Wermuth Asset Management, a Germany-based family office and BaFin regulated investment adviser, has restructured its quant advisory business to focus on the systematic US equity long/short strategy.
Having begun trading in April 2012, the Jersey-based fund for eligible investors, Wermuth Quant Global Strategy IC, has generated assets under management (AUM) of US$10.5 million and is expected to cross US$15 million mark in the future.
Following the restricting plan, the Wermuth Quant Eastern European Long Short Strategy IC and the Wermuth Leveraged Quant Eastern European Long Short IC will discontinue as funds.
However, they will be available on a managed accounts basis for outside investors.
The move to close the two hedge funds was due to lack of investor demand in recent years for Russia-related funds.
Strategy research and developer head Yury Roslavlev was quoted by hedgeweek as saying that they can now offer a proven strategy that is designed to work well when others do not in periods of increased market stress and fat-tail events.
Quant team head Andreas Gilgen told the website that the US QE I, II, III and similar interventions have provided the markets with a strong support; the ‘golden era’ for mean reversion was born, where everything is bought that falls a few per cent.