Both Classic strategies lost ground in May 2026. Classic Diversified returned −9.69% and Classic Stable −8.11%. Classic Stable remains positive for the year to date at +16.17% gross, and Classic Diversified stands at +2.14% gross.
Performance
| May | Year to date | |||
|---|---|---|---|---|
| Gross | Net 25% | Gross | Net 25% | |
| Classic Diversified | −9.69% | −9.69% | +2.14% | −0.88% |
| Classic Stable | −8.11% | −8.11% | +16.17% | +7.21% |
| 12 months | Since 1 January 2024 | ||
|---|---|---|---|
| Gross | Net 25% | Gross | |
| Classic Diversified | −4.13% | −12.46% | +389% |
| Classic Stable | +11.59% | −1.01% | +327% |
Portfolio manager’s comment
A fourth month of low volatility
May was the fourth consecutive month of low volatility in the crypto market. Bitcoin returned −3.49% and the BITA Crypto 10 index −1.96%, and most crypto-assets stayed in a tight range without a sustained direction. This is the environment in which trend-following algorithms perform worst.
In a sideways market, false signals and breakouts follow one another, and each is closed by a stop-loss at a small loss. Drawdowns accumulate in this way. The market moved lower during the month, but slowly and without momentum. A decline of this kind gives the algorithms little to follow.
Where the year stands
Despite the difficult month, Classic Stable remains positive for 2026, at +16.17% gross over five months, and +11.59% gross over 12 months. Classic Diversified is +2.14% gross for the year to date. The tables above give the net 25% figures.
The response to the quiet market
In parallel, the investment team tested new volatility filters and has begun to introduce them into the algorithms. The filters are designed to produce fewer false signals in low-volatility periods and to reduce the number of stop-outs in sideways markets. They respond directly to the conditions of recent months.
In the first days of June, Classic Stable returned +3.52% gross as the algorithms captured the downward move in crypto-assets. This is what a long and short system is built for. When the market gives a direction, in either direction, the strategy can profit.
A sideways market does not last indefinitely, and the first days of June showed early signs of a change in volatility.