January 2017: Altaica Alpha Strategies Fund: -1.58%

By February 16, 2017Altaica Alpha Strategies

Thanks to a relatively high cash allocation the drawdown in January was limited to a 1.6. Most of the CTA positions suffered from difficult market situations. Most important was the disruption of the trend of EUR USD. It was not only hurting the CTA performances, but also all our USD positions were influenced by the weakening of the USD, because we are currently not completely hedged. Most of the drawdown was caused by the weakening of the dollar and the bad performance of our large CTA positions. Our CTAs position performed in line with the Credit Suisse Managed Futures Index, which was down 1.5% in January.

Besides the significant drawdowns of most of the CTA managers, also other strategies were not able to provide compensation. This month we started to replace some of the less performing strategies by new funds which management is better capable to add value in the current market conditions. Next we also added listed Private Equity to the portfolio. This type of strategy offers a good upside potential and started recently a strong positive trend. The underlying funds are capitalising the positions they took in the midst of the financial crisis. Now at the moment of exit, maximum 10 years later, the pay off is impressive.

In February we plan to add two more funds to the portfolio. One of them trades systematically volatility of the US equity and the other one is trading Asian Equities also fully systematic.