Monthly Comment: Sep
Fasanara Quant has annualized return (IRR) of 9.4% since inception, with an annualized volatility of 4.8%, and a Sharpe Ratio of 1.72. The fund had a positive a gross return of +0.5% this month (vs +1.1% in August).
Our Smart Beta Algorithms, which apply a dynamic intraday allocation on global equity index futures, had a positive contribution of +0.7% to the monthly return. The Market-Neural Hedging Algorithms, which uses Weekly Options and Vix futures to minimize the risk of the portfolio (and seek market neutrality through dynamic delta hedging), had a positive contribution of +0.3% to the performance of the fund this month. The equity arbitrage model which uses an active and systematic investment style based on machine learning algorithms to build a long-short equity portfolio, had a negative contribution of -0.5% in September. The Cash strategies, including bonds and spacs (convexity) had a flat return. Fasanara's Complexity-Based Risk-Off Signals System continues to function as a proactive risk management tool, indicating the optimum market conditions to increase or reduce the positions on the liquid instruments we trade.
Fasanara's Podcast offers a fresh perspective on financial markets in the coming years, as they go through regime change: deposits are taxed, taxes are negative, the governments are taking over the private sector directly through infrastructure spending and indirectly through guarantees and orchestrating Central Banks’ money printing, currencies are debased relentlessly and distrusted by most, cash is gone, inflation is missing, oil is phased out, banks are relicts, savings rise over investments. The bubble in both bonds and equities is now in its melt-up phase. In our Podcasts, we present unorthodox alternatives to invest in these 'Fuzagi Market'.
Risk factors: Investing in financial markets involves a substantial degree of risk. Investment in the Fund places an investor’s capital at risk. There can be no assurance that the investment objectives of the Fund will be achieved. No guarantee or representation is made that the Fund’s investment approach (including, without limitation, its investment objectives and policies, diversification guidelines and risk management processes) will be successful and investment results may vary substantially over time.
Restrictions on distribution: This factsheet is supplied for information and discussion purposes only and neither the information nor any opinions expressed in this factsheet constitutes a solicitation for the purchase or sale of any securities or other financial instruments including, but not limited to, shares in the Fund ("Shares") in any jurisdiction. It is the responsibility of any person in possession of this factsheet and any person wishing to apply for Shares to inform themselves of, and to observe, all applicable laws and regulations of any relevant jurisdiction.
Investment only on the basis of Fund documentation: The terms of investment in the Fund are governed by the Prospectus (and the relevant Supplement). In the event of any inconsistency between the information in this factsheet and the terms of the Prospectus, the terms of the Prospectus shall prevail.
Information in this factsheet: The information in this factsheet has been obtained from various sources which are believed to be reliable. However, the information and opinions in this factsheet are for background purposes only, do not purport to be full or complete and no reliance may be placed for any purpose on them. Neither Fasanara Capital, its affiliates, the Investment Manager nor the Fund gives any representation, warranty or undertaking, or accepts any liability, as to the accuracy or completeness of the information or opinions contained in this factsheet.
The returns (gross of management and performance fees) presented in this factsheet are a combination of the performance of the Method Investments SICAV Attractive Global Opportunities Plus Fund (audited - ISIN LU1463045838, swapped to USD) from January 17th 2017 to July 18th 2019; the performance of separately managed accounts from August 1st 2019 to June 11th 2020 (IBKR screenshot); and from June 12th 2020 onwards the new SICAV PHARUS: ISIN LU2040055670 audited, UCITS FUND.
INVESTMENTS IN FUNDS INVOLVE RISKS INCLUDING POSSIBLE LOSS OF PRINCIPAL
An absolute return strategy, which includes hedging of the portfolio, may result in performance that deviates from overall market returns to a greater degree than other funds. Hedging may also result in returns that are lower than expected and lower than if the portfolio had not been hedged. It is not possible to hedge fully or perfectly against any risk.
Fixed income securities may be subject to interest rate and credit/default risk. Interest rate risk involves the risk that prices of securities will rise and fall in response to interest rate changes. Credit/default risk involves the risk that the credit rating of a security may be lowered or the possibility that the issuer of the security will not be able to make principal and interest payments when due.
Investments in derivatives including forward currency exchange contracts, swaps and futures, may be leveraged and could result in losses that exceed the amounts invested. Investing in international markets involves certain risks and increased volatility not associated with investing solely in the core countries. These risks include currency fluctuations, economic or financial instability, and lack of timely or reliable financial information or unfavourable political or legal developments.
BEFORE INVESTING YOU SHOULD CAREFULLY CONSIDER THE FUND'S INVESTMENT OBJECTIVES, RISKS, CHARGES AND EXPENSES. THIS AND OTHER INFORMATION IS IN THE PROSPECTUS, A COPY OF WHICH MAY BE OBTAINED FROM FASANARA CAPITAL. PLEASE READ THE PROSPECTUS CAREFULLY BEFORE YOU INVEST.