John Trieste, portfolio manager for the 1OAK Liquid Alternative Beta strategy, provides his April update.
In April, LAB realized a net monthly return of 3.09% and annualized trailing 12-month volatility of 7.69%. The strategy was long global equities, with the bulk of its risk allocation in US equities (S&P 500 and Russell 2000 futures), this was followed by positions in FTSE & Hang Sang futures. The strategy has consistently been long Canadian 10-year government bond futures, reducing that exposure slightly towards the end of the month. Several positions were introduced inside of the month including a long Eurodollar interest rate futures position and short positions in 5-year German debt and long-term US Treasury futures.
After reaching a post-pandemic high in March, rates finished April lower despite a resurgence in the last third of the month. This benefited our long Canadian government bond exposure. We also gained from the timing of our shorts on 5-year German debt and long-term US Treasury futures which declined in price later in the month. Our long Eurodollar futures position had a negligible contribution to performance. Finally, all of our equity exposures generated positive returns on the month.