Internal Review

December 2021 – Teks Alpha NAV Systema Fund

Market Overview

"Facing growing inflation, US debt-ceiling discussions and Omicron variant, December is likely to have a sharp re-pricing of the assets and high levels of volatility". December was marked by high price variations in the crypto space with BTC price falling -18% against USD while other asset classes such as equities (S&P 500) and Gold, were up +4.2% and +2.9%, respectively.

Our view is that December is the first case of real-decoupling between BTC and the rest of the crypto market, where many major ALTs (including ETH), demonstrated stronger resistance and capital inflows than BTC. We believe Bitcoin will continue diminishing its dominance in the crypto space, which is currently at its lowest levels of 40%. Innovation doesn't seem to be a high priority within Bitcoiners or the Bitcoin network in comparison to Terra, Avax, Solana, BSC, FTM, SCRT, Harmony (with its play-to-earn DeFi Kingdoms), etc. However, a crash in the crypto market (which we believe it's unlikely never know) should affect ALTs more than BTC given the beta exposure that they carry.

We are expecting BTC to move to ATHs, although we don't expect higher highs in the coming month. We have a big cash position which will be used if the market breaks out/down from the current range.


With BTC falling -33% from ATH and -18% during the month, we collected good premiums but we were also affected by the long deltas that had generated good profits during October and November. Another macro-change in the market is that BTC dropped -18% and the IV dropped -18% too. That could be a sign of institutions entering in crypto and flattering the interest curve, which affects the R/R of short-Vega strategies.

Teks Alpha Performance (%)

2021 1.36 0.79 0.77 0.80 1.51 1.61 1.15 2.46 1.60 0.25 12.9
Performance is net of fees. Trading started on March 12, 2021. October and November are internal and preliminary results. The official NAV is calculated by the Administrator every Quarter. Therefore, the next official NAV will be based on the December 31st, 2021.

Teks Alpha Performance vs Benchmarks since inception (March 2021)

Total Return 12.96% -24.29% -8.29% 2.03%
MTD 0.25% -18.65% -9.33% 0.51%
APY 16.09% -30.15% -10.29% 2.52%
STD DEV 2.14% 74.53% 37.26% 2.87%
SHARPE 6.80 -0.42 -0.32 0.35
Benchmarks: BTC Index is an index composed 50% by BTC and 50% by cash. BTC price index is conformed by the Bitstamp price of BTC at 18 CEST. The HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry.

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Legal Disclaimer

The information, analysis, and opinions expressed herein are for general information only and are not intended to provide specific advice or recommendations for any individual or entity. This material is not an offer, solicitation or recommendation to purchase any cryptocurrency, security or to invest in Teks Capital or in Systema Fund PCC. Forecasting represents predictions of market prices and/or volume patterns utilizing varying analytical data. It is not representative of a projection of any market, or of any specific investment. Please remember that all investments carry some level of risk, including the potential loss of principal invested all principal. They do not typically grow at an even rate of return and may experience negative growth. As with any type of portfolio, attempting to reduce risk and increase return could, at certain times, unintentionally reduce returns. Please remember that past performance may not be indicative of future results.