August treated the Global Alternative Smart Alpha Strategy well again, with most of the book working nicely, i.e. 6 out of the 7 managers in portfolio contributed positively to the August numbers.
August 2020 Performance: +1.36%
YTD Performance: +11.47%
Winning Month: 75%
Annualized Standard Deviation: 3.98
Sharpe Ratio: 2.76
Maximum Drawdown: -0.34% (May 2020)
Correlation vs. S&P 500: -0.17
Correlation vs SMI: -0.28
Our Multi-Asset Managers which pursue a variety for strategies such as commercial real estate, debt and private equity, Sports & Arts, Media & Entertainment, large cap equities, renewable energy, etc.) contributed +0.78% to the August performance (net of fees, gross of AMC fees). Our Global Macro Value Manager made money in each asset class, i.e. silver and gas, rates, credit, equities and FX and contributed another +0.37% to the August numbers. Systematic Trading, Long Short Equity & Arbitrage were also positive while our quantitative and systematic Global Fixed Income & FX Manager contributed slightly negative (-0.02%).
Despite unprecedented global challenges to market conditions in 2020, the RML Global Alternative Smart Alpha AMC achieved its annual investment target within the first eight months. Given the high degree of uncertainty regarding the outlook for Covid19, our managers continue to believe that it makes sense to aim for balanced and well-diversified portfolios while actively looking for opportunities.
Our allocations to the individual managers remain unchanged.