September was a month of low volatility for crypto assets. Classic Diversified returned +0.05%, while Classic Stable returned −4.72%. A rising impulse in the first days of October recovered the September result of Classic Stable.
Performance
| September | Year to date | |||
|---|---|---|---|---|
| Gross | Net 25% | Gross | Net 25% | |
| Classic Diversified | +0.05% | +0.05% | +29.30% | +11.12% |
| Classic Stable | −4.72% | −4.72% | +18.96% | +5.24% |
| 12 months | Since 1 January 2024 | ||
|---|---|---|---|
| Gross | Net 25% | Gross | |
| Classic Diversified | +122.22% | +82.36% | +416% |
| Classic Stable | +71.50% | +46.34% | +259% |
Portfolio manager’s comment
Bitcoin spent September in a range of roughly $108,000 to $117,000 and returned +5.36% for the month. Volatility stayed low throughout, which does not suit trend-following algorithms.
Classic Stable ended September at −4.72%. Classic Diversified finished the month close to flat at +0.05%. It stayed ahead of Classic Stable mainly because part of its collateral is held in bitcoin, which rose over the month.
The picture changed in the first days of October. Bitcoin moved up with a strong impulse, and the trend algorithms earned from it. From the close of 30 September to the close of 3 October (UTC), Classic Stable returned +6.23% and Classic Diversified +11.88%.
Volatility and the portfolio
Bitcoin has kept rising slowly while volatility remains near its five-year lows. A breakout can begin at any moment, and a breakout is the environment in which the trend algorithms earn most.
The investment team is also launching one counter-trend strategy that opens positions from the long side. It is intended to smooth the portfolio’s return curve and its drawdowns, and so to reduce the portfolio’s dependence on strong trends.