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%.
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%.
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.