MARCH 2021



Aegis Quantitative I Program was down -1.11% (estimated) for March 2021. Our program’s correlation with Bitcoin daily returns was -0.45 for the month, while historical correlation with Bitcoin remains very low at 0.07 since inception of live trading.

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Monthly Review

Bitcoin reached another all-time high of US$61,000 on March 13. Our Trend Following models profited more than 2% in the first two weeks of the month. Bitcoin was not able to find sufficient support above US$60,000 level, and it quickly corrected more than 10% over the following two days during which our Trend Following models gave back some of their earlier gains in the month. The majority of our losses resulted from the second half of the month during which the cryptocurrency markets were choppy. Trend Following models were down close to 5% over this two-week period, with most of the losses coming from our shorts. Our Mean Reversion models performed as expected, gaining 2.5% over this same two-week period, offsetting some of the lost ground from Trend Following.

As we look back at the cryptocurrency market development during the first quarter, a few key milestones are worth noting. 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. The explosive growth in recent months have drawn attention from institutional capital, both long- term and short-term, and we anticipate some of the largest institutions of the world to increase allocation to this asset class and fuel further growth. Three Bitcoin ETF’s have successfully launched on the Toronto Stock Exchange (Purpose Bitcoin ETF, Evolve Bitcoin ETF, and CI Galaxy Bitcoin ETF), providing easier access and simpler tax reporting for Bitcoin investments particularly for retail investors. This also puts further pressure on the U.S. SEC for approving pending applications for U.S.-traded ETF’s filed by major fund houses including Fidelity, VanEck, and WisdomTree (the U.S. SEC has historically rejected all applications for Bitcoin-related ETF’s so far). Finally, several real-life use cases of cryptocurrencies by corporate and consumer sectors are gaining popularity, from the use of Bitcoin and Ether as reserve asset by corporations (Tesla, MicroStrategy, Square, and Meitu) to the use of NFT’s (Non-Fungible Tokens) to represent and trade unique digital intellectual properties such as artworks and documents. We expect the usage models of cryptocurrencies to continue to grow and evolve, increasing transaction volume and liquidity across the board.


Performance Attribution by Cryptocurrency

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Performance Attribution by Strategy Type

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