September 2023 – Teks Alpha Preliminary NAV Systema Fund

Market Overview

September was another eventful month for the financial markets and was in fact the worst performing month of 2023 in US equities.

As expressed in our prior newsletter, September is historically a tough month for equities. This was no exception. Throughout September, the SPY posted a return of -5.1% and the YTD is +11.7%. The Nasdaq Composite performed -5.8% (YTD of +27.1%). Technology stocks were hit particularly hard, such as Apple -8.9% and Nvidia -12%. Major overseas stock benchmarks also declined for the month. The Stoxx Europe 600 fell -1.7% in September, while Japan’s Nikkei 225 dropped -2.3% and Hong Kong’s Hang Seng retreated -3.1%.

Inflation and interest rates persisted as the dominant themes influencing market activity. Key in this monthly market performance was the Federal Reserve meeting on September 19 and 20. Investors are realizing that the Fed plans to keep its interest rate higher for a longer period of time than it had expected. The next meeting will be in November and there seems to be no clear market direction until such time. Additionally, the 10 year Treasuries broke the 4.5% “ceiling” (now yielding around 4.58%).

As the treasury market was hit both the Dollar and Oil appreciated significantly adding extra pressure to the FED’s inflation target. Moreover, a stronger US dollar and higher energy prices are challenging for US multinational profit margins. They are also headwinds for emerging markets (i.e. oil importers and US dollar bond issuers) which are part of the 2024 strong market thesis.


During September the Fund’s preliminary net return was -1.5%, bringing our YTD net performance to +11.45%.

We are very comfortable with the performance of our model and the enhancements which were put in place during September. Once again the model demonstrated its resilience to substantial market fluctuations, a 3 standard deviation movement in June-July and a market drop of more than -8% from July’s peak, while maintaining a robust risk management.

Teks Alpha Performance (%)

2021 1.36 0.79 0.77 0.80 1.51 1.61 1.15 2.56 1.70 12.9
2022 -0.65 1.22 1.22 -0.10 -1.85 -5.7 2.35 -1.61 -0.5 0.33 —3.1 —0.7 -9.0
2023 3.5 0.45 1.45 2.20 5.20 -1.50 0.2 1.10 -1.50 11.4
Performance is net of fees. Trading started on March 12, 2021. NAV is calculated quarterly by the Administrator. The next official NAV will be based in December 2022

Teks Alpha Performance vs Benchmarks since inception (March 2021)

Effective 14.34% 13.87% 7.01%
Annualized 5.80% 5.60% 2.83%
STD Dev 7.00% 17.82% 5.93%
Shape Ratio 0.44 0.16 0.01
Benchmarks: The HFRI Institutional Equity Hedge Index is a global, equal-weighted index of hedge funds with minimum assets under management of USD $500MM which report to the HFR Database and are open to new investments. The Equity Hedge funds that comprise the index are a subset of the HFRI Institutional Fund Weighted Composite Index. The index is rebalanced on an annual basis.

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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.