Bringing you live news and features since 2006 

Wermuth Asset Management delivers top US long-short and Russia performance in 2011


Wermuth Asset Management, a German alternative asset advisory firm with some USD300m AUM and significant operations in Moscow, has delivered the best performing US long short equity strategy and the best performing Russia fund in 2011.

Wermuth’s German-Russian-Ukrainian team returned 9% going long and short US equities in 2011, and has averaged 32% per annum since inception of the strategy in October 2007, including a remarkable 133% in 2008 when stock markets crashed across the globe.
Wermuth Quant Global Strategy (WUSLS) has outperformed [all other] other US-focused long/short equity funds, based on performance for 2011 and the last four years through 30 November, 2011, as listed on Bloomberg and sorted using its “Fund Screening” function (31 December data is not yet available for all the peers).
While the Russian index lost 22% for the year, Wermuth Quant Strategy Eastern Europe gained 1% for the year, the only such fund to report a positive performance. Since inception in September 2005 the strategy has returned 17% per annum in dollar terms.
Among 61 Russia-focused funds who reported the 2011 data, the team was the only one to deliver positive performance. Its five-year track record also makes it the best performing Russia fund manager, again based on Bloomberg data using its “Fund Screening” function.
The fund’s investment process begins with macro inputs from WAM’s economist, Dieter Wermuth, and bottom-up analysis from the research team, which generates buy, sell, and hold lists of Russian equities. The quant strategies are then applied to enter and exit positions automatically based on trend-following models which are developed in-house. The strategy thus combines both a value filter and an automated entry/exit system which protects investor capital while capturing both up and down moves.  In today’s volatile markets, alpha is created through avoiding large draw-downs.
Sergey Ilchenko, Head of Quant Department, says: “The international financial community has looked skeptically at Moscow’s aims to become an international financial centre. Now some hard figures delivered by a German asset manager’s team based in Moscow may change that. We are delighted that WAM’s performance in 2011 and over the past years, show that we are a fund manager that is as capable in the US as we are in our more traditional Russian focused-market.”

Latest News

Morningstar has published a review of the European ETF market for the first quarter 2024, which finds that it gathered..
ETF data consultant ETFGI reports that assets invested in the global ETF industry reached a new record of USD12.71 trillion..
Calastone has published an ETF white paper which examines several of the processes that take place across the lifecycle of..
Adapting product lines to fit into changing methodologies and meet shifting demand is essential to remaining relevant in the industry..

Related Articles

US ETF issuers of active ETFs are facing an increase in fees from the big custodian firms, such as Charles...
Taylor Krystkowiak, Themes ETFs
Themes ETFs opened its doors in December 2023, with an introductory suite of 11 ETFs – seven thematic and four...
Konrad Sippel, Solactive
At the end of March, financial index specialist, Solactive, published its 2024 annual report on future trends.  ...
Lorraine Sereyjol-Garros, BNP Paribas
Following changes to the French Monetary and Financial Code and of the French market authority AMF’s General Regulation, it is...
Subscribe to the ETF Express newsletter

Subscribe for access to our weekly newsletter, newsletter archive, updates on the site and exclusive email content.

Marketing by