monthly report · ongoing development of multi exchange/account monitoring dashboard improvement of...

2019

MONTHLYREPORT

September

SEPTEMBER 2019 - MONTHLY REPORT

FUND OBJECTIVES◼ Achieve a total return after fees that exceeds the previous month and above benchmark

◼ Ongoing development of multi exchange/account monitoring dashboard

◼ Improvement of risk management strategy to avoid daily losses above 1.8%

◼ Improvement of scalping strategy and hedging techniques integration

PORTFOLIO

PERFORMANCE

Cryptocurrency Asset Portfolio - September 2019

Bitcoin(BTC)/USD- 51%, Bitcoin(BTC)/EUR-6%, Bitcoin Cash(BCH)/USD-3%, Ethereum(ETH)/USD-5%, ETH/BTC-4%, Ripple(XRP)/USD-3%, XRP/BTC-2%, EOS/USD-6%, EOS/BTC-5%, Binance(BNB)/USD-3%, BNB/BTC-3%, TRON/BTC-2%, NEO/BTC-3% and other altcoins-4%

Returns are gross of fees.Past performance is not a reliable indicator of future performance

PERFORMANCE 1 MONTH (%) 3 MONTH (%) 6 MONTH (%) 1 YEAR (%)SINCE

INCEPTION (%)

BitWolf Capital 14.92% 17.86% 18.69% - 17.83%

BITWOLF CAPITAL CRYPTOCURRENCY FUND

BitWolf Capital September 2019 report - www.bitwolfcapital.com

Bitcoin(BTC)/USD

Bitcoin(BTC)/EUR

Bitcoin Cash(BCH)/USD

Ethereum(ETH)/USD

ETH/BTC

Ripple(XRP)/USD

XRP/BTC

EOS/USD

EOS/BTC

Binance(BNB)/USD

BNB/BTC

TRON/BTC

NEO/BTC

and other altcoins

51%

6%3%

5%

4%

3%2%

6%

5%

3%3%

2%3% 4%

COMMENTS:

◼ The Benchmark which reflects the set of cryptocurrency assets (BTC, ETH, XRP, BCH) has underperformed during September2019, while decreasing significantly leading to losses of 13.41%.

◼ The BTC has also decreased significantly in September as price pludged considerably on the 24th by almost 12%.

◼ BitWolf Capital performance is based on the trading performance achieved from the 9th to the 25th which is fairly in constant progres-sion. The 9th was the launch of BitWolf's platform therefore no trades were fulfilled from the 1st to the 9th of September. From the 25th to the 30th no trades were fulfilled due to a ~12% BTC price drop on the 24th and as our team were reajusting our trading algorithms. No unreasonable risk is taken by BitWolf with investor's assets, it can happen that our trading operations cease for a few days until better market conditions are available to generate profit while avoiding exposure

Conclusion: Investors investing in the assets within the Benchmark (BTC, ETH, XRP, BCH) or BTC in September would have incurred losses if no risk management was set up and if controlling volatility for better investment outcomes wasn't applied. Investors investing in BitWolf Capital have performed at a sustainable rate, but with lower performance than august.

.*Benchmark: BitWolf Capital Index benchmark is based on internal analysis and on a set of cryptocurrency assets weighthings (BTC, ETH, XRP, BCH).Crypto assets are selected according to their dominance, market capitalization, exchange rate fluctuation and other parameters which have been definedby BitWolf Capital analyst team.



September BitWolf Benchmark* BTCBITWOLF CAPITAL PERFORMANCE - SEPTEMBER 2019

14.92% -13.41%Total -13.70%

9/1/2019 1.28% 1.30%9/2/2019 5.95% 6.03%9/3/2019 2.63% 2.68%9/4/2019 -0.34% -0.27%9/5/2019 -0.21% -0.18%9/6/2019 -2.10% -2.10%9/7/2019 1.72% 1.58%9/8/2019 -0.61% -0.72%9/9/2019 1.05% -0.99% -1.02%

9/10/2019 1.49% -2.05% -2.12%9/11/2019 1.05% 0.54% 0.62%9/12/2019 0.30% 2.20% 2.28%9/13/2019 0.52% -0.47% -0.48%9/14/2019 0.00% 0.10% -0.02%9/15/2019 0.11% -0.08% -0.10%9/16/2019 1.09% -0.56% -0.69%9/17/2019 1.00% -0.11% -0.35%9/18/2019 0.80% -0.32% -0.42%9/19/2019 1.13% 0.72% 0.67%9/20/2019 1.33% -0.89% -0.83%9/21/2019 1.71% -1.56% -1.59%9/22/2019 1.73% 0.40% 0.51%9/23/2019 2.70% -3.46% -3.39%9/24/2019 -1.09% -11.87% -11.40%9/25/2019 -1.37% -1.55%9/26/2019 -4.34% -4.34%9/27/2019 1.73% 1.64%9/28/2019 0.00% -0.07%9/29/2019 -1.78% -1.72%9/30/2019 2.43% 2.34%



POSSIBLE OUTCOMES PROBABILITY RETURNS WEIGHTED VALUE

(Value base: 1) (Value:%) [(1) x (2)]Pessimistic 0.25 11.90% 2.98%

Most likely 0.50 20.50% 10.25%

Optimistic 0.25 27.50% 6.88%


FORECASTThe forecasted returns for future periods can be found in table below.The statistics performed for the next period, October 2019, have been made taking into consideration historicaldata and three possible scenarios with a 95% confidence interval.

Expected Return - September 2019: 20.11%

The cumulative returns graph represents the overall return of 14.92% for BitWolf and -13.70% for Bitcoin(BTC)during the month of September, the trend shows a constant and progressive increase in the returns from the 9thto the 25th for BitWolf while Bitcoin(BTC) has crashed and showing market instability.

BitWolf Capital operates every day on exchanges as all algorithmic programs are configured to operate 24/7 and as cryptocurrency market is always open. However it may happen that no trades are operated if risk levels are too high and market conditions do not allow our algorithms to perform as usual.

BitWolf Capital performance Bitcoin(BTC) performance


1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30-20.00%

-15.00%

-10.00%

-5.00%

0.00%

5.00%

10.00%

15.00%

20.00%


56%24%

19%


STRATEGIESAutomated trading strategies during September 2019 were selected and applied further to continuous crypto-currency market analysis, automated pattern recognition and market trends following our internal standardized analysis (profitability, type of market trend, long/short strategy, deployment on exchange and risk managementoptions).

◼ Market Making | 4 Exchanges used |11 pairs | 0.13 trades/min | 185.6 trades/day | 5567 trades/month

◼ Indicators | 4 Exchanges used | 12 pairs | 0.023 trades/min | 33.6 trades/day | 1008 trades/month

◼ Manual trading | 2 Exchanges used | 19 pairs | 0.01 trades/min | 14.4 trades/day | 432 trades/month

Manual trading was applied when opportunities were available and market was moving too fast to deploy new

automated algorithms.

Our traders use both fundamental and technical analysis to confirm their trades and position sizes while manag-

ing the risk with tight stop losses (~1% basis).

Open and Closed Positions

87.1% positions were open and closed on the same day

12.9% positions were held overnight

Market Making (Automated)*

Arbitrage (Automated)*

Indicators (Automated)*

Manual**Based on value of positions, not on volume of trades




OVERVIEWIn regard to the month of September, all of the major cryptocurren-cies (with the exception of ETH) generated a loss. The biggest loser was Bitcoin Cash, which recorded a decline of 20.5%.

On the bearish side, many crypto investors are worried that the arriv-al of Bakkt will bring about the rehypothecation of Bitcoin. Rehy-pothecation occurs when a brokerage firm uses assets that have been posted as collateral by their own clients. The brokerage firm uses these pledged assets to cover its own transactions and trades. Consequently, the assets are “double pledged,” which artificially increases the supply of the asset.

About the price drop in September, the market seems to be reacting the same way as when the Chicago Mercantile Exchange (CME) launched its BTC futures contract in December 2017, it coincided with a major top. In fact, Bitcoin recorded its all-time high on the exact day of the CME launch on 18 December 2017. So far, BTC has been unable to penetrate the high from December 2017 @ 19,862.Bakkt launched on 23 September. In a strange twist of fate, it appears that the Bakkt launch is exerting the exact same downward pressure on Bitcoin just like the CME launch forcing the cryptocur-rency bull market to a halt.

Benchmark: Crypto Index based on BTC, ETH, XRP, BCH

Risk Profile: Low to medium

Market exposure: Short < 72h

Main strategy: Market-neutral

Trading frequency: Medium/High

Suggested time frame: 12 months

Strategies applied: 5

Minimum investment: 1 BTC

Management fee: 0%

Profit fee: 20%

Based currency: BTC

Distribution frequency: Weekly

Referral Program: 5% on profit

Support: 24/7


Bakkt opened its doors for trading on the Intercontinental Exchange. Bakkt has been a much-anticipated addition to the cryp-tocurrency ecosystem because it is the first company to offer a physically-delivered Bitcoin futures contract on a regulated exchange.


Adrian BucurChief Financial OfficerBitWolf Capital


OVERVIEWAccording to most crypto experts, institutional investors would not enter the Bitcoin arena until there was a regulated exchange offering physically-delivered BTC futures contracts. Thanks to the launching of Bakkt, institutional money can now flow into digital assets, specifically Bitcoin.

Institutional investors are very important to the long-term success of Bitcoin because they control the vast majority of global invest-ment dollars. For example, according to data provided by the Feder-al Reserve Bank of St Louis, there is currently $2.14 trillion dollars parked in institutional money funds.

Essentially, these are institutional dollars sitting on the sidelines waiting to make an investment in a major asset class. The launching of Bakkt on 23 September has given institutional investors the “green light” to invest in Bitcoin. Please review the following table.

Benchmark: Crypto Index based on BTC, ETH, XRP, BCH

Risk Profile: Low to medium

Market exposure: Short < 72h

Main strategy: Market-neutral

Trading frequency: Medium/High

Suggested time frame: 12 months

Strategies applied: 5

Minimum investment: 1 BTC

Management fee: 0%

Profit fee: 20%

Based currency: BTC

Distribution frequency: Weekly

Referral Program: 5% on profit

Support: 24/7

Year Money Funds Year Money Funds Year Money Funds1990 $128.9 1991 $172.2 1992 $221.11993 $222.2 1994 $217.9 1995 $255.61996 $311.0 1997 $377.5 1998 $484.71999 $611.0 2000 $743.9 2001 $1,056.62002 $1,243.4 2003 $1,212.9 2004 $1,130.92005 $1,109.2 2006 $1,250.5 2007 $1,600.62008 $2,255.7 2009 $2,480.0 2010 $1,980.72011 $1,809.3 2012 $1,734.1 2013 $1,760.52014 $1,753.5 2015 $1,816.1 2016 $1,780.02017 $1,750.3 2018 $1,857.2 2019 $2,140.0

Source Feredal Reserve Bank of St Louis | Billions of Dollars


During the past two years, money fund balances have been on the rise.Bakkt picked a perfect time to launch the exchange. Institutional dollars are overflowing, searching for an investment vehicle. If insti-tutional investors decide to invest just a small portion of the money funds in Bitcoin, the price could explode dramatically higher. Obvi-ously, this is definitely bullish for BTC.

We have noticed that BTC had formed an important top on 26 June at 13,844. Bitcoin enjoyed a rally during the first six months of 2019, rising 276%. However, BTC has struggled during the past three months, losing 40% of its value. The important numbers to watch are 4,440 – 5,704 – 6,568 – 8,485 – 9,966.

Instituational Money Funds- 1990 - 2019

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