dormouse Limited

A shares

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.

General Information

Inception DateJan 2017
Minimum Investment1,000,000 USD
Management Fee1.00%
Performance Fee20.00%
Highwater MarkYes
Phone+356-2-7333094
E-mail[email protected]
Websitewww.dormouse.com

Statistics

Total Return Cumulative 19.73%
Sharpe Ratio 0.32
Sortino Ratio 0.40
Winning Months (%) 53.33%
Correlation vs. S&P 500 TR 0.11

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 0.83 4.55 1.71 2.06 -2.02 -2.17 4.89
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 1.02 3.05 -0.60 1.29 2.76 1.00 2.52 0.73 -2.02 -0.63 2.36 11.71
2018 3.36 0.20 -2.14 1.91 1.70 2.11 3.67 0.11 0.90 -1.72 -1.52 3.44 12.45
2017 2.07 -3.89 -2.36 1.23 -1.40 -1.09 3.09 1.92 3.23 -2.08 -2.19 -3.84 -5.54
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 -2.17%
Year To Date 4.89%
3 Month ROR -2.17%
12 Months ROR 5.08%
36 Month ROR 14.26%
Total Return Cumulative 19.73%
Total Return Annualized 2.43%
Best Month 6.59%
Winning Months (%) 53.33%
Gain Deviation 1.46

Risk Statistics

Standard Deviation Annualized 8.84%
Max Drawdown (Monthly) -13.94%
Max Drawdown Length 34
Worst Month -7.16%
Losing Months (%) 46.67%
Average Losing Month -1.96%
Loss Deviation 1.60
Correlation vs S&P 500 0.11
Correlation vs DJ/CS MF 0.19

Risk/Reward Statistics

Sharpe Ratio 0.32
Sortino Ratio 0.40
Omega Ratio 0.55
Skewness -0.28
Kurtosis 0.35

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 -7.90% 3 7 10/2017 07/2018
3 -7.59% 5 14 09/2022 03/2024
4 -7.35% 5 3 02/2017 09/2017
5 -4.15% 2 0 05/2024 -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 6.59%-7.16%0.23%0.15%-2.17%53.33%
3 Months 8.53%-9.44%0.76%0.92%-2.17%62.50%
6 Months 10.82%-10.65%1.61%1.74%4.89%67.06%
1 Year 15.25%-8.37%3.02%2.92%5.08%59.49%
2 Years 25.62%-10.70%6.15%6.28%6.25%80.60%
3 Years 19.78%-5.62%7.08%6.78%14.26%89.09%
5 Years 23.21%4.88%14.22%13.89%4.88%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg2.43%8.57%19.29%39.74%97.95%122.63%
% Positive53.33%62.50%67.06%59.49%80.60%89.09%
Avg. Pos. Period2.15%3.07%4.44%7.34%9.03%8.32%
Avg. Neg. Period-1.96%-3.09%-4.17%-3.33%-5.84%-3.07%
Sharpe Ratio0.320.691.111.662.713.95
Sortino Ratio0.400.981.743.817.0721.30
Standard Deviation2.55%3.81%4.99%6.30%7.85%6.21%
Downside Deviation1.73%2.42%2.94%2.57%2.87%1.12%
Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.

Company Information

Minimum Investment1,000,000 USD
AUM5,900,000 USD
Management Fee1.00%
Performance Fee20.00%
Highwater MarkYes
RT per Million -
Margin to Equity -
Legal StructureManaged Account
Investment RestrictionNon US Only

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 0.83 4.55 1.71 2.06 -2.02 -2.17 4.89
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 1.02 3.05 -0.60 1.29 2.76 1.00 2.52 0.73 -2.02 -0.63 2.36 11.71
2018 3.36 0.20 -2.14 1.91 1.70 2.11 3.67 0.11 0.90 -1.72 -1.52 3.44 12.45
2017 2.07 -3.89 -2.36 1.23 -1.40 -1.09 3.09 1.92 3.23 -2.08 -2.19 -3.84 -5.54
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 -2.17%
Year To Date 4.89%
3 Month ROR -2.17%
12 Months ROR 5.08%
36 Month ROR 14.26%
Total Return Cumulative 19.73%
Total Return Annualized 2.43%
Best Month 6.59%
Winning Months (%) 53.33%
Gain Deviation 1.46

Risk Statistics

Standard Deviation Annualized 8.84%
Max Drawdown (Monthly) -13.94%
Max Drawdown Length 34
Worst Month -7.16%
Losing Months (%) 46.67%
Average Losing Month -1.96%
Loss Deviation 1.60
Correlation vs S&P 500 0.11
Correlation vs DJ/CS MF 0.19

Risk/Reward Statistics

Sharpe Ratio 0.32
Sortino Ratio 0.40
Omega Ratio 0.55
Skewness -0.28
Kurtosis 0.35

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 -7.90% 3 7 10/2017 07/2018
3 -7.59% 5 14 09/2022 03/2024
4 -7.35% 5 3 02/2017 09/2017
5 -4.15% 2 0 05/2024 -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 6.59%-7.16%0.23%0.15%-2.17%53.33%
3 Months 8.53%-9.44%0.76%0.92%-2.17%62.50%
6 Months 10.82%-10.65%1.61%1.74%4.89%67.06%
1 Year 15.25%-8.37%3.02%2.92%5.08%59.49%
2 Years 25.62%-10.70%6.15%6.28%6.25%80.60%
3 Years 19.78%-5.62%7.08%6.78%14.26%89.09%
5 Years 23.21%4.88%14.22%13.89%4.88%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg2.43%8.57%19.29%39.74%97.95%122.63%
% Positive53.33%62.50%67.06%59.49%80.60%89.09%
Avg. Pos. Period2.15%3.07%4.44%7.34%9.03%8.32%
Avg. Neg. Period-1.96%-3.09%-4.17%-3.33%-5.84%-3.07%
Sharpe Ratio0.320.691.111.662.713.95
Sortino Ratio0.400.981.743.817.0721.30
Standard Deviation2.55%3.81%4.99%6.30%7.85%6.21%
Downside Deviation1.73%2.42%2.94%2.57%2.87%1.12%

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

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.