Strategy Update II

22nd July 2021

In April 2020 Lethame Capital’s first strategy update spoke of the strong returns generated by the strategy through a combination of robust risk premia, diversification and risk management. As of the end June 2021 the strategy has a two year record and it is pleasing to report that these factors continue to produce solid results.

Compared to peak-to-trough drawdowns of almost 40% in equity indices the strategy saw a peak to trough drawdown of just 10%. The volatility of the strategy was approximately half of that shown by equity indices, its average correlation to risk assets is close to zero and it has produced a Sharpe ratio since inception of more than 1.