Internal Review

November 2021 – Teks Alpha NAV Systema Fund

Market Overview

“Market data both in spot and derivatives shows that further upside is the most probable outcome, however, we are cautious given that BTC has sold off following past seminal moments...” These were our last words in our October Market Overview. Since then, the Bitcoin price had a sharp rise to 69k (ATH) and fell afterwards to 53.5k (-22.5%).

The fall in crypto markets (as well as in traditional markets) was accelerated by automated liquidations on top of an over leveraged crypto space and further news from a new COVID variation. Inflation and tapering news are not helping on a macro level but we don't consider them to be the triggers of this -20% drawdown.

Implied volatility hasn't expanded as we would have expected; more so, it has moved sideways between 75% and 80%. Skewness favoured Put options, but it hasn't overreacted either, which shows uncertainty towards entering into a bearish market scenario.

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.


During the -20% drawdown we maintained adequate levels of cash which we used to restructure new option products. Contango premium was collected and a good return came from the LPs allocation.

Looking forward, we will increase our capital in our option structured products which have done very well during the last couple of months.

Teks Alpha Performance (%)

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.