April was a negative month for both Classic strategies. Classic Diversified returned −7.52% and Classic Stable −10.26%. Volatility in the crypto market stayed low for another month.
Performance
| April | Year to date | |||
|---|---|---|---|---|
| Gross | Net 25% | Gross | Net 25% | |
| Classic Diversified | −7.52% | −10.25% | +13.09% | +9.75% |
| Classic Stable | −10.26% | −16.78% | +26.42% | +16.67% |
| 12 months | Since 1 January 2024 | ||
|---|---|---|---|
| Gross | Net 25% | Gross | |
| Classic Diversified | +23.14% | +12.45% | +441% |
| Classic Stable | +35.51% | +20.21% | +365% |
Portfolio manager’s comment
A low-volatility month
The crypto market continued to trade at low volatility in April, and most assets remained in consolidation. Bitcoin returned +11.82% and the BITA Crypto 10 index +16.19%, but the moves came at low volatility. This limited what the trend-following algorithms could capture.
Classic Diversified lost less than Classic Stable. Part of its collateral is held in bitcoin, so the rise in the Bitcoin price reduced the strategy’s loss for the month. Classic Stable holds its collateral in stablecoins and does not receive this offset.
The drawdown phase
The sideways market has now lasted about three months, and the current drawdown phase about two. Range-bound markets are the hardest environment for trend-following strategies. Movements fail to extend, and the algorithms close positions at a loss before a sustained trend develops.
This pattern is a known part of the return profile of trend-following strategies. They give back part of their gains in a sideways market and recover when a directional move appears.
What the investment team monitors
The investment team continues to monitor volatility regimes, adapt the strategies and work on reducing drawdowns. Position sizing already responds to volatility automatically: leverage and position size fall when volatility rises and increase moderately when it falls.
Because Classic Diversified holds bitcoin as part of its collateral, its result also depends on the Bitcoin price, in either direction. Classic Stable does not carry this exposure.