Assay
Manager Universe

Fenwick Systematic

Assay-Verified

Systematic momentum · Cayman Islands · Inception 2020-01

Illustrative — pre-launch sample data, not actual manager performance.
1Y ann.+20.6%
3Y ann.+1.1%
5Y ann.-3.5%
10Y ann.—
Sharpe (3Y)0.09
Sortino (3Y)0.11
Max drawdown-66.0%

Cumulative TWR vs benchmark

Monthly, since inception
-80%-14%52%118%184%2020-01Most recent
Manager TWR Benchmark Drawdown

Locked benchmark

MarketVector Digital Assets 100

Pre-registered at engagement scoping. Cannot be retroactively changed.

1Y+78.5%
3Y-16.2%
5Y-19.1%

Liquidity profile

Median position liquidity$410M
AUM$167M
Verified history75 months
Raising statusOpen

Strategy

Systematic time-series momentum and cross-sectional carry. 50-asset universe, 21-day signal, monthly rebalance. Composite spans the firm's flagship fund and a managed-account sleeve.

Composite construction

All discretionary fee-paying accounts following this strategy are included in the composite per GIPS Provision 3.A. The engagement memo enumerates the in-scope entities and any sub-advised accounts that would otherwise meet the discretion criteria but are excluded for documented reasons.

Composite dispersion is reported as the asset-weighted standard deviation of constituent account returns. 3-year ex-post standard deviation is reported once 36 months of composite history is available.

Annual return breakdown

Trailing-window annualized returns. For verified strategies with full calendar-year history we publish calendar-year returns alongside; this preview uses rolling 12-month windows from the most recent month.

Y-4

-37.1%

Y-3

+28.8%

Y-2

+7.5%

Y-1

-20.2%

Y-0

+20.6%

GIPS-aligned disclosures

  • Returns are presented gross of management and performance fees. Net-of-fee returns available on request and in the LP data room.
  • Composite includes all discretionary fee-paying accounts following the systematic momentum strategy as enumerated in the engagement memo.
  • Benchmark: MarketVector Digital Assets 100, locked at engagement scoping.
  • Valuation: positions marked at VWAP across qualifying venues. Concentrated illiquid positions subject to liquidity-adjusted fair-value haircut per Assay's methodology.
  • Custody: position custody arrangement disclosed in the engagement memo. Withdrawal permissions are not granted to Assay; we hold read-only access.
  • Past performance is not indicative of future results.

Verification status

Assay-Verified. Engagement is active; benchmark is locked, composite is constructed, anomaly screens are running continuously.

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