March 2020: Altaica Alpha Strategies Fund: -3.94%

By april 23, 2020Multi 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% for the most negative performing manager. The most spectacular loss came from a Credit manager. This specific fund, one of the best performing funds of the last years, lost almost 37% of its value during the violent market environment of March. Most spectacular in a positive way is the winning strike of our largest position in the portfolio. This Global Macro position gained more than 23% during March, bringing its YTD result above the 50% mark. Our selection of Long/Short Equity managers was able to manage their down side risk in a good way. They limited their combined losses to -1.8%. In the Other funds category the most important and positive contributor to the result was a volatility trading fund. It gained more than 10%.March