Absolute Alpha Commentary: As at September 30, 2023

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.

 

Absolute Alpha Commentary: As at September 30, 2023

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This material has been published by Picton Mahoney Asset Management (“PMAM”) on October 13, 2023

It is provided as a general source of information, is subject to change without notification and should not be construed as investment advice. This material should not be relied upon for any investment decision and is not a recommendation, solicitation or offering of any security in any jurisdiction. The information contained in this material has been obtained from sources believed reliable, however, the accuracy and/or completeness of the information is not guaranteed by PMAM, nor does PMAM assume any responsibility or liability whatsoever. All investments involve risk and may lose value. This information is not intended to provide financial, investment, tax, legal or accounting advice specific to any person, and should not be relied upon in that regard. Tax, investment and all other decisions should be made, as appropriate, only with guidance from a qualified professional.

This material may contain “forward-looking information” that is not purely historical in nature. These forward-looking statements are based upon the reasonable beliefs of PMAM as of the date they are made. PMAM assumes no duty, and does not undertake, to update any forward-looking statement. Forward-looking statements are not guarantees of future performance, are subject to numerous assumptions and involve inherent risks and uncertainties about general economic factors which change over time. There is no guarantee that any forward-looking statements will come to pass. We caution you not to place undue reliance on these statements, as a number of important factors could cause actual events or results to differ materially from those expressed or implied in any forward-looking statement made.

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