Alma UBS Multi Strategy Alternatives

Fund

Equities fell sharply in the last two weeks of the month, leading to a spike in equity volatility. While the broad BCOM commodity index rose during September, there were notable declines in energy commodities. The prospect of higher volatility as the US election approached and Europe entering increasingly stricter lockdowns as the second wave of Covid-19 took hold, caused investors to take profits, and position themselves more defensively.

Performance Commentary:
At the strategy level, positive performance was led by Equity Hedged, although gains here were entirely offset by losses in Relative Value and Trading.

YTD positive performance has been driven by Equity Hedged, while Relative Value is also in negative territory for the period. Trading continues to be the largest detractor. At the manager level, the largest detractor from performance is a systematic Trading manager, while the largest contributor is an event-driven manager.

MTD through October, the largest contributor to performance was a China-focused Equity Hedged manager. The Chinese equity market was one of the few countries with a positive equity market return for the period and significant gains were generated in communications and healthcare.

On the negative side, quantitative equity approaches continued to be challenged, as stock selection models proved detrimental to performance. A systematic Trading manager also incurred notable losses from long equity index positions and to a lesser extent, energy and agricultural commodities.

Current investment strategy and outlook:
At the end of the month, we rebalanced the portfolio to include a new long/short equity segment, focused on the healthcare sector. Elsewhere, the portfolio reduced its exposure to a discretionary Trading manager, which has been struggling to find compelling alpha opportunities in the current environment. Additionally, we took some profit from a China-focused Equity Hedged segment. We continue to manage the portfolio in line with the wider firm view, keeping beta low. We remain agile and try to adapt to prevailing market regimes that might emerge from the US election.