Altaica Alpha Strategies

During November the performance differential between managers and strategies was remarkable. We ended up with a positive return of just a little bit more than 1%. The drivers of the performance were CTA (+2.3%) and Equity strategies (+3.2%). The other strategies suffered losses during November. Except two managers all CTA managers performed well. One of the managers which suffered huge losses in previous months was able to turn the tide and recovered partly by 12.1%. The other managers performed more modest with gains and losses between -1.6% and +4.4%. Due to a 4.8% loss of one of our largest positions in the portfolio the category Global Macro dragged down the total performance of the portfolio. The Equity managers performed well….

During October we suffered from a severe currency headwind. The US dollar weakened almost 2%. On portfolio level this is a minus of about 1%. This explains almost the total loss of the portfolio during October. Between the different strategies the performances were quite mixed. First of all one of the big disappointment came from one CTA manager. This manager, one of the big names in the industry, burned all its impressive performance earlier this year into a loss. Last month this fund lost more than 13%, making it the biggest loss maker in the portfolio. This was exceptional because the other CTA manager performed not at all in this way. This also promotes this fund manager on the watch…

The fund lost about 1.4% during September after three positive months. During September a lot of markets made quick changes of direction. One of the events causing them was the attack on the Saudi Aramco oil facilities. This resulted in a spike in the oil prices causing havoc on the short oil positions of many CTA managers. Next to this there were sector rotations in the equity markets and rebound reactions in currencies and bond markets. This all resulted into a relatively small loss on the portfolio level. We were saved by the Credit strategies which generated a solid return and a little help from the Equity Long/Short strategies. Both CTA and Global Macro strategies suffered losses of more than…

With a positive return of 1.16% over August the fund performed well. This during a challenging month for the equity and bond markets. The differences between the strategies the fund is invested in were interesting. It was an excellent month for our Credit managers. This type of strategies was the stellar outperformer with a gain of 7.6%. Especially our American based manager. With a stellar performance of 17.5% it was the best performing fund in our portfolio, bringing the year to date performance of this manager up to 65%. The two other credit managers were both adding to the positive result but not that exceptional. All other strategies performed less impressive. Most of them ended up in the red. Only…

The fund performed well during July 2019. The strategies Credit, CTA and Equity Long/Short all contributed to the result in a good way. The strong performance of the Credit strategy was mostly driven by one fund which was able to gain more than 12.4%, and overall our Credit positions did relatively well. Within the CTA positions there was more diversity. The two top performers of July generated gains of +18.2% and +16.1%, respectively. Additionally, some of the funds couldn’t take advantage of the market conditions; one of them was even on the losing side. The Equity Long/Short strategies generated mixed results. The European Long/Short fund performed well but the other one ended up in negative territory. We closed the Private Equity…

June was a relatively friendly month for most of the strategies. Both CTA and Equity Long/Short strategies performed well. Within the CTA’s there was a rebound of one of the strategies that suffered the most during the last 8 months of the violent market situations for CTA’s. This particular CTA gained more than 10%. All three Equity Long/Short positions performed well but not extraordinarily. We will sell the Private Equity allocation. The valuations are a bit high and in our expectation the strategy will suffer the most during a correction. Therefore we are looking for a substitute that offers exposure to the illiquid real estate markets. Also the Credit strategies contributed to the positive performance, however one of the top…

During May the world equity markets faced a serious correction of about -5.7%. Bond markets got the impact of the market turmoil and served as a safe haven. Hedge funds performed better than equity markets by lower negative returns. Altaica Multi Alpha Strategies lost almost 2% of its value during this volatile month of May. The fund demonstrated to behave as a well-diversified portfolio. The dispersion in performance between the different strategies and also between funds within one strategy category was again considerable. Only Global Macro ended up in the black. Equity Long/Short performed poorly. When we focus on the main strategy of the fund, Managed Futures/CTA the diversity in returns was huge, ranging between +2.51% and -12.16%. Overall we…

In the month of April the fund gained 2.38%. Equity Long/Short strategies gained over 10% and Credit strategies rose 8.2%. As a group CTA’s generated a positive return. However, on a fund level there was quite some dispersion. The best CTA made +10.8%, while the worst lost almost 8%. Global Macro strategies didn’t perform well during April 2019. Our largest position within this strategy lost more than 2% of its value. Also in the category Other there was a loosing strategy, which was a volatility trader. We sold this position due to disappointing performance over the last 1.5 years as we want to have a volatility strategy in the portfolio that is better able at benefiting from volatility spikes in…

Due to a strong recovery for most of our CTA/Managed Futures positions the fund gained more than 2% over March. The CTA/Managed Futures strategy won in total more than 4%. Momentum is back in most of all markets and especially in the Equity and Bond Markets. Also helping was the strengthening of the USD (1.8%) compared to the EUR. All other strategies failed to perform during March and ended up in the red. Global Macro performed the worst with a loss of 2.45% followed by Equity Long/Short strategies. The last one was the most disappointing one, while equity markets did well they ended up at the losing side.

The Altaica Multi Alpha Strategies fund lost 0.24% during the month of February. The CTA managers and Global Macro managers were still not able to benefit from the sharp turn in momentum in a wide range of assets. Within the CTA managers we see a wide diversity in performance. Two of our managers performed well with profits of almost +5%. However, one of the most aggressive managers performed dramatically with a loss of almost 20%. The result of February was saved by the Equity Long/Short investments. This strategy performed well with a profit of 6.16%.