Alma UBS Multi Strategy Alternatives

Fund

Teaser:
Risk assets rallied again in November as recent inflation data indicated the possible peak in inflation and therefore some easing of overall financial conditions.

Monthly Performance:
At the strategy level, Relative Value managers drove negative performance, while Trading managers also detracted, but to a lesser extent. Equity Hedged managers ended the month relatively flat overall.

YTD Performance:
Negative performance has been driven by Equity Hedged managers, with the largest losses generated by an Asia-focused event manager. On the positive side, offsetting gains have been generated by the portfolio’s systematic Trading manager and quantitative equity strategies.

Performance Contributors:
MTD the largest contributor to performance was a Europe-focused event manager which attributed gains to the portfolio broadly, while key contributors included exposure to the British insurance sector and a short position in a French satellite communications company.

Performance Detractors:
The largest detractors from performance were a systematic Trading manager which attributed losses to equity futures, interest rate futures, currency forwards and, to a lesser extent, energy and metal futures, while the merger arbitrage segment noted two idiosyncratic detractors in the industrials/chemicals space and the gold mining industry.

Current investment strategy:
We have reduced substantially the overall directionality of the portfolio in order to protect capital in this period of elevated volatility. We will continue to focus predominantly on lower net and relative value strategies better suited in this market environment.