Fund Fact Sheet Systematic DLT Fund
October 2019
Investment Objective Monthly Comment
The investment objective of the Systematic DLT Fund (the “Fund”) is to maximise returns, The October performance of the Fund is
regardless of the overall market performance of crypto assets. The actively-managed approach -3.92%. The inception to date Fund performance is
allows both long and short positions. 134.31%.
Bitcoin closed the month of October with a strong
performance of +11%. The performance was
The Fund pursues a systematic, quantitative approach based on market prices of crypto assets. mainly driven by the jump during the last weekend
The investment strategy is limited to the most liquid crypto assets, which show the greatest of the month. Our Algorithm did not anticipate the
potential according to time series analysis. The investment strategy can be extended to other spontaneous move of this magnitude. The
crypto assets as they become eligible for investment. The strategy is implemented by means of strength of the quantitative algorithm is to
direct investments or derivative instruments. participate in medium term trends. News driven
short term price action does not impact the
Key Benefits trading signal instantly, but over time. Despite this
move against the fund’s positioning the impact on
Diversification from traditional investments Weekly liquidity total performance was very limited.
Performance Awards
Professional FINMA regulated asset manager Upside benefit, downside protection
• Barclay Hedge: Multiple Awards from 1st to 4th
Regulated custodian for secure crypto storage Invest directly with fiat currency Place in the categories “CTAs Managing Less
Than $10M Ranked By Net Return” &
Fund Past Performance vs. Bitcoin Past Performance “Cryptocurrency Ranked By Net Return” in the
months between May and September.
The strategy has consistently beat the performance of both Bitcoin and typical trading algorithms. • Nilsson Hedge: 1st Place as of 27.10.2019 out
of 1003 reported returns.
Normalised, with class A USD NAV at inception
1 July 2017 to 31 October 2019. Logarithmic
of 17 Jan 2019 = 100, daily weekday returns,
Model
100
The Fund performance demonstrates the
70 automated trading system, based on an
algorithmic approach with long and short
indicators. This system is limited to maximum 25%
short exposures.
Investment decisions are made by means of
generic, algorithmic filter analysis, which reduces
the volatility of daily prices. This allows trends to
be identified and exploited without additional
10
subjective analysis parameters from the portfolio
scale.
7 management team. The trend following strategies
30-Jun-17 30-Sep-17 31-Dec-17 31-Mar-18 30-Jun-18 30-Sep-18 31-Dec-18 31-Mar-19 30-Jun-19 30-Sep-19
are stabilised by further quantitative methods,
Fund (Actual since inception) (1) Fund (Simulated) (2) Bitcoin (3) Typical Trading Algorithm (4) which include additional features of the price
development. The model includes a variety of
DISCRETE MONTHLY PERFORMANCE OF THE FUND(1) different technical methods, such as trend
following and mean reversion. The model further
Jan* Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD* includes additional short only indicators with the
2019 Fund -0.05% 3.61% -4.17% 14.46% 40.14% 32.37% 12.38% -1.99% 5.08% -3.92% 134.31% effect of efficiently reducing long exposure in a
*Performance since inception date of 17 Jan 2019. bearish market environment.
CLASS MONTH END NAV PER UNIT Risk and Rewards
A B C D E F
The Fund is considered a high risk investment as
EUR 239.63 EUR 233.05 EUR 100.00 EUR 100.00 EUR 96.44 EUR 100.00
USD 234.31 USD 146.17 USD 100.00 USD 100.00 USD 97.51 USD 100.00 the volatility of its returns is high. The Fund invests
CHF 234.47 CHF 199.22 CHF 100.00 CHF 100.00 CHF 100.00 CHF 100.00 in crypto assets and is therefore subject to high
volatility. This requires corresponding risk
RISK METRICS* CUMULATIVE PERFORMANCE (%) tolerance and capacity. The value of the Fund unit
Fund Typical Trading Fund may fall below the purchase price. Legal, structural
(Simulated)2 Algorithm(4) (Actual) 1 and market participant changes have an effect on
Sharpe ratio 2.54 0.73 Last month -3.92% the value of the portfolio.
The Fund exclusively invests in less liquid assets
Average performance (daily) 0.58% 0.17% Last 3 months -1.04%
that may be difficult to sell in distressed markets.
Volatility (daily) 3.64% 3.76% Last 6 months 106.28% Crypto assets are considered as carrying high risk
Maximum drawdown 30.40% 68.82% YTD* 134.31% profiles. A detailed and comprehensive list of risk
Exposure (daily) 0.58 0.58 Since inception 134.31% descriptions can be found in the Prospectus
*1 Jul 2017 to date *Performance since inception date of 17 Jan 2019. available upon request.
Although certain information has been obtained from sources believed to be reliable, we do not guarantee its accuracy, completeness or fairness. We have relied upon and assumed without independent verification, the accuracy and
completeness of all information available from public sources.
(1) The actual Fund past performance shown is of the Class A USD unit class performance since inception on 17 Jan 2019.
(2) Chart and risk metric data presented represent backtested performance and ratios based on simulated data from 1 Jul 2017. Backtested performance does not represent actual performance and should not be interpreted as an
indication of such performance. It is provided for informational purposes only to indicate historical performance had the portfolio been available over the same time period. Backtested performance results have certain inherent
limitations. Such results do not represent the impact that material economic and market factors might have on the decision-making process if the Portfolio Manager were actually managing the portfolio. Backtested performance
also differs from actual performance because it is achieved through the retroactive application of model portfolios designed with the benefit of hindsight. As a result, the models theoretically may be changed from time to time and
the effect on performance results could be either favourable or unfavourable. Actual Fund performance will vary due to factors such as tracking error, fees and expenses. Actual per Unit Class performance will also vary due to
currency exposure. Model data is based on daily, excluding weekends, returns. The shown backtrack implements a strategy with max. 100% long exposure and max. -25% short exposure, net of fees. The model past performance
shown is representative of the Class A USD unit class performance, net of 20% performance fees and an estimated 1.5% total expense ratio (with 0% management fees).
(3) Bitcoin performance data is based on daily, excluding weekends, returns normalised from 1 Jul 2017 based on class A USD priced at 100 on fund inception on 17 Jan 2019.
(4) Calculated using a standard moving average crossover trading algorithm, based on daily, excluding weekends, returns normalised from 1 Jul 2017 based on class A USD priced at 100 on fund inception on 17 Jan 2019. Max. 100%
long exposure and max. -25% short exposure, net of fees. Net of 20% performance fees and an estimated 1.5% total expense ratio (with 0% management fees).
Past performance disclaimer. Past performance does not guarantee future results. No guarantee is given by the Fund, the Alternative Investment Fund Manager and the Portfolio Manager that the investment objective of the Fund will be
achieved. The investment return and principal value of an investment will fluctuate so that an investor's units, when redeemed, may be worth more or less than their original cost. The performance data do not take account of the commissions
and costs incurred on the issue and redemption of units.
Fund Fact Sheet Systematic DLT Fund
October 2019
i Unit Class B Unit Class C Unit Class D Unit Class E Unit Class F
Subscription Frequency Weekly Weekly Weekly Weekly Weekly
Minimum Subscription EUR/USD/CHF 10,000 EUR/USD/CHF 1,000,000 EUR/USD/CHF 5,000,000 EUR/USD/CHF 500,000 EUR/USD/CHF 1,000,000
EUR/USD/CHF EUR/USD/CHF EUR/USD/CHF EUR/USD/CHF EUR/USD/CHF
Currencies Available
Currency exposure: USD Currency exposure: USD Currency exposure: USD Currency exposure: USD Currency exposure: USD
Management Fees 2.00% 1.00% 0.00% 1.50% 1.25%
Subscription Fees 1.50% 1.00% 0.00% 0.00% 0.00%
Redemptions Fees 1.50% 1.00% 0.00% 0.00% 0.00%
Performance Fee 20% above HWM (1) 20% above HWM (1) 20% above HWM (1) 15% above HWM (1) 15% above HWM (1)
Total Expense Ratio 3.00% (Estimated) (2) 2.00% (Estimated) (2) 1.50% (Estimated) (2) 2.50% (Estimated) (2) 2.25% (Estimated) (2)
Subscription Notice 2 Business Days 2 Business Days 2 Business Days 2 Business Days 2 Business Days
Redemption Notice 2 Business Days 2 Business Days 2 Business Days 15 Calendar Days 15 Calendar Days
(1) The performance fee is a percentage of the difference between the net asset value per unit before calculation of the performance fee and the last high watermark achieved by the fund, multiplied by the number of units at the start of the
current valuation period, and are charged to the fund as cost. (2) The total expense ratio (TER) is an estimate as no yearly historical data is available. TER excludes performance fees and trading fees.
Class B Class C Class D Class E Class F
Dr. Hartmut Neff
EUR LI0448059159 LI0448059183 LI0448059217 LI0494766004 LI0494766012
ISIN USD LI0448059167 LI0448059191 LI0448059225 LI0489845466 LI0489845482 Portfolio Manager
CHF LI0448059175 LI0448059209 LI0448059233 LI0489845474 LI0489845490
EUR 44805915 44805918 44805921 49476600 49476601 Dr. Neff previously worked at Amplitude Capital as a
VALOR USD 44805916 44805919 44805922 48984546 48984548 researcher on algorithmic trading systems. He worked
CHF 44805917 44805920 44805923 48984547 48984549 as a PostDoc researcher in high energy quantum physics
EUR A2PB7R A2PB7U A2PB7X A2PQS2 A2PQS3 in Cyprus, Boston and London. He has a PhD in
WKN USD A2PB7S A2PB7V A2PB7Y A2PN6X A2PN6Z
computational physics from Juelich/Wuppertal, Germany
CHF A2PB7T A2PB7W A2PB7Z A2PN6Y A2PN60
and studied Mathematics and Physics in Tuebingen,
Class B EUR Class B USD Class B CHF London and Bonn.
Bloomberg SDLTAEB LE SDLTUSB LE SYDLTBC LE
Details
Manager Type: Single Manager Domicile: Liechtenstein Valuation Day: Monday
Investment Process: Active Regulator: Financial Market Authority (the “FMA”) Valuation Frequency: Weekly
Investment Strategy: Systematic, Quantitative Financial Year-end: 31 December Risk Currency: USD
Status: Open-ended Fund Inception: 17 January 2019 NAV Base Accounting Currency: EUR
Structure: Alternative Investment Fund / Collective Trusteeship
Service Providers Crypto Fund AG
Alternative Investment Fund Manager: CAIAC Fund Management AG (Liechtenstein)
Genferstrasse 35 | CH-8002 Zürich
Depositary, Executing Broker & Crypto Asset Storage Provider: Bank Frick & Co. AG (Liechtenstein)
Portfolio Manager: Crypto Fund AG (Switzerland) +41 (0)41 545 88 11
Auditor: ReviTrust Grant Thornton AG (Liechtenstein)
Swiss Representative: ACOLIN Fund Services AG (Switzerland) info@[Link]
Swiss Paying Agent: NPB Neue Privat Bank AG (Switzerland)
[Link]
Awards
Nilsson Hedge (as of October 2019) Barclay Hedge
YTD
Rank Product
Performance
1 Crypto Fund AG – Systematic DLT Fund Class A – EUR 154%
2 Other Fund 152%
3 Other Fund 152%
4 Crypto Fund AG – Systematic DLT Fund Class A – CHF 144%
5 Crypto Fund AG – Systematic DLT Fund Class A – USD 144%
Disclaimers
This material has been prepared by Crypto Fund AG for informational purposes only for the sole use of the intended recipient. It does not seek to make any recommendation to buy or sell any particular security or investment (including units
in the Fund) or to adopt any specific investment strategy. Neither Crypto Fund AG nor any of its affiliates, or their directors, officers or employees, accepts any liability for any loss arising from the use of the information in this document. Data
therein should not be relied upon as such information is subject to change, without notice, at the discretion of Crypto Fund AG at any time. Investors in crypto assets are subject to the risk of total loss of the amount invested.
Systematic DLT Fund is an alternative investment fund in the form of a collective trusteeship established under Liechtenstein law and authorized for distribution to professional investors in Liechtenstein by the Liechtenstein Financial Market
Authority ("FMA"). CAIAC Fund Management AG is an investment fund management undertaking established under Liechtenstein law and authorized as an alternative investment fund manager ("AIFM") by FMA under the Liechtenstein Law on
Alternative Investment Fund Managers ("AIFM Act"). It acts as the alternative investment fund manager of the Systematic DLT Fund. Crypto Fund AG is an asset manager of collective investment schemes authorized by the Swiss Financial
Market Supervisory Authority (“FINMA”) under the Swiss Collective Investment Schemes Act ("CISA") and acts as the portfolio manager of the Systematic DLT Fund. The Trust Agreement and Prospectus, the Investors Information as per Article
105 AIFM Act as well as the Annual Report of the Fund may be obtained free of charge from the AIFM or the Custodian of the Fund and online under [Link].
Distribution in Switzerland: This document may only be distributed in Switzerland to qualified investors within the meaning of Art. 10 Para. 3, 3bis and 3ter CISA. The Representative of the Fund in Switzerland is ACOLIN Fund Services AG,
Leutschenbachstrasse 50, CH-8050 Zürich, whilst the Paying Agent is NPB Neue Privat Bank AG Limmatquai 1 / am Bellevue, Postfach, CH-8024 Zurich. In respect to the units distributed in or from Switzerland, the place of performance and
jurisdiction is at the registered office of the Swiss Representative. The Trust Agreement and Prospectus, as well as the Annual Report and Annual Accounts of the Fund may be obtained free of charge at the registered office of the Swiss
Representative.
This investor material is accurate as of 31.10.2019
