January was a strong month for the Classic strategies. Classic Diversified returned +21.73% and Classic Stable +27.91%. Bitcoin returned −10.15% over the same month.
Performance
| January | Year to date | |||
|---|---|---|---|---|
| Gross | Net 25% | Gross | Net 25% | |
| Classic Diversified | +21.73% | +21.73% | +21.73% | +21.73% |
| Classic Stable | +27.91% | +27.28% | +27.91% | +27.28% |
| 12 months | Since 1 January 2024 | ||
|---|---|---|---|
| Gross | Net 25% | Gross | |
| Classic Diversified | +37.94% | +29.80% | +482% |
| Classic Stable | +43.46% | +36.82% | +371% |
Portfolio manager’s comment
Early in the month the trend-following algorithms captured profit from the rebound in crypto-assets. In the second half of the month they took profit from the sharp sell-off.
Why Classic Diversified returned less than Classic Stable
The lower return of Classic Diversified came from the fall in Bitcoin, because bitcoin is part of the strategy’s collateral. During the decline the investment team bought more bitcoin at local lows. If Bitcoin continues to fall, its share of the collateral may be increased further.
The collateral also works in the other direction. Over the longer run, a rise in Bitcoin adds to the return of the algorithms. Since 1 January 2024 Classic Diversified has returned +482% and Classic Stable +371%, with reinvestment and before performance fees.
Market backdrop
Bitcoin returned −10.15% in January and the BITA Crypto 10 index returned −13.51%. Ethereum fell by more, extending a decline of several months. Sentiment moved into the “fear” zone, especially towards the end of the month.
Liquidations across the market exceeded $2 billion, as large long positions in Bitcoin and Ethereum were closed by force. Pressure also came from expectations of tighter monetary policy and from renewed inflation concerns, fuelled by a sharp rally in precious metals and some commodities.
What the investment team is working on
Volatility remains high, so both sharp rebounds and deeper declines are possible. Capturing strong directional moves is the core strength of the strategies. The investment team is also upgrading the models and improving trade filtering, to reduce losses in sideways markets.