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Multi Alpha Strategies

May 2020: Altaica Alpha Strategies Fund: 0.83%

By | Multi Alpha Strategies

For the month of May the portfolio performed positively with +0.82%. The main driver of this positive result is the recovery of the credit markets as the risk appetite is returning. This return of confidence fuelled the strong recovery of our heavily hit credit position. So far this year that fund has been a strong diversifier for any portfolio of bonds and equities. CTA’s performed positively during May. However, it was not strongly driven. We decided to sell the CTA ‘dinosaurs’ in our portfolio to make room for allocations to other strategies that are smaller, more dynamic and trading on markets less influenced by the Central Banks of Europe, USA and Japan. Also we are studying some very interesting AI strategies….

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April 2020: Altaica Alpha Strategies Fund: 1.18%

By | Multi Alpha Strategies

After the turbulence in March there was an impressive recovery of the equity markets. Hope for a break trough of the development of a vaccine and reopening of the world wide economy fueled this recovery. This hope was less visible on the bond markets. Overall the CTA managers delivered a positive result of 2.1%. However, the divergence between the different strategies was huge. The worst performing fund lost 4.1%. The best performing fund gained 17.5%! Global Macro was also performing in a positive way. One of our two positions in this strategy is our star performer, also this month the fund added more than 4% to its value. Over 2020 the fund gained about 58%! The other manager performed less…

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March 2020: Altaica Alpha Strategies Fund: -3.94%

By | Multi Alpha Strategies

After a turbulent February, markets faced an almost unprecedented increase of volatility. All financial markets suffered from severe losses. This environment was incredibly difficult to manage. Equity markets fell about 15%, but also the bond markets did not give any shelter. High Yield and Emerging Markets bonds went down by almost equity like percentages. The difficulty was in the volatility, days of movements in different directions of more than 5% became ‘normal’ in March. The fund proved its diversification value by a limited loss during March of 3.94%. The heavy weighted CTA managers contributed in a negative way to the portfolio. The diversity in performance of the CTA managers was remarkable, from +3.94% down to a monthly loss of -37.8%…

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February 2020: Altaica Alpha Strategies Fund: -1.33%

By | Multi Alpha Strategies

February was a turbulent month. The impact of the Covid-19 virus started to become visible in the financial markets. It set the sentiment upside down. Especially CTA managers and Credit managers turned out to be vulnerable for this sentiment swing. The prosperous intra month perspectives of the Long Short Equity Managers were lost. The big profits were blown away. The portfolio was saved by the strong development of Global Macro managers as well as the Crypto Currency positions. The latter positions were closed by us almost at the top of the market. We have the intention to step back in after a correction. This correction started earlier and more aggressively as we could imagine. For the next months the environment…

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January 2020: Altaica Alpha Strategies Fund: +2.36%

By | Multi Alpha Strategies

The year 2020 started well for most of our strategies. There were only a few funds with negative results. The fund gained 2.36% for the month of January. This even could have been better without the turmoil in the last week of the month. The corona virus ignited a volatility spike which erased some of the profits of CTA managers and Equity Long Short managers. Within the category Other we have a long position in Crypto Currencies which gained an exceptional 40%. Besides the Crypto Currencies one CTA manager performed particularly well with a jump of 26.5%. The other CTA managers performed more modestly. Two of the CTA managers unfortunately ended up in the red. Global Macro was the biggest…

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December 2019: Altaica Alpha Strategies Fund: -0.01%

By | Multi Alpha Strategies

December’s strategies performance was quite diversified. CTA’s and Equity related investments performed positive, Global Macro and the other strategies suffered losses. Overall we ended up with a small loss of -0.01%. For the year 2019 the result was positive and almost +2%. CTA’s was the best performing strategy. Two CTA managers were top performers of the month with profits of +5.6% and +3.8%. There were also two of them ending December in the red. Over the year the performance differences were even more spectacular; the best performing CTA of 2019 won more than 30% and at the other end of the spectrum there was a manager with a loss of more than 11%. Within Global Macro, our largest position was…

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November 2019: Altaica Alpha Strategies Fund: 1.03%

By | Multi 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….

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October 2019: Altaica Alpha Strategies Fund: -1.74%

By | Multi Alpha Strategies

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…

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September 2019: Altaica Alpha Strategies Fund: -1.42%

By | Multi Alpha Strategies

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…

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August 2019: Altaica Alpha Strategies Fund: 1.16%

By | Multi Alpha Strategies

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…

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