October 29, 2021
Aegis Quantitative I Program was up +0.65% (estimated) for September 2021.
September was a roller-coaster ride for our Fund. Our risk management processes, which are focused on the preservation of capital, performed correctly and reduced exposure as market volatility rose to extreme levels.
The market capitalization of digital assets has become increasingly diversified and less dominated by Bitcoin and Ether in the past two years, as suggested by CoinDesk Research. We expect the trend towards greater diversification to continue as DeFi applications and new usage models represented by the ALT coins gain investor confidence.
September 29, 2021
Aegis Quantitative I Program was down -0.67% (estimated) for August 2021.
News in August have revealed significant moves by major U.S. banks to offer cryptocurrencies as an investment option for clients.
JPMorgan Chase, the largest bank in the U.S., has started offering an in-house passively managed Bitcoin fund to its private wealth management clients. Wells Fargo, the nation’s third largest bank, registered a private Bitcoin fund with the U.S. SEC, which is to be operated in collaboration with NYDIG and offered to qualified investors.
August 13, 2021
The cryptocurrency market was quite choppy in the month of July. Aegis Quantitative I Program was down -2.38% (estimated) for July 2021.
At the front and center of cryptocurrency industry this past month are guidance and news from U.S. regulators and lawmakers. First of all, the Senate proposed a US$1 trillion infrastructure bill which included provisions for the taxation of digital assets that are anticipated to raise US$28 billion in taxes, a part of what helps to finance the expenditures of the bill. The infrastructure bill requires cryptocurrency brokers to report gains from sale as well as any transaction at or above US$10,000.
July 15, 2021
Aegis Quantitative I Program was up 0.49% (estimated) for June 2021.
The price of Bitcoin dropped below US$29K level on June 22 briefly before quickly bouncing back. There seems to be strong support at US$30K level and markets have been range-bound in the short term.
The price of Ethereum exhibited significantly greater volatility than Bitcoin in June, ranging from a peak in the high US$2,800’s to a low in the US$1,700’s, leading to an intra-month drawdown of nearly 40%.
SQCF AEGIS QUANTITATIVE I
June 10, 2021
Current SQCF Aegis Quantitative I Program returns since Sep 2018 are up 869.2% as of May 31, 2021 after fees [unaudited], and actual maximum peak to trough loss was -9.48%.
A corresponding direct investment in Bitcoin was up 435.49% [unaudited], Maximum monthly loss however was -36.92%, peak to trough drawdown as much as -64%.
In May of 2021 when Bitcoin dropped roughly -35.35% for the month and -50% peak to trough over 48 hours, SQCF Aegis Quantitative I Program was net up 10.33%.
June 10, 2021
Aegis Quantitative I Program was was up 10.33% (estimated) for May 2021, while Bitcoin was down more than -35% for the month and plunged as much as 50% at the low point.
In the month of May, the cryptocurrency market experienced one of its greatest single-month declines in history. We saw a massive sell-off commencing on May 19 after a flurry of negative news.
The month of May is a good illustration of how our Fund can be profitable in the backdrop of significantly volatility and decline in the cryptocurrency market.
May 18, 2021
Aegis Quantitative I Program was up 1.21% (estimated) for April 2021. Our program’s correlation with Bitcoin daily returns was 0.078 for the month, while historical correlation with Bitcoin remains very low at 0.068 since inception of live trading.
April was a strong month for some of the smaller “ALT coins” (cryptocurrencies other than Bitcoin) in our portfolio, with XRP leading the group with a whopping 180% gain for the month, while others saw gains ranging from 30% - 80%. An important development in cryptocurrency market this month is the public listing of Coinbase (NASDAQ: COIN) on April 14.
April 18, 2021
Aegis Quantitative I Program was down -1.11% (estimated) for March 2021.
As we look back at the cryptocurrency market development during the first quarter, a few key milestones are worth noting. Bitcoin reached another all-time high of US$61,000 on March 13. Cryptocurrencies as an asset class, led by Bitcoin and Ether, continued to draw attention from the institutional investors worldwide, as Bitcoin’s market capitalization surpassed US$1 trillion, nearly ten times its market value twelve months ago, and Ether’s market capitalization surpassed US$200 billion.
March 28, 2021
Aegis Quantitative I Program was up 3.98% (estimated) for February 2021.
Our strategy’s correlation with Bitcoin was -0.01 for the month, while historical correlation with Bitcoin remains very low at 0.07 since inception of live trading.
Recent market research suggests that capital flow into cryptocurrencies, benchmarked by Bitcoin, is becoming more balanced between retail and institutional investors versus 2020 during which institutional investors made the predominant capital contribution to the industry.
February 28, 2021
Aegis Quantitative I Program started the year on a high note, up 8.86% (estimated) for January 2021.
BTC continued its strong upward movement after the year-end, reaching US$40,000 level just 8 days into 2021. Our trading system was able to capture 13.6% gross returns over this strong momentum period. During January 10 & 11, cryptocurrency markets suddenly crashed with BTC down over 20% from peak to trough, and ETH and other major coins were down close to 30% from the top. Our strategy was up for both days and delivered +2.1% over this same 2-day period.