2021 May CAD
1.30%
MTD
14.45%
YTD
Monthly Performance (net of all fees)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | 3.40 | 3.99 | 3.75 | 1.27 | 1.30 | 14.45% | |||||||
| 2020 | 0.41 | -.20 | -1.91 | .74 | 1.66 | 2.25 | 1.26 | 3.13 | 1.10 | 0.57 | 2.04 | 3.15 | 15.02% |
| 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 | 1.30% | 14.45% | 8.41% | 2.07 | 7.03 | 1.00 | 13.96% | -2.57% | 18.79% |
| S&P 500 | 0.70% | 12.61% | 15.33% | 1.09 | 1.32 | 0.11 | 12.82% | -12.35% | 17.14% | S&P/TSX | 3.45% | 15.15% | 13.88% | 0.72 | 0.69 | 0.08 | 10.79% | -17.38% | 9.98% |
Sticking to What We Know
Dear Partners,
For the month of May the Caravel Capital Fund Ltd was up 1.30%.
Two months ago, we highlighted the US market’s frothy and exuberant profile. Since that time, it’s pace of growth has all but stopped, with a significant increase in overall volatility. The NASDAQ composite fell 8.5% and then rallied back to flat while the S&P500 fell 4% only to rally back 5.5% since we published our March letter. During this period the VIX (Volatility Index) spiked 100%. We continue to believe markets will vacillate in order to digest gains, as investors wait for the earnings to catch up and justify current valuations.
The Caravel Cad Fund is currently allocating its capital to market neutral strategies that historically generate consistent positive risk adjusted returns. In the month of May, the fund’s returns were primarily generated from merger arbitrage, SPACs, and quantitative arbitrage. The book also continued to generate returns from distressed debt. The fund’s losses primarily came from a fundamental short position which it continues to hold. With year-to-date gains above 14% and tracking well above 25% annualized returns, the fund has taken a more conservative posture holding a substantial portion of its capital in cash and market neutral investments. We don’t know what the future holds, but history has taught us to be wary when the headlines in the financial press highlght adventures in speculation.
The fund will remain concentrated in market neutral and arbitrage strategies until we can make a rational argument that justifies the latest Reddit inveigle. For all of you who know Jeff, if he were allowed to go off on one of his impassioned rants, this is where it would start… so we will end it here.
We thank you for your continued confidence and capital.
Glen & Jeff - Caravel Capital