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Digital Subscriptions > The Hedge Fund Journal > Issue 115 - July | August 2016 > Dormouse: Alpha By Stealth

Dormouse: Alpha By Stealth

Low-correlated CTA marks five years

Dormouse deliberately chose a low key name as a reaction against big and bold hedge fund appellations belonging to behemoths that manage tens of billions. Dormouse CIO, Dr Martin Coward, estimates that capacity for the Dormouse futures hedge fund strategy is $2 billion, under current liquidity conditions (but is higher for the firm’s separate long only asset allocation strategy).

Dormouse set up a corporate structure in June 2011 and has spent five years quietly building up a track record (shown in Fig.1) in managed accounts, attaining a Sharpe ratio above one. Given that Dormouse’s 2015 performance (+30.27%) would probably have garnered a clutch of awards, Coward might regret waiting until now to launch an offshore fund structure. But Dormouse is well resourced with proprietary capital and so has had the luxury of awaiting an opportune moment to ready the Cayman vehicle, now launching in summer 2016 with discounted fees for early investors. This year Dormouse has also opened an affiliated US office in Miami to expand its team of quantitative researchers, as the manager raises its game to attract institutional allocators seeking a diversifying strategy.

Fig.1 Performance since inception
Source: Dormouse

Trading a web of interconnections

Coward, who was founder, Chairman and Chief Investment Officer of one of Europe’s largest systematic hedge fund managers, holds the conviction that increasing interdependency and interconnectedness between markets make diversification harder to achieve, particularly for traditional directional strategies. Hence he favours strategies that include “applying statistical arbitrage to futures, to trade the connections between asset classes, markets, regions and economies.”

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