Liquid Alts Performance Summary – November 2021

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“If you lose the last game of the season, nobody gives a sh*t.” – Billy Beane, Moneyball (2011, Sony Pictures)

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Not unlike baseball, the month of November will be defined by what happened on the last day. Most of the month was unremarkable with the main storyline continuing to focus on inflation fears and Biden’s “B3” plan for American infrastructure. Markets were a mixed bag – some trends continuing while others cooled off. That is, until the last trading day of the month. While traders were still wiping the gravy from their lips, South Africa gave news of the new Omicron covid variant and the markets took a significant “risk-off” turn. Stocks, energies, grains, and metals dropped precipitously. Bonds were about the only major asset that rallied. So violent were the vicissitudes that some were calling the end of the Trend Following rally.

Few strategies, if any, were predicting a new covid variant wreaking havoc on a half-holiday. The mutual funds are shown below, especially those with trend following components took it on the chin from equities and commodities, remind the world once again “non-correlated” and “negatively correlated” are different things. Notable exceptions were the EAVOL Nasdaq Volatility Overlay fund (CLPAX) and Catalyst/Teza Algorithmic Allocation (TEZIX).

Name Ticker Month to Date Year to Date Assets Under Management
Hedged Equity
Catalyst Buffered Shield Fund I SHIIX -0.60% 11.59% $94,847,152
Rational Equity Armor Fund Instl HDCTX -2.49% 10.10% $70,269,059
EAVOL NASDAQ-100 Volatil Overlay Risk A CLPAX 1.91% 13.27% $15,391,188
Certeza Convex Core A CNVEX -1.22% 21.60% $7,049,571
Alpha Fiduciary Quantitative Strat AFQSX -2.00% 34.91% $18,669,709
Equities + Managed Futures
Catalyst/Millburn Hedge Strategy I MBXIX -0.44% 16.93% $3,163,220,686
Standpoint Multi-Asset Institutional BLNDX -5.31% 16.36% $147,105,255
Active Fixed Income
Catalyst/Stone Beach Income Opp I IOXIX -0.64% -4.10% $21,924,251
Catalyst Multi-Strategy I ACXIX -3.69% 2.71% $4,485,868
All Weather / Multi-Strat
Rational/ReSolve Adaptive Asset Allc I RDMIX -4.14% 10.05% $65,155,924
Astor Macro Alternative I GBLMX -2.04% -1.48% $44,490,750
Catalyst/Teza Algorithmic Alloc I TEZIX 2.51% 1.73% $6,551,661
Catalyst/Millburn Dynamic Cmdty Stgy I DCXIX -10.68% -6.75% $8,997,186
Options
Catalyst/Warrington Strategic Program A CWXAX 0.86% 6.74% $98,292,954
AlphaCentric Premium Opportunity A HMXAX -0.45% 6.05% $205,988,283
Rational Tactical Return Instl HRSTX 0.00% 3.87% $292,545,169
Commodities
SilverPepper Cmdty Strats Glb Macro Inst SPCIX -3.87% 20.90% $178,787,946
Managed Futures
AXS Chesapeake Strategy I EQCHX -4.72% 9.58% $18,374,621

Article by RCM Alternatives

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