May 2016: Altaica Alpha Strategies Fund: -1.45%

The first weeks of May were pretty hostile, especially for our CTA investments. Sharp turns and changing trends in a lot of markets had negative impact. One of our most aggressive CTA investment, Q-basis, lost 13% in May, followed up by an 8.4% loss for Tulip Trend. Severe losses for funds with excellent track records. Tulip Trend is powered by the Transtrend program of Robeco. This fund is the proud of the Dutch Hedge Fund industry, now managing more than EUR 6 billion.

This losses in two funds underline the value of a well diversified portfolio of hedge funds. In the portfolio we also had some well performing strategies. Best of class was QIM with a positive return of more than 7%. This fund got its position in the portfolio due to its low correlation with other CTA managers. Next to QIM we had two other strategies which performed well, both 5%. In the Long / Short Equity space, APS Asia Pacific was a true winner. Third Point was the winner in the category Event Driven / Arbitrage.

However the volatility is still low, especially for the aggressive hedge funds we invest in. The reason for this is the low correlation between the funds within the portfolio. The portfolio on its own is a perfect diversifier to every portfolio of equities and bonds. To the MSCI World the actual correlation is even negative -0,04. The correlation with bonds is a little higher, 0,15, but still almost uncorrelated.