward Statistics

Sharpe Ratio 0.61
Sortino Ratio 0.97
Omega Ratio 0.74
Skewness 0.31
Kurtosis 0.96

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -22.23% 23 6 09/2012 01/2015
2 -14.45% 18 37 10/2019 04/2024
3 -7.91% 7 3 12/2016 09/2017
4 -7.65% 3 7 10/2017 07/2018
5 -4.83% 2 0 05/2024 -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 11.10%-7.29%0.50%0.43%-2.28%55.77%
3 Months 20.71%-9.58%1.59%1.21%-2.52%64.94%
6 Months 32.16%-11.17%3.18%2.24%4.12%62.25%
1 Year 46.71%-16.00%6.16%3.38%2.73%62.07%
2 Years 76.64%-19.52%12.02%7.12%2.93%78.20%
3 Years 72.08%-6.72%19.40%14.07%8.76%91.74%
5 Years 99.58%-0.44%37.11%30.62%-0.44%98.97%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg5.70%18.84%40.47%89.49%237.66%626.87%
% Positive55.77%64.94%62.25%62.07%78.20%91.74%
Avg. Pos. Period2.44%4.40%7.79%12.90%17.12%21.45%
Avg. Neg. Period-1.94%-3.63%-4.43%-4.87%-6.30%-3.31%
Sharpe Ratio0.611.031.361.712.273.47
Sortino Ratio0.971.863.045.149.3456.56
Standard Deviation2.83%5.33%8.08%12.50%18.37%19.35%
Downside Deviation1.65%2.70%3.27%3.68%3.96%1.10%
Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.

Company Information

Minimum Investment20,000,000 USD (notional funding: 60.00%)
AUM374,900,000 USD
Management Fee1.00%
Performance Fee20.00%
Highwater MarkYes
RT per Million -
Margin to Equity -
Legal StructureManaged Account
Investment RestrictionOnly for Qualified Eligible Persons

Company Information

Companydormouse Limited
PrincipalHans Drescher
Phone+356-2-7333094
E-mail[email protected]
License NumberMalta Financial Services Authority C 53034
LocationNaxxar, Malta
Performance Compiled by -

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 0.46 4.38 1.86 2.43 -2.61 -2.28 4.12
2023 -0.15 1.91 -1.56 1.82 0.38 -1.57 -0.33 -0.35 4.73 -0.52 -4.09 -0.59 -0.58
2022 -0.55 2.55 0.13 0.81 -1.84 -2.23 6.81 0.72 -5.44 -1.06 2.50 -3.62 -1.77
2021 -1.33 -1.12 -7.29 3.37 0.69 -1.40 1.34 2.00 -1.52 -0.08 4.19 0.92 -0.72
2020 -2.91 0.77 -7.19 0.22 -0.42 -1.98 4.85 -2.43 4.30 -1.66 -1.09 3.75 -4.35
2019 -0.29 0.97 2.67 -0.71 1.37 3.04 1.03 2.56 0.63 -2.16 -0.82 1.90 10.53
2018 3.25 0.09 -2.68 2.13 1.62 2.09 3.49 0.61 0.72 -1.31 -1.31 2.56 11.63
2017 2.53 -4.14 -2.27 1.27 -1.44 -1.04 2.88 2.00 3.53 -2.11 -2.16 -3.58 -4.81
2016 1.01 1.76 0.03 3.93 1.62 6.84 0.05 -1.44 0.48 0.99 1.14 -2.94 13.96
2015 11.10 -0.50 6.98 -1.93 2.36 0.50 5.92 2.67 -0.44 -1.05 4.17 -1.55 31.08
2014 1.34 -2.40 1.52 -1.81 0.69 -5.05 -4.04 3.48 0.39 2.85 2.61 5.89 5.01
2013 -3.11 -0.23 -0.24 5.76 -1.25 -2.44 -3.33 -4.13 2.18 2.06 -0.55 -1.30 -6.79
2012 4.91 5.46 0.81 0.33 -0.51 3.52 5.72 5.28 -0.57 -1.34 -2.53 -3.53 18.32
2011 0.14 1.64 1.16 0.72 -0.47 1.49 4.75
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Strategy Description

DORMOUSE applies statistical arbitrage methodology to the futures markets. By neutralizing exposures to the beta risk factors typical of most futures managers and modeling the relationships between markets, this approach has enabled dormouse to produce consistent returns with a low correlation to CTA indices. These techniques are applied to a diverse set of the most liquid futures markets in fixed income, equity indices, currencies and commodities.

Return Statistics

Last Month -2.28%
Year To Date 4.12%
3 Month ROR -2.52%
12 Months ROR 2.73%
36 Month ROR 8.76%
Total Return Cumulative 105.54%
Total Return Annualized 5.70%
Best Month 11.10%
Winning Months (%) 55.77%
Gain Deviation 2.02

Risk Statistics

Standard Deviation Annualized 9.82%
Max Drawdown (Monthly) -22.23%
Max Drawdown Length 29
Worst Month -7.29%
Losing Months (%) 44.23%
Average Losing Month -1.94%
Loss Deviation 1.54
Correlation vs S&P 500 0.05
Correlation vs DJ/CS MF 0.27

Risk/Reward Statistics

Sharpe Ratio 0.61
Sortino Ratio 0.97
Omega Ratio 0.74
Skewness 0.31
Kurtosis 0.96

Monthly Returns

Performance (VAMI)

Fund Manager

Dr Martin Coward
Dr. Martin Coward has three decades of experience in trading, execution and risk management. After gaining a first class mathematics degree and Ph.D. from Cambridge University, he initially worked on projects for the UK Government as a statistical and mathematical risk analyst. He then moved into finance, working as a Foreign Exchange strategist with Goldman Sachs (from 1986) for 3 years. Prior to setting up IKOS, he worked for Investcorp Bahrain (from 1989) for 3 years, establishing its proprietary trading of equity derivatives. Martin is recognised for being one of the pioneers of quantitative systematic electronic trading in the hedge fund industry. Martin has selected and mentored teams of quantitative analysts who have created some of the most successful programmes including Managed Futures, Currencies, Equity Statistical Arbitrage and Multi-Strategy. Martin continues to actively innovate, design and create investment strategies. He is licensed as a portfolio manager under MiFID.

Dr Eric Westphal
Dr. Eric Westphal has been working in finance for almost two decades. Upon leaving academia with a Ph.D. in Theoretical Particle Physics and Cosmology from Caltech in 1998, he went to work for various groups within Koch Industries, the largest privately held company in the world. Here he carried out a wide variety of projects including rating and hedging crop insurance policies, structuring arbitrage trades based on weather derivatives, providing risk management for trading groups, and selecting and managing a portfolio of hedge funds. Ultimately, Dr. Westphal served as senior researcher and as portfolio manager, creating and trading systematic strategies in a variety of markets including equities, currencies, interest rates, options, and futures. After leaving Koch Industries he served as portfolio manager at IKOS for their systematic futures and currencies products. Dr. Westphal is licensed as a portfolio manager under MiFID.


Dr. Hans-Joachim Drescher
Dr. Hans-Joachim Drescher has a PhD in Theoretical Nuclear Physics from the University of Nantes in France. Later on he worked in several post-doc positions doing research in Particle and Cosmic Ray Physics at New York University, University of Frankfurt and the Frankfurt Institute for Advanced Studies. Research topics among others were the simulation of particle interactions in accelerators and in the atmosphere. Later, he worked for 2 years at IKOS as a researcher in finance working on risk management and algorithmic trading. Hans' research is published in peer-reviewed scientific journals and presented at numerous international conferences.

Mr. George Dowdye
George Dowdye has been working as a financial services professional for almost 3 decades. He started in investment banking with Barclays de Zoete Wedd Limited in the UK in 1990 and traded futures and options on behalf of the bank in Japan. George specialised in listed and OTC derivatives throughout his career in roles for Morgan Stanley, SBC Warburg, and UBS. He has held directorships for UBS, SBC Warburg and Barclays. After investment banking he became a hedge fund consultant with Albourne Partners. George was appointed as Global Sales Manager of IKOS in 2004 and left IKOS in 2009 and is licensed as an investment adviser under MiFID

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -22.23% 23 6 09/2012 01/2015
2 -14.45% 18 37 10/2019 04/2024
3 -7.91% 7 3 12/2016 09/2017
4 -7.65% 3 7 10/2017 07/2018
5 -4.83% 2 0 05/2024 -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 11.10%-7.29%0.50%0.43%-2.28%55.77%
3 Months 20.71%-9.58%1.59%1.21%-2.52%64.94%
6 Months 32.16%-11.17%3.18%2.24%4.12%62.25%
1 Year 46.71%-16.00%6.16%3.38%2.73%62.07%
2 Years 76.64%-19.52%12.02%7.12%2.93%78.20%
3 Years 72.08%-6.72%19.40%14.07%8.76%91.74%
5 Years 99.58%-0.44%37.11%30.62%-0.44%98.97%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg5.70%18.84%40.47%89.49%237.66%626.87%
% Positive55.77%64.94%62.25%62.07%78.20%91.74%
Avg. Pos. Period2.44%4.40%7.79%12.90%17.12%21.45%
Avg. Neg. Period-1.94%-3.63%-4.43%-4.87%-6.30%-3.31%
Sharpe Ratio0.611.031.361.712.273.47
Sortino Ratio0.971.863.045.149.3456.56
Standard Deviation2.83%5.33%8.08%12.50%18.37%19.35%
Downside Deviation1.65%2.70%3.27%3.68%3.96%1.10%

Up Capture vs. SG CTA Index

Down Capture vs. SG CTA Index

Drawdown

Volatility (12 Months Rolling)

Instruments

Data not available

AUM

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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.