Stone Mountain Capital Alternatives Market Update Vol. 52

May, 2017

Hedge funds carried their April's positive performance into the first two weeks of May, with event-driven strategies outperforming the rest of hedge fund strategies. Equities remain flat, while CTA and macro focussed strategies are having another negative month so far, spreading disappointment to investors who are looking for good CTAs to navigate the space. Credit/Fixed income hedge funds also perform positively so far in May, keeping on their strong performance year to date. Last week, Bitcoin surpassed $1800 with its market cap being tripled over the last few months, approaching $30bn. With more and more countries recognising Bitcoin, the altcoin and bitcoin space seems to experience really interesting times, under the radar of institutional investments.

Credit/Fixed Income Strategies

2017 YTD Return

Annualised Return

Annualised Volatility

Sharpe Ratio

Sortino Ratio

SMC Credit Strategy Index

2.13%

8.68%

3.96%

4.88

1.04

Credit Suisse Fixed Income Index

2.32%

5.18%

5.17%

0.62

-0.27

HFRX Credit/Fixed Income Index

1.17%

5.80%

5.31%

0.71

-0.26

UAIX Fixed Income-Global (UCITS)

1.07%

5.78%

4.57%

1.26

1.94

BofA ML US Corporate Master Index

1.50%

7.51%

6.40%

0.86

-0.15

Equity Strategies

2017 YTD Return

Annualised Return

Annualised Volatility

Sharpe Ratio

Sortino Ratio

SMC Equity Strategy Index

4.60%

11.02%

11.71%

0.82

0.26

Credit Suisse L/S Equity Hedge Index

3.46%

8.67%

9.12%

0.73

-0.06

HFRX Equity Hedge Index

2.63%

5.30%

7.96%

0.41

-0.20

UAIX L/S Equity (UCITS)

2.49%

6.62%

5.38%

1.23

1.88

S&P 500

5.47%

7.36%

14.37%

0.37

-0.09

Tactical Trading Strategies

2017 YTD Return

Annualised Return

Annualised Volatility

Sharpe Ratio

Sortino Ratio

SMC Tactical Trading Strategy Index

2.46%

21.58%

19.93%

1.45

1.11

Credit Suisse Global Macro Index

0.24%

9.97%

8.87%

0.90

0

HFRX CTA Index

-1.26%

3.71%

9.47%

0.18

-0.24

HFRX RV Volatility Index

1.82%

4.67%

4.63%

0.57

-0.42

CBOE Eurekahedge RV Volatility Index

1.81%*

9.26%

3.74%

1.94

-0.36

UAIX CTA (UCITS)

-3.51%

7.41%

11.10%

0.67

1.05

Fund of Hedge Funds Strategies

2017 YTD Return

Annualised Return

Annualised Volatility

Sharpe Ratio

Sortino Ratio

SMC FoHF Strategy Index

2.97%

6.40%

7.16%

0.63

-0.08

HFRI FoHF Index

2.25%

6.67%

5.53%

0.84

-0.34

UAIX Multi-Strategy (UCITS)

3.55%

5.32%

4.78%

1.11

1.56

SMC Single Manager Cross-Asset Index

2.85%

13.68%

11.28%

2.75

0.88

SMC Cross-Asset Index

2.86%

13.16%

10.98%

2.60

0.81

Stone Mountain Capital In-House Indices vs. Major Benchmark Indices Hedge Funds and Long Only ; As Per YTD March 2017,  Stone Mountain Capital Research

Stone Mountain Capital’s mandated macro and CTA strategies perform better than their benchmarks in Q1 2017, which highlights the importance of selection in an exciting asset class. Fixed Income strategies recouped their losses in March and are continuing their rally alongside our credit/fixed income strategies in Q1. Equity strategies are the best performers across our asset classes in Q1, covering three spots in our Top-5 year-to-date.

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