PERFORMANCE REPORT – Q3 2024

The third quarter of 2024 marked our first complete quarter since inception, during which we successfully navigated an extremely volatile and complex financial landscape. Across July, August, and September, our strategy steadily improved, both in terms of returns and process enhancements, culminating in a strong quarter-end performance. We closed the quarter with an aggregate return of approximately 10.1%, driven by effective diversification, adaptive risk management, and the introduction of new trading methodologies.

Our inaugural trading month presented formidable challenges. India VIX began the month near 13 and spiked above 19, as post-election uncertainty and anticipation surrounding the Union Budget drove violent price swings in equities. Despite these headwinds, we finished the month nearly flat with a -0.8% return, avoiding significant drawdowns and preserving capital. Commodities played a crucial role as a hedge, helping cushion equity volatility. We took this month as an opportunity to refine our capital allocation processes, prioritizing systematic alignment between correlation, volatility, and exposure across asset classes.

August saw heightened global stress, triggered by a sudden unwind of the Yen carry trade. VIX experienced a historic intraday spike from 23 to 65 on August 5th, while Nifty dropped 4.5% from its all-time high. Despite such macro shocks, our systems held up well, delivering a solid 4.4% gain for the month. Our continued allocation to commodities once again proved to be instrumental, providing uncorrelated returns that offset equity turbulence. Intraday volatility remained elevated throughout Indian markets, underlining the need for nimble execution and deep liquidity. We attribute our positive performance to improved system diversification, real-time risk mitigation, and the ongoing evolution of our commodity strategies. Importantly, we avoided breaching previous drawdown levels, reinforcing the robustness of our risk framework.

September marked a turning point in both returns and strategy sophistication. We recorded our best monthly return of 6.5%, outpacing benchmark indices such as Nifty and Nifty Commodities. Amid continued geopolitical uncertainties and rate cuts by the U.S. Federal Reserve, we shifted towards a more tactical investment framework. This included the rollout of a semi-automated long/short strategy with discretionary inputs across both equities and commodities, which offered immediate, improved returns. A sharp drawdown early in the month, specifically on September 9th, was met with a swift and controlled recovery, demonstrating the effectiveness of our dynamic hedging and longer-term positioning. The discretionary component not only diversified our return streams but also increased the scalability of our approach, allowing for larger positions without compromising risk thresholds.

Over this quarter, our key takeaways have been the value of adaptive diversification, capital agility, and continuous process improvement. We have shown resilience during stress, swiftness during opportunity, and discipline throughout. The evolving structure of our portfolio, now equipped with both systematic and discretionary arms, provides us with greater flexibility in capturing alpha across market regimes. Looking ahead, we remain committed to humility, learning, and relentless refinement — recognizing that consistent success is built on preparation, adaptability, and respect for risk.