Internal Review

March 2021 – Teks Alpha NAV Systema Fund

Market Overview

March has been a month lead by the largest historical BTC option expiration of $6bn on March 26 and a subsequent further drop in the volume traded in the spot market.

Implied volatility has fallen drastically in the weekly options from ~100% to ~60% which might indicate that an expansion may occur at any time. The IV curve has been normalised with long term tenors carrying a higher rate than the short term.

Lack of new developments\announcement in the crypto space during the 2nd half of the month have lower expectation towards big price movements which also generated a further decrease in the option ́s premiums.

As countercyclical managers, we expect larger price movements, thus hedging the downside risk will be a priority while generating returns.


Operations started on March 12 where we traded collateralized OTM Put options accruing an effective rate of +1.44%

We have also started implementing a proprietary options-structure strategy with less than 1% of the capital, which will be increased smoothly.

Teks Alpha Performance (%)

2021 1.4 1.4
Performance is net of fees. Trading operations started on March 12, 2021

Teks Alpha Performance vs Index

Given the nature of Teks Alpha we have chosen as a Benchmark an Index composed 50% by BTC and 50% by cash

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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.