“If you lose the last game of the season, nobody gives a sh*t.” – Billy Beane, Moneyball (2011, Sony Pictures)
Q3 2021 hedge fund letters, conferences and more
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