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Subject:
dormouse Limited - B shares
dormouse Limited
B shares
QEP only
Overview
Charts
Stats & Ratios
Show All
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. 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.
Fund Information
Inception Date
Aug 2016
Minimum Investment
10,000,000 USD
Management Fee
1.00%
Performance Fee
10.00%
Highwater Mark
Yes
Phone
+356-2-7333094
E-mail
[email protected]
Website
www.dormouse.com
Statistics
Total Return Cumulative
23.73%
Sharpe Ratio
0.34
Sortino Ratio
0.44
Winning Months (%)
53.61%
Correlation vs. S&P 500 TR
0.10
Monthly Performance
Export Data
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Year
2024
0.83
4.55
1.84
2.31
-2.27
-2.17
4.76
-2.47
7.30
2023
-0.15
2.08
-1.38
2.02
0.62
-1.40
-0.09
-0.12
4.89
-0.08
-3.92
-0.31
1.92
2022
-0.78
2.49
0.11
2.67
-1.81
-2.00
6.59
0.75
-5.54
-0.98
2.66
-3.62
-0.04
2021
-1.50
-0.97
-7.16
3.24
0.63
-1.57
1.11
1.81
-1.43
0.04
4.07
1.22
-0.98
2020
-2.94
0.78
-6.58
0.36
-0.59
-1.99
4.55
-2.30
4.12
-2.06
-1.12
3.61
-4.65
2019
-0.22
1.12
3.44
-0.60
1.37
3.10
1.12
2.84
0.82
-2.02
-0.63
2.36
13.29
2018
3.36
0.20
-2.14
1.91
1.70
2.11
3.98
0.12
1.02
-1.72
-1.52
3.45
12.94
2017
2.45
-4.27
-2.39
1.23
-1.40
-1.09
3.09
1.92
3.68
-2.08
-2.19
-3.84
-5.18
2016
-0.55
0.54
0.85
1.08
-3.06
-1.19
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. S&P 500 TR
Down Capture vs. S&P 500 TR
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
-
Year To Date
7.30%
3 Month ROR
-0.04%
12 Months ROR
7.71%
36 Month ROR
13.55%
Total Return Cumulative
23.73%
Total Return Annualized
2.67%
Best Month
6.59%
Winning Months (%)
53.61%
Gain Deviation
1.50
Risk Statistics
Standard Deviation Annualized
8.94%
Max Drawdown (Monthly)
-13.94%
Max Drawdown # of Months
34
Worst Month
-7.16%
Losing Months (%)
46.39%
Average Losing Month
-1.98%
Loss Deviation
1.59
Correlation vs S&P 500
0.10
Correlation vs DJ/CS MF
0.18
Risk/Reward Statistics
Sharpe Ratio
0.34
Sortino Ratio
0.44
Omega Ratio
0.57
Skewness
-0.23
Kurtosis
0.20
Drawdown Report
No.
Depth (%)
Length (Months)
Recovery (Months)
Start date
End date
Fund
Index
Fund
Index
Fund
Index
Fund
Index
Fund
Index
1
-13.94%
-
18
-
16
-
10/2019
-
07/2022
-
2
-8.38%
-
7
-
13
-
12/2016
-
07/2018
-
3
-7.59%
-
5
-
14
-
09/2022
-
03/2024
-
4
-4.39%
-
2
-
1
-
05/2024
-
07/2024
-
5
-3.21%
-
2
-
1
-
10/2018
-
12/2018
-
Return Report
Period
Best
Worst
Average
Median
Last
Winning %
1 Month
6.59%
-7.16%
0.25%
0.20%
-2.47%
53.61%
3 Months
8.94%
-9.44%
0.76%
0.83%
-0.04%
62.11%
6 Months
11.75%
-10.65%
1.55%
1.48%
1.78%
67.39%
1 Year
16.30%
-8.29%
3.21%
1.83%
7.71%
61.63%
2 Years
27.95%
-10.70%
6.60%
6.48%
1.20%
82.43%
3 Years
22.01%
-5.62%
9.19%
8.46%
13.55%
90.32%
5 Years
26.05%
3.71%
14.65%
14.28%
3.71%
100.00%
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
2.67%
8.53%
18.41%
42.65%
108.02%
179.94%
% Positive
53.61%
62.11%
67.39%
61.63%
82.43%
90.32%
Avg. Pos. Period
2.18%
3.04%
4.51%
7.34%
9.19%
10.49%
Avg. Neg. Period
-1.98%
-2.99%
-4.56%
-3.42%
-5.57%
-2.99%
Sharpe Ratio
0.34
0.69
1.03
1.70
2.83
4.51
Sortino Ratio
0.44
0.99
1.61
4.16
8.28
29.60
Standard Deviation
2.58%
3.81%
5.22%
6.52%
8.09%
7.05%
Downside Deviation
1.73%
2.39%
3.05%
2.50%
2.63%
1.05%
Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.
Fund Information
Minimum Investment
10,000,000 USD
AUM
6,500,000 USD
Management Fee
1.00%
Performance Fee
10.00%
Highwater Mark
Yes
RT per Million
-
Margin to Equity
-
Legal Structure
Managed Account
Investment Restriction
Only for Qualified Eligible Persons
Company Information
Company
dormouse Limited
Principal
Hans Drescher
Phone
+356-2-7333094
E-mail
[email protected]
License Number
Malta Financial Services Authority C 53034
Location
Naxxar, Malta
Performance Compiled by
-
Monthly Performance
Export Data
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Year
2024
0.83
4.55
1.84
2.31
-2.27
-2.17
4.76
-2.47
7.30
2023
-0.15
2.08
-1.38
2.02
0.62
-1.40
-0.09
-0.12
4.89
-0.08
-3.92
-0.31
1.92
2022
-0.78
2.49
0.11
2.67
-1.81
-2.00
6.59
0.75
-5.54
-0.98
2.66
-3.62
-0.04
2021
-1.50
-0.97
-7.16
3.24
0.63
-1.57
1.11
1.81
-1.43
0.04
4.07
1.22
-0.98
2020
-2.94
0.78
-6.58
0.36
-0.59
-1.99
4.55
-2.30
4.12
-2.06
-1.12
3.61
-4.65
2019
-0.22
1.12
3.44
-0.60
1.37
3.10
1.12
2.84
0.82
-2.02
-0.63
2.36
13.29
2018
3.36
0.20
-2.14
1.91
1.70
2.11
3.98
0.12
1.02
-1.72
-1.52
3.45
12.94
2017
2.45
-4.27
-2.39
1.23
-1.40
-1.09
3.09
1.92
3.68
-2.08
-2.19
-3.84
-5.18
2016
-0.55
0.54
0.85
1.08
-3.06
-1.19
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
-
Year To Date
7.30%
3 Month ROR
-0.04%
12 Months ROR
7.71%
36 Month ROR
13.55%
Total Return Cumulative
23.73%
Total Return Annualized
2.67%
Best Month
6.59%
Winning Months (%)
53.61%
Gain Deviation
1.50
Risk Statistics
Standard Deviation Annualized
8.94%
Max Drawdown (Monthly)
-13.94%
Max Drawdown # of Months
34
Worst Month
-7.16%
Losing Months (%)
46.39%
Average Losing Month
-1.98%
Loss Deviation
1.59
Correlation vs S&P 500
0.10
Correlation vs DJ/CS MF
0.18
Risk/Reward Statistics
Sharpe Ratio
0.34
Sortino Ratio
0.44
Omega Ratio
0.57
Skewness
-0.23
Kurtosis
0.20
Monthly Returns
Performance (VAMI)
Fund Manager
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.
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
-13.94%
-
18
-
16
-
10/2019
-
07/2022
-
2
-8.38%
-
7
-
13
-
12/2016
-
07/2018
-
3
-7.59%
-
5
-
14
-
09/2022
-
03/2024
-
4
-4.39%
-
2
-
1
-
05/2024
-
07/2024
-
5
-3.21%
-
2
-
1
-
10/2018
-
12/2018
-
Return Report
Period
Best
Worst
Average
Median
Last
Winning %
1 Month
6.59%
-7.16%
0.25%
0.20%
-2.47%
53.61%
3 Months
8.94%
-9.44%
0.76%
0.83%
-0.04%
62.11%
6 Months
11.75%
-10.65%
1.55%
1.48%
1.78%
67.39%
1 Year
16.30%
-8.29%
3.21%
1.83%
7.71%
61.63%
2 Years
27.95%
-10.70%
6.60%
6.48%
1.20%
82.43%
3 Years
22.01%
-5.62%
9.19%
8.46%
13.55%
90.32%
5 Years
26.05%
3.71%
14.65%
14.28%
3.71%
100.00%
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
2.67%
8.53%
18.41%
42.65%
108.02%
179.94%
% Positive
53.61%
62.11%
67.39%
61.63%
82.43%
90.32%
Avg. Pos. Period
2.18%
3.04%
4.51%
7.34%
9.19%
10.49%
Avg. Neg. Period
-1.98%
-2.99%
-4.56%
-3.42%
-5.57%
-2.99%
Sharpe Ratio
0.34
0.69
1.03
1.70
2.83
4.51
Sortino Ratio
0.44
0.99
1.61
4.16
8.28
29.60
Standard Deviation
2.58%
3.81%
5.22%
6.52%
8.09%
7.05%
Downside Deviation
1.73%
2.39%
3.05%
2.50%
2.63%
1.05%
Up Capture vs. S&P 500 TR
Down Capture vs. S&P 500 TR
Drawdown
Volatility (12 Months Rolling)
Instruments
Data not available
AUM
For the latest performance, please scan the image above with a QR Reader.
Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.