Difficult trading conditions towards the end of last year meant the two biggest holdings in Blacksquare’s multi-manager absolute return fund – AC risk parity 12 and FCM European opportunities – lost money in November.
Overall, Blacksquare is pleased with its multi-manager absolute return fund’s performance as most of its managers have generated positive returns. It says Aspect Capital diversified trends and GLG emerging markets fixed income & currency have performed well in turbulent markets.
Turbulent conditions have had a greater impact on Blacksquare’s diversified absolute return fund, with only one holding, Henderson credit alpha, producing positive returns in November.
Blacksquare Capital chief executive Christopher Peel says: “All the long/short equity funds in the portfolio struggled with the choppy trading conditions and as a result have reduced risk markedly. We continue to run with a relatively high cash balance of 10 per cent.
“We are trying to take directionality out of the portfolio given how markets are trading. We are monitoring all investments in the portfolio very closely and will look to make some changes as we go into 2012.”