The Picton Mahoney Absolute Alpha Fund Class F (“the Absolute Alpha Fund”) produced a return of 2.17% in the third quarter of 2023.
The Picton Mahoney Fortified Alpha Alternative Fund Class F (“the Fortified Alpha Fund”) produced a return of 1.83% in the third quarter of 2023.
The funds continue to provide returns independent of market direction; our analysis of daily portfolio returns over the most recent time frame indicates a very small beta footprint in terms of exposure to traditional asset classes such as stocks and bonds as measured with respect to our PMAM asset classes in Q3 2023. Therefore, the funds continue to meet a key investment objective of providing returns independent of traditional asset classes.
The funds benefited from positive return contributions from all three core active strategies as well as the Quantitative Equity Factor risk premia in the quarter.
The largest contributor to positive performance in Q3 was the Arbitrage strategy. In Q2, the largest positive contributor to portfolio returns was the Special Situations strategy while in Q1 the Equity Market Neutral strategy was the largest positive contributor. This shifting relative performance demonstrates the benefits of diversification and maintaining a balanced exposure across the underlying components of the funds. Over the short term the relative performance of the underlying components is difficult to predict, while over the long run the diversified nature of these return streams enhances the overall quality of the return. Combining portfolio components with a positive return potential and a low correlation can result in better portfolio outcomes over moderate to long term time horizons. These benefits are already accruing to investors in the two funds.