The following extract is a Top Traders Unplugged summary of a conversation between the podcast hosts Niels and Alan with Bruno Gmür, Founder and CIO at Quantica Capital.
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Quantica Capital was founded in Zurich in 2003 by Dr Bruno Gmür, a mathematician and qualified actuary who spent years developing quantitative models in the CIO office of a major Swiss private bank before deciding to build something of his own. The Quantica Managed Futures Program has now accumulated over two decades of live track record, and its approach, which Gmür calls relative trend following, differs in important ways from the standard CTA model.
Where most trend-following programmes treat each market independently, Quantica analyses risk-adjusted performance relative to other markets. The premise is that large investors implement tactical allocation shifts across asset classes, and that these flows leave discernible patterns in relative pricing. Capturing those patterns requires thinking about markets in relation to each other, not just in isolation. That structural difference in signal construction is what drives much of the programme’s distinctive return profile.
Gmür is direct about the challenges of the strategy: trend following is painful most of the time, and most investors are underwater in any given measurement window. His willingness to hold that reality without softening it is one of the most useful things about the conversation. He is equally direct about his confidence in the long-term case. The conversation with Niels and Alan is a rigorous examination of what trend following actually requires from both manager and investor.
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