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Dear fellow investors,

Creation of Pure Alpha in 2019?

Dear fellow investors,

We would like to start this new year by thanking the investors who trusted in us in 2019. Assets in the Durandal fund have now passed the €40 million mark. We would also like to thank everyone who has taken the time to meet us and study our strategy. We hope you will be convinced to join us in 2020.
2019 was a good live test for the fund. The excellent performance of the STOXX600 total return index (+28.55% over the year ), along with rapid changes in sentiment as a result of geopolitical risks, did not create ideal conditions for Long/Short equity strategies; even less so market neutral strategies . Yet Durandal delivered a return of +4.00% with volatility of 2.87% in 2019, confirming our ability to perform steadily with little volatility or correlation to equity markets, and with a Sharpe ratio of 1.40.
In this newsletter, we would like to discuss the creation of Pure Alpha throughout 2019, especially on:

  1. 1. Pure Alpha generation through our selection of short positions,
  2. 2. The link between the volatility of our Pure Alpha and the macroeconomic cycle.

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