2020 May CAD
1.66%
MTD
0.66%
YTD
Monthly Performance (net of all fees)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | 0.41 | -.20 | -1.91 | .74 | 1.66 | 0.66% | |||||||
| 2019 | 1.72 | 1.79 | 3.13 | 1.15 | 1.35 | -0.75 | -1.54 | -1.34 | 0.04 | -1.45 | -2.57 | 1.39 | 2.76% |
| 2018 | 6.36 | 4.81 | 0.95 | 0.71 | -0.85 | -1.07 | 2.50 | 1.69 | 3.53 | 0.67 | 0.02 | -0.18 | 20.58% |
| 2017 | 0.27 | 0.05 | 0.35 | 0.25 | 1.39 | 1.45 | 1.77 | 0.12 | 3.27 | 3.61 | 13.96 | 1.96 | 31.51% |
| 2016 | 1.59 | 3.30 | 1.53 | -0.82 | 5.67% |
Risk vs. Return Comparisons Across Indexes
| Month Return | YTD Return | Volatility | Sharpe | Sortino | Beta | Best Month | Worst Month | Annualized | |
|---|---|---|---|---|---|---|---|---|---|
| Caravel | 1.66% | 0.66% | 9.12% | 1.6 | 5.92 | 1.00 | 13.96% | -2.57% | 15.78% |
| S&P 500 | 4.76% | -4.60% | 15.36% | 0.76 | 0.86 | 0.1 | 12.82% | -12.35% | 11.64% | S&P/TSX | 3.36% | -9.40% | 14.03% | 0.33 | 0.29 | 0.05 | 10.79% | -17.38% | 4.28% |
Fade and Protect
Dear Partners
For the month of May, the Caravel Capital Fund Ltd returned 1.66%.
We provided you our perspective last month on the value of equity markets in North America. This has not changed, so we won’t repeat ourselves. The Caravel Capital Fund Ltd continued to realize gains in its positions throughout the month of May. The fund reduced its long holdings in merger arbitrage as prices rose and the risk adjusted returns offered were no longer reasonable. The fund also significantly reduced its holdings in its SPAC investments, again due to price appreciation and below acceptable risk adjusted returns. We continued to hold short positions in high-risk cash offer merger deals that we believe have a low chance of completion, unless the economy (not the stock market) recovers by the third quarter.
We have also used the market’s rebound to reduce the fund’s exposure in convertible securities. We currently have 45% of the fund’s excess capital in cash, and are patiently watching market participants chase 20 times earnings for next year. Not our style, in the middle of an economic slowdown caused by a global pandemic with no viable vaccine available for at least twelve months. Are any of you flying and buying like you used to? Finally, let’s not forget what may happen in November - an election where a Democrat is polling like he will win.
We don’t want all this talk of selling out of strategies to concern you and cause you to believe we can’t find anything compelling.
All of this caution is to allow us to hold great opportunities without the worry of a systematic shock turning a good month into a bad year.
Its June and the sun is finally warming everything up. Go enjoy your summer and enjoy the upcoming long weekend.
We thank you for your confidence and capital.
Caravel Capital