Ayaltis Funds - November 2017 Estimates

 
 
 
 
 
 
 

Dear Investor,

We are pleased to send you the estimated NAVs & Performances for November 2017 with a performance of +0.19% in USD for Class B, bringing the YTD 2017 performance to +6.31%.

November 2017 Flash Commentary

The Ayaltis flagship fund closed the month of November slightly up. It was a zero-sum month, as two main events offset part of the gains of the portfolios. On the Event Driven side, the potential deal-break of the acquisition of Time Warner by AT&T contributed negatively to performance. All antitrust related spreads widened in sympathy. The unexpected Department of Justice litigation triggered a significant deleveraging of event-driven strategies. Nevertheless our careful selection of managers within Event Driven opportunity set showed strong resilience in combination contributed positively to performance this month . In the last few days of the month, a massive sector rotation wiped out all the gains of systematic strategies, which closed the month flat. Although we are not particularly exposed to style premia, pattern recognition models are not totally immunized, especially when technical trends, driven by high demand of alternative beta instruments reverse. We take risks under control by diversifying our exposure across a wide range of purposely diversified systematic strategies and a flat performance of systematic models can be seen as a confirmation of a particularly careful allocation.  

The Trump tax cut is reshaping US stock markets but its impact on interest rates is still muted. The massive sell-off in the IT sector and the corresponding overperformance of any other sector is certainly driven by the US tax reform. The investors are simply buying the companies with the higher tax rates (primarily energy, transportation, telecom and financials), taking the money out of successful long positions in health care and technology.

The US 10 year Treasury bond had a mini-rally since mid of September but the yield curve continues to flatten (Economic slowdown signal?). The late stage of the economic cycle is characterized by a synchronized expansion across all regions and a gradual tapering of Central Banks’ loose policies. Although fundamentals are reasonably stable and satisfying, high asset valuations are exposed to growth slow-downs. A large number of strategies, designed to thrive in the low volatility environment, may be unable to cope with a potential strong market correction and asset re-pricing.

 In this context, we are optimistic that divergence of key market factors is strongly expanding our relative-value opportunity set going forward and we are confident that our well-balanced portfolio represents a very attractive alternative for a potential eventful year 2018.

NAVs and Performance
as of November 30, 2017

November

YTD 2017

NAV

2016

2015

12 Months Rolling Return

12 Months Rolling Volatility

Liquidity

PDF

Areca Value Discovery B USD

0.19%

6.31%

123.88

-2.57%

2.30%

5.93%

1.96%

Quarterly

Link

Areca Value Discovery B CHF

0.01%

4.27%

117.50

-4.56%

0.71%

3.44%

2.05%

Quarterly

Areca Value Discovery B EUR

0.04%

4.68%

119.10

-4.01%

1.76%

3.96%

2.06%

Quarterly

 

 

 

 

 

 

 

 

 

 

Areca Liquid Focus B USD

-0.72%

1.31%

105.24

-3.75%

3.03%

1.51%

1.86%

Monthly

Link

 

 

 

 

 

 

 

 

 

 

Areca Azure C USD

-0.35%

4.06%

103.19

-0.84%

-

-

-

Monthly

Link

 

 

 

 

 

 

 

 

 

 

Narrapuno SPC - Spectrum A USD
(formerly Acantias Offshore Fund)

0.44%

6.38%

1,490.58

-1.67%

3.72%

5.06%

1.73%

Quarterly

Link

Narrapuno SPC - Spectrum A CHF
(formerly Acantias Offshore Fund)

0.23%

3.98%

1,365.40

-3.82%

2.16%

2.44%

1.76%

Quarterly

 

 

 

 

 

 

 

 

 

 

This month’s cut-off date for subscriptions is 20 December 2017 at 3pm.

 
As always, we would like to thank you for your continued trust and support.
 
Best regards,
Son Nguyen
__________________________________________________________
 
Son Nguyen, CAIA
 
Ayaltis AG
Bleicherweg 19
8002 Zürich
Switzerland
Direct: +41 43 501 37 62
Mobile: +41 78 610 65 00