SQCF AQI REPORT
FEBRUARY 2021

 

Overview

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.

 
AQI Performance 202102.jpg
 

Monthly Review

Cryptocurrencies market continued to recover going into the first week of February after BTC re-tested US$30,000 support level in January. On February 8, BTC gapped up 20% and reached a new all-time high on the back of news from Tesla that the carmaker had a US$1.5 billion position in BTC as of December 31, 2020, representing 7.7% of the company’s gross cash position. The move after the February 8 breakout has been choppy, characterized by a few hours of powerful upward moves followed by somewhat random sideways trading afterwards. Our models tend to cut risk very quickly in such an environment in order to manage any potential sudden crash that could take place.

Over the subsequent two weeks, as BTC marched to an all-time high of US$58,000 and ETH hitting fresh high of US$2,000, our strategy made a modest 2% return. The sudden correction that started on February 21 saw BTC pulling back more than 25% while ETH witnessed a deeper correction of over 30%. Our strategy navigated the volatility relatively well, with almost no drawdown during this market correction.

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. Data compiled by JPMorgan Chase and published in March suggested that retail investors have purchased over 187,000 Bitcoins so far this quarter versus over 205,000 units in Q4 2020 (1). On the other hand, institutional investors acquired over 173,000 Bitcoins so far this quarter versus 307,000 units in Q4 2020. The data suggests that capital flow into Bitcoin is becoming more balanced between retail and institutional investors versus 2020 during which institutional investors made the predominant capital contribution to the industry. We believe the trend is constructive to AQ I since a larger percentage of retail capital, which is generally more momentum driven and less rational, tends to increase market volatility and room for profit for our quantitative strategy.

(1) Source: The Street Crypto, “JPMorgan: Retail Bitcoin Buying Grows as Institutional Purchasing Slows”, www.thestreet.com.

 

Performance Attribution by Cryptocurrency

 
AQI Performance By Crypto 202102.jpg
 

Performance Attribution by Strategy Type

 
AQI Performance By Strategy 202102.jpg