QUARTERLY REPORTQ1 2020

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Contents

Executive Summary ..................................................................................................................................................2

1. Market Commentary .............................................................................................................................................2The role of alternative assets within a portfolio ..............................................................................................................2The case for cryptoassets within a portfolio ...................................................................................................................3Are cryptoassets a safe haven asset? ..............................................................................................................................5

2. C20 in Review .......................................................................................................................................................8

3. Execution of Fund Rules .......................................................................................................................................11

4. Outlook and Team Composition ...........................................................................................................................12Future Outlook ....................................................................................................................................................................12Team ...................................................................................................................................................................................12

References ...............................................................................................................................................................13

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Executive SummaryThe first quarter of 2020 marked a tumultuous time - not only for cryptoassets but the entire global market. The S&P witnessed a historical reversion into bear market territory with the fastest decline in history. Cryptoassets, usually touted as a susceptible asset class to market fragility, fared particularly well given the circumstances, outperforming both the S&P 500 and gold. March saw panic over the coronavirus pandemic intensify, further exacerbating the market volatility. Cryptoassets were not left unscathed as Bitcoin experienced its biggest daily price decline in seven years; Crypoassets quickly rebounded in the wake of renewed speculation, however, traditional markets came under significant selling pressure as both retail and institutional participants fled for the safety of cash.

Considering the global market turmoil, CRYPTO20 (C20) has performed well, returning 0.59% for the quarter. The fund outperformed leading cryptoasset Bitcoin by 11.08%, the S&P 500 by over 20% and the Dow Jones by over 23%. As the fund is a diversified capped index fund, the primary objective of C20 is to deliver long term capital growth whilst remaining 100% invested in the cryptoasset class. Each cryptoasset is capped to a maximum exposure of 10%, which is designed to provide optimal returns throughout a full market cycle.

1. Market CommentaryThe first quarter of 2020 has proven to be turbulent for all markets. Both the Dow Jones and the S&P 500 saw their worst first-quarter performance in history, losing more than 23% and 20% respectively. In stark contrast, the total cryptoasset market cap dropped a mere 5%, faring particularly well given the global flight to liquidity. This is not to downplay the volatility witnessed over the period, however it raises the question as to whether traditional alternative investment funds (AIFs) should take a more open stance towards adding this asset class into managed portfolios.

Given these unprecedented times, many investors are forced to critically evaluate their portfolios and assess whether their strategic asset allocation is in fact fulfilling the objectives they were initially set to achieve. Given the vast array of asset classes available to the modern investor, each with their own unique characteristics, it is important that when building a portfolio the investor understands the role that particular assets aim to serve within their target asset allocation.

The role of alternative assets within a portfolioTraditional investment portfolios are usually comprised of asset classes with differing risk and return profiles that aim to complement one another in a way that increases the risk-adjusted returns of the portfolio. Diversification within a portfolio allows for the investor to take on less risk while still targeting his or her return objective. This often allows a portfolio to achieve less variance than the weighted average of its constituent assets and often less volatility than the least volatile asset in the portfolio. A lack of correlation between the assets or asset classes is desirable as they do not move in perfect synchrony, thereby allowing for the overall portfolio performance to be smoothed over time and prevent concentration risk. The aim of diversification is therefore to reduce volatility and increase risk-adjusted returns.

Adding alternative assets to an investment portfolio is one way to improve the overall risk-return characteristics of a portfolio due to their lack of correlation to traditional investments. Alternative assets, which have been used by retail and institutional portfolio managers for quite some time, have become increasingly prevalent in recent years. Examples include cryptoassets, venture capital, private equity, hedge funds, real estate investment trusts and commodities. The asset class further includes more rudimentary assets such as rare coins, wine and art.

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Figure 1 illustrates a sample Markowitz efficient frontier. The graph depicts all portfolios with the lowest risk (as measured by volatility) for a given level of return. The inclusion of alternative assets in a portfolio has the ability to shift the efficient frontier upwards, thereby achieving the same level of return while taking on less risk. This is largely due to the uncorrelated nature of these assets to the traditional equity and fixed income asset classes that make up the bulk of modern day investment portfolios. The underlying drivers of value for alternative assets are often contrastive to equities and do not succumb to normal market dynamics given the unique characteristics that stimulate their demand.

In a bear market, where most traditional equity funds will lose value, alternative investments generally show strong resilience to market contagion. This is due to their lack of correlation to traditional investments as described above.

The purpose of adding alternative assets to a portfolio is therefore not only to drive portfolio returns, but to protect during market draw-down events and lessen portfolio volatility over the longer term.

Alternative investments have proven to outperform their traditional counterparts during times of market turmoil. Figures 2 and 3 below illustrate how they surpassed other investment strategies during the dot-com and 2008 crisis’. Whilst alternative investments are not immune to volatility, their low correlation to traditional assets may help protect an investor’s portfolio from severe draw-down.

The case for cryptoassets within a portfolioInterest in cryptoassets as an alternative asset class has significantly increased in recent years. PWC estimated that in 2019 there were 150 active crypto hedge funds with $1 billion collectively in assets under management (excluding crypto index funds and crypto venture capital funds). Leading universities have created funds which have invested millions of dollars into blockchain technologies and cryptoassets. Yale’s David Swenson, known as one of the leading figures in institutional investment, indicated that Yale’s fund has invested in a $400 million cryptoasset fund. American pension funds are also seeking to diversify into cryptoassets. Morgan Creek Digital, an investment firm, is driving this through crypto-focused hedge funds. Andreessen Horowitz has also announced a $450 million fund to be launched later this year.

Markowitz Efficient Frontier

Source: https://www.thestreet.com/opinion/4-reasons-why-investors-

should-consider-alternative-investments-13383547

Figure 1

Traditional and Alternative Investments

Traditional Investments Only

Expected Risk

Markowitz Efficient Frontier

Exp

ec

ted

Re

turn

Alternative Investments - Percentage Gain / Loss

Source: Invictus Capital (Data source: RCM Alternatives)Figure 2

-50 -25 25 500

Traditional Investments - Percentage Gain / Loss

Source: Invictus Capital (Data source: RCM Alternatives)Figure 3

-60 -40 0 20-20

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The cryptoasset class is gaining consistent popularity in large part due to their complete lack of correlation to other assets, as illustrated below.

.

As Figure 4 demonstrates, Bitcoin did not exhibit any significant correlation with non-crypto financial instruments and asset classes throughout the past three years. This is reflected in the median correlation coefficient being below 0.10. In fact, Bitcoin is the only asset in Figure 4 that maintains a consistently low correlation with every other asset.

The matrix in Figure 5 informs us that Bitcoin is highly correlated with other cryptoassets, thus the cryptoasset class as a whole may be construed as uncorrelated to traditional asset classes. Should traditional funds seek to diversify into the cryptoasset class, it may therefore make sense to gain exposure to a basket or fund of these assets in order to further diversify any concentration risk.

At Invictus, we are at the confluence of cryptoassets and traditional finance. We therefore want to look into the impact of adding cryptoassets to a typical basket of traditional assets. To do this we created very basic efficient frontiers of traditional and cryptoasset portfolios using the following inputs:

• A traditional asset portfolio: A portfolio of equity exposure (S&P 500 index) and fixed income exposure (Barclays Bond Index) to represent a portfolio of traditional assets.

Three-year weekly return correlations among asset classes

Source: Binance Research, BloombergFigure 4

BTC SPX RTY LEGATRUU LBUSTRUU CCMP CL1 GC1 SI1 BCOMTR TPX HSI UKX SX5E

THREE-YEAR WEEKLY RETURN CORRELATIONS AMONG ASSET CLASSES

1.000.000.010.12

-0.05-0.020.120.06

-0.050.120.090.040.160.22

1.000.90

-0.19-0.310.960.52

-0.14-0.030.370.680.470.730.72

1.00-0.14-0.290.920.49

-0.070.020.290.610.520.710.68

1.000.74

-0.120.080.670.51

-0.06-0.080.03

-0.020.04

1.00-0.20-0.030.410.35

-0.15-0.29-0.15-0.29-0.28

1.000.56-0.090.040.330.650.530.710.69

1.000.170.240.710.410.310.450.51

1.000.800.160.020.180.040.08

1.000.180.120.280.200.16

1.000.470.350.300.37

1.000.650.700.64

1.000.680.63

1.000.89 1.00

Three-year weekly return correlations among asset classes

Source: Binance Research, CoinMarketCapFigure 5

ADA XMR XLM EOS BNB BCH LTC XRP BTC ETH DASH MKR ATOM HT LINK MIOTA TRX XTZ NEO BSV AVG

ADAXMRXLMEOSBNBBCHLTCXRPBTCETHDASHMKRATOMHTLINKMIOTATRXXTZNEOBSV

1.000.680.700.880.810.740.870.800.780.870.770.600.700.660.490.670.790.330.570.65

0.620.70

0.570.740.710.690.740.670.690.750.660.550.560.620.430.600.640.300.520.60

1.000.510.750.720.750.750.640.730.760.650.590.500.650.400.600.680.280.540.63

1.000.720.640.610.700.720.560.710.600.460.630.560.420.550.610.200.440.56

1.000.810.830.940.790.840.910.770.610.690.750.510.710.800.310.640.70

1.000.800.850.760.830.890.800.690.590.710.430.730.700.360.640.69

1.000.860.760.820.860.760.580.550.690.450.700.770.300.570.78

1.000.800.860.920.820.620.660.710.470.690.780.300.660.73

1.000.690.800.750.470.610.670.570.690.720.320.540.60

1.000.860.780.610.600.690.360.600.670.350.700.73

1.000.830.720.650.780.520.720.770.340.620.71

1.000.520.580.680.470.670.620.310.590.66

1.000.480.660.410.540.500.390.400.52

1.000.390.630.650.260.460.52

1.000.450.450.160.290.45

1.000.620.320.490.57

1.000.580.400.510.550.390.460.52

1.000.220.600.59

1.000.260.26

1.000.49 1.00

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Average daily price volatility is used as a measure of risk and average daily returns as a measure of expected return. For time series, a window of the past three years of historical daily price returns was used. We used this time period as it covers both bull and bear periods in the cryptocurrency market.

We used the inputs to create the efficient frontiers of two portfolios, as depicted in the graph above. The red line represents the traditional asset portfolio at different compositions of equity/fixed income. The blue line represents the same portfolio but with a 1% allocation of cryptoassets.

It is clear from our analysis that despite being very volatile, adding cryptoassets to a traditional portfolio is beneficial

in increasing risk-adjusted returns.

Are cryptoassets a safe haven asset?We have already shown that cryptoassets can significantly increase the performance of an investment portfolio, but does this mean they can also play the role of a safe-haven asset such as gold? Large-cap cryptoassets like Bitcoin have long been touted as an asset within this category, though it seems a counter-intuitive label given their high volatility.

Typically, safe-haven assets are highly prized for their ability to limit portfolio drawdown during market crises due to their tendency to retain or increase their value at such times.

Gold has long been considered the prototypical safe-haven investment. Whether during runaway inflation levels, wars, epidemics, currency crises or stock market crashes; gold has historically tended to hold or increase in value. Though gold can also be volatile, it is generally less so than other asset classes- especially cryptoassets.

Bitcoin has often been compared to gold because of the similarities the two assets have. In particular, both are fungible, divisible, durable, offer anonymity and are convertible into fiat currencies. Additionally, both have a limited supply, with only 21 million Bitcoins able to be mined and about 87% of that already in circulation.

This leads some market observers expecting Bitcoin to exhibit gold’s tendency of retaining or increasing in value during times of market turbulence.

Proponents of this theory often point to examples of Bitcoin’s performance in times of pronounced economic uncertainty, such as during the recent US-China trade war. As tensions heightened during the trade war in May 2019, Bitcoin rose whilst major global markets lost value. This was witnessed again at the beginning of this quarter during the Iran-US conflict when Gold, Bitcoin and oil prices skyrocketed whilst other markets crashed.

A key argument that is used against this theory is the fact that Bitcoin is uncorrelated to the traditional safe-haven: gold.

Gold v. Bitcoin Daily Volatility Comparison

Source: https://www.buybitcoinworldwide.com/volatility-index/Figure 7

Bitcoin Gold

Gold v. Bitcoin Daily Volatility Comparison

Stan

dard

dev

iatio

n of

dai

ly re

turn

s

2012 2014 2016 2018 2020

Efficient frontier with and without top 10 cryptoassets

Source: Invictus CapitalFigure 6

Efficient Frontier with and without C10

0.05%

0.04%

0.03%

0.02%

0.01%

0.00%0.20% 0.40% 0.60% 0.80%

Dai

ly e

xpec

ted

retu

rns

Daily volatility

Top 10 cryptoassets Traditional

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Figure 8 above shows the 90-day correlation between Bitcoin and gold oscillating between -1 and +1- indicating instances of Bitcoin both rising and falling when the gold price has risen. The trend line indicates a slightly negative correlation that appears to be tending towards 0: the value representing no correlation at all.

There are of course many other differences between gold and Bitcoin. Principally, unlike Bitcoin, Gold is tangible, stable and has a history going back over two millennia as a respected store of value. Gold will therefore continue to appeal to the more conservative investor, until such a time as Bitcoin has cemented itself as a viable option with a solid long-term track record.

A key piece of news that dominated the headlines at the end of this quarter was the announcement by the Fed regarding their new open-ended quantitative easing measures. This entails the Fed buying treasury bonds and mortgage-related securities in whatever quantities they deem necessary, in an attempt to buoy consumer demand through fiscal stimulus. There has, in fact, been a spike in monetary and fiscal lifelines launched by central banks and governments across the globe. This has put cryptoassets in the spotlight and highlighted the systemic instabilities that exist in traditional markets. Gold and crypto supporters are convinced that fiat is proving to be an unreliable financial system. It is likely that this development will strengthen cryptoassets’ appeal as an inflation hedge and possible safe-haven investment, leading to increased demand for them and hence upwards pressure on their prices.

Whilst we are less inclined towards classifying cryptoassets as a safe-haven asset class just yet, it remains clear that the historical lack of correlation towards any other asset, including gold, makes cryptoassets an excellent diversification tool in any investment portfolio.

Looking to the Future

Bitcoin Halving At some point in May, the Bitcoin block reward will halve once again, causing the number of Bitcoins entering circulation every ten minutes to drop from 12.5 to 6.25. This event occurs every four years and has happened twice before in Bitcoin’s history. The ensuing supply-rate reduction of new Bitcoins being introduced into the system means the resultant sell-side pressure from miners will halve. For this reason, past halving events have resulted in significant increases in the Bitcoin price, making such events highly anticipated in the cryptoasset space. This enthusiasm may even prove to be a self-fulfilling prophecy as the rush to buy sends prices upward.

Bitcoin (BTC) Price History log scale with reward halving days marked

Source: https://twitter.com/ChartsBtc/status/1199458935591198721Figure 9

BTC PriceHalvings

Bitcoin Price History - Log Scale with reward halving days marked

$0

$1

$10

$100

$1,000

$10,000

$100,000

$1,000,000

$10,000,000

1/3/2009 Genesisblock established

50 New BTC createdevery 10 minutes

10,500,500 BTCcreated 1/3/09-11/28/12

25 New BTC createdevery 10 minutes

10,500,500 BTCcreated 11/28/12 - 7/9/16

12.5 New BTC createdevery 10 minutes

10,500,500 BTCcreated 7/9/16-2020 halving

6.25 New BTC createdevery 10 minutes

10,500,500 BTC2020-2024

1st Halving11/28/2012

$12.22

2nd Halving7/9/2016$657.61

3rd HalvingMid- 2020

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023

Bitco

in Pr

ice - L

og Sc

ale

Gold & BTC Correlation: 30-day moving average of daily returns

Source: Bloomberg Gold LNPM Index, CoinDesk BPIFigure 8

1

0.8

0.6

0.4

0.2

0

-0.2

-0.4

-0.6

-0.8

-1

Jan 15 Jul 15 Jan 16 Jul 16 Jan 17 Jul 17 Jan 18 Jul 18 Jan 19 Jul 19

90-day correlation Average correlation, all-time

Gold & BTC correlation: 30-day moving average of daily returns

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2012 was the first year in which market participants were able to witness how the market would react to Bitcoin’s unorthodox supply schedule. As the graph above demonstrates, the price begins to rise shortly after each halving.

It is expected that this imminent halving will have an even more significant effect on Bitcoin prices than before, due to the overall market growth and maturity that has taken place since the last two halvings. As top cryptoasset pairs remain highly correlated, any increase in the price of Bitcoin is likely to have a positive effect on asset prices in the rest of the market.

The market has likely bottomed out On-chain data appears to indicate that the market has bottomed and investors have ‘bought the dip’. On-chain transactions refer to cryptoasset transactions that occur on the blockchain. Transactions larger than $100,000 are a good indication of price movement.

Following the Bitcoin price bottoming in March, these transactions continued to decrease until the 15th. Thereafter, there has been a steady climb of 57.5%. The volume traded was also significantly higher, increasing from $3.86 billion to $6.39 billion.

The In/Out of the Money indicator from the IntoTheBlock platform shows historical behavior of ‘In the Money’, ‘At the Money’ and ‘Out of the Money’ addresses over time. It is calculated by analyzing the on-chain addresses that have a specific cryptoasset balance and calculating the average purchase price. If this price is less than the current spot price, this is regarded as in the money and if less, than out the money. At the money addresses are an indication of break-even prices.

As investors rushed to sell their assets during the recent downturn, one can observe that the ‘Out of the Money’ addresses ie. investors who held, reached new highs of around 60% - something not seen since the beginning of 2019. Contrarily, the percentage of addresses ‘At the Money’ went from 12% on March 12 to 1% on the 13th. However, that same value surged back to 16% as the price climbed back, indicating potential new entries at low prices on March 16.

There has also been a significant drop in the amount of Bitcoin transfers to exchanges, dropping to the lowest level since August last year. This indicates a decrease in the number of holders wanting to sell.

Investors usually move assets to exchanges during bear markets and withdraw them during upswings. Large increases in exchange inflows are usually seen ahead of big price drops. For example, assets began flowing into exchanges at a faster rate starting from March 8 – four days ahead of the 40 percent crash observed on March 12.

Number of large transactions

Source: intotheblock.com

Figure 10

0.05%

12k txs

8k txs

4k txs

9-03-2020 10-03-2020 11-03-2020 12-03-2020 13-03-2020 14-03-2020 15-03-2020 16-03-2020 17-03-2020 18-03-2020 19-03-2020

Number of Large Transactions: 6.14k txs

Number of Large Transactions: 9.67k txs

Price: $5,537.92 Price: $5,843.66

Sunday, Mar 15, 2020 Thursday, Mar 19, 2020

Bitcoin: Exchange Deposits (7d Moving Average)

Source: glassnode.com

Figure 11

32k

30k

28k

26k

24k

22k

20k31 Mar 202019 Mar 202013 Mar 202007 Mar 202001 Mar 202024 Feb 202018 Feb 2020

Number of Transfers To Exchanges

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RegulationThe market this quarter was dominated by news of COVID-19 and the effect of the virus on global markets. There were, however, some significantly positive regulatory changes for the cryptoasset class that occurred.

In South Korea, the National Assembly voted unanimously to introduce a landmark bill to legalize and regulate cryptocurrency exchanges and trading. Meanwhile, India’s Supreme Court passed a ruling that overturned the Reserve Bank’s ban on the internal cryptocurrency market. Given South Korea’s unmatched per-capita appetite for cryptocurrency and India’s economic and demographic weight, both rulings will likely have the effect of significantly increasing the volume traded in the crypto market - as well as providing more safety and trust within the space.

There was also an uptick in central banks either launching or investigating their own digital currencies. Both the Bahamas and Sweden began testing their own central bank digital currencies, with numerous countries in Europe and China said to follow soon. This is positive news for cryptoassets as it paves the way for further institutional and retail interest.

Additional positive news followed as both Hong Kong and Abu Dhabi adjusted their cryptocurrency regulations to align with the Financial Action Task Force (FATF). In the United States, financial regulators had meetings with major stablecoin projects in a bid to better understand the industry. Over in Italy, Banco Sella bank opened Bitcoin trading to their 1.2 million customers.

Though the resultant positive price movements were dampened by the coronavirus-induced sell-offs, these were significant steps made for the industry, with benefits that are likely to be seen in the coming months.

ConclusionAlthough one cannot predict how widespread, deep or lasting the economic fallout from the coronavirus will be, one can be sure that there will be a recovery. Any investor who makes wise investment choices during this time, may realize stellar returns over the next bull run. As Warren Buffet said, “be greedy when others are fearful”. This report shows that having some cryptoasset exposure can greatly enhance the risk-adjusted returns of an investor’s overall portfolio.

2. C20 in ReviewC20 started the quarter on a high note as it increased by an incredible 53.48% in January. It was, however, not left unscathed from the coronavirus-induced sell off and experienced a 30% loss in March. Regardless, by quarter end, C20 had outperformed 10 of the top 20 cryptoassets and ended the quarter 0.59% higher. The fund outperformed leading cryptoasset Bitcoin by 11.08%, the S&P 500 by over 20% and the Dow Jones by over 23%.

Monthly Returns for Q1 2020

Jan 2020 Feb 2020 Mar 2020 Q1 2020

C20 53.48% -5.80% -30.86% 0.59%

BTC 29.98% -8.03% -25.13% -10.50%

ADA 63.78% -11.62% -35.73% -6.98%

LTC 64.20% -13.76% -32.87% -4.93%

XRP 24.02% -3.36% -24.50% -9.50%

ETH 39.00% 22.03% -39.24% 3.07%

Q1 2020 Percentage Returns

Source: Invictus Capital

Figure 12

50%

75%

25%

0%

-25%

C20 ETH BCH XRP BTC LTC EOS BNB BSV XTZ XLM TRX ADA LEO DASH XMR HT LINK NEO ETC IOTA

Figure 13

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Asset Days (top performer)

Percentage time (top performer)

C20 83 91.21%

BTC 3 3.30%

Total Market Cap 5 5.49%

Total 91 100%

For the past quarter, C20 has been a top performer for 91.21% of the time versus Bitcoin being a top performer for only 3.3% of the time. The above statistics demonstrate that C20 is an extremely effective passive investment vehicle for exposure to the cryptoasset market. It is not practical for an investor to hold all cryptoassets, but C20 provides an excellent and cost effective proxy, outperforming Bitcoin and the total market cap for an increased number of days, whilst providing risk diversification from holding any single asset. Holding C20 is additionally less risky than holding Bitcoin or any other top cryptoasset individually.

Fund Holdings at 31 March 2020

Asset Rank Movement for quarter Amount $ Equivalent as at

31/03/2020 %

ETH 0 11,181.59 $1,479,742 11.84%

BTC 0 191.8 $1,225,211 9.80%

BCH 0 5,563.73 $1,214,142 9.72%

XRP 0 69,50169 $1,202,961 9.63%

BSV 3 7,300.73 $1,202,952 9.63%

01 January 2020 to 31 March 2020 (closing prices) Graph

Source: Invictus CapitalFigure 14

Figure 15

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LTC -1 25,779.14 $1,002,666 8.02%

EOS -1 369,189.38 $811,784 6.50%

BNB -1 62,516.49 $779,267 6.24%

XTZ 2 281,413.74 $449,793 3.60%

LEO 2 398,585.07 $414,013 3.31%

XMR 2 6,987.02 $332,594 2.66%

XLM -3 814,4671.5 $329,882 2.64%

LINK 1 13,9691 $314,416 2.52%

ADA -2 1,0477,716 $313,529 2.51%

TRX -5 2,6901,229 $308,483 2.47%

HT -1 90,618.15 $296,932 2.38%

DASH 7 3,756.14 $243,145 1.95%

ETC -1 46,454.53 $227,535 1.82%

NEO -6 28,491.73 $189,953 1.52%

IOTA -1 1,099,249 $157,787 1.26%

TOTAL $12,496,787 100%

Management FeesManagement fees of 0.5% per annum are charged to the fund. Fund values are recorded daily at 12PM UTC. Average fund values are then recorded for each month. Management fees paid by the fund for the quarter are as follows:

Fee breakdown for Q1 2020

Month Average fund Value (USD) Management fee (USD)

Jan $16,693,191 $6,956

Feb $21,829,153 $9,095

Mar $13,915,405 $5,798

Q1 2020 $21,849

Figure 16

Figure 17

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3. Execution of Fund RulesThe fund was rebalanced on a weekly basis throughout the quarter in adherence with the fund rules. As mentioned in the litepaper, management decisions listed below are made to exclude certain cryptoassets from the index where need be. When a cryptoasset is excluded, the next in line cryptoasset in terms of market capitalization is included in the index.

Exclusions from the C20 index for the quarter

Coin/Token Context

Tether Due to the nature of the project, this was never included in the C20 portfolio.

Mindol Mindol was rejected from the index due to liquidity concerns.

USD Coin Due to the nature of the project, this was never included in the C20 portfolio.

HedgeTrade HedgeTrade was rejected from the index due to liquidity concerns, however it will likely be included once liquidity improves.

Source: Invictus Capital

We manage to minimize slippage in the weekly rebalancing by employing the following strategies:• Rebalancing automatically across all exchanges with best prices being executed first.• Executing trades across multiple exchanges in order to minimize our impact on market prices.• Preventing front running by reporting the rebalance portfolio after the completion of rebalancing trades.

Operational statistics for the quarter

Operational Statistics Data

Rebalances performed during the quarter 13

New coins included for the quarter DASH

Coins falling out of the index during the quarter ATOM

Best performing coins - change in market capitalisation rank DASH (7), BSV (3)

Worst performing coin - change in market capitalisation rank ATOM (-12), NEO (-6), TRX (-5)

Total trade volume for the quarter (USD) for C20Average daily volume (USD) for C20

587,6926,458

Number of assets in index capped by 10% weighting rule.4 at the beginning of the quarter

4 at the end of the quarter

Figure 18

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Proceeds of staking and airdropsGASXLM / Stellar*

Amount USD value

95220,881

$970$853

* Stellar is staked to earn approximately 1% pa, the USD value shown is the staked return valued as at 31 March

4. Outlook and Team Composition

Future OutlookIt is refreshing to witness the constant regulatory strides made within the cryptoasset sector, giving investors much wanted clarity. Though these developments may have been overshadowed by the coronavirus-induced global shut down, we are positive about the growth and maturity being realized within the sector. The outlook for cryptoassets remains strong and we continue to view the asset class as an excellent addition to an investor’s strategic asset allocation.

It goes without saying that these are uncertain times. The unprecedented economic impact that the coronavirus pandemic will have on the global economy will continue to make headlines over the coming months. It is during times like these that the value of having a sound investment strategy in place with intelligent risk-management becomes a necessity

For more information or to invest in any of our other funds, see our website.

TeamTeam - The C20 fund management team is comprised of the following 5 team members. The broader Invictus Capital Team has a strong data science and technology emphasis.

Daniel Schwartzkopff CEO

Mr. Schwartzkopff is currently the CEO of Invictus Capital, a natively digital asset management platform he co-founded with the vision to democratize investment access. Invictus Capital leverages existing public blockchain rails to bring tokenized funds, in a variety of asset classes, to a new, global generation of investors.

Daniel is a serial entrepreneur and previously founded several other ventures, such as DataProphet, a World Economic Forum 2019 Tech Pioneer that develops artificial intelligence solutions for manufacturing. It has a prestigious list of clients including

BMW and Mercedes-Benz. His involvement in the DLT sector began in 2014 when he launched the world’s first licensed Bitcoin sports betting platform which was subsequently acquired by Cloudbet. He has been featured in everything from CNBC and Forbes to the Wall Street Journal. He holds an honours degree in Chemical Engineering from the University of Cape Town

Bobby Jonker Fund Manager

Experienced fund manager with a demonstrated history of working in the financial services industry.

Specialising in insurance and investment management mainly focused on core audit & assurance. He has gained significant exposure to Hedge funds, Asset management, private equity, structured finance, alternative finance transactions and special purpose vehicles.

Figure 19

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Steven Williams Strategy and Operations Director

Chartered accountant with 20 years executive experience in scaling businesses in financial services, healthcare, real estate and NGO sectors.

Mr Williams has extensive operational experience in all functional areas.

Nick Hill Vice President of Business Development

Experienced financial services professional with a background in financial engineering and FinTech. Nick’s skills and expertise include financial instrument valuation, financial modeling, and start-up valuation.

Nick is a chartered accountant and a Chartered Financial Analyst. He holds a Masters in Finance from the University of the Witwatersrand.

Zulekha Cara Fund Analyst

Zulekha holds a BCom Honours degree in Financial Analysis and Portfolio Management from UCT. She is an avid entrepreneur who has worked in the financial services, FMCG and cryptoasset industries. She has been trading and mining cryptoassets since early 2015 and has been actively involved in both blockchain and cryptoasset education and consulting initiatives.

References1. Down 26%: Bitcoin Sees Worst Sell-Off in 7 Years as Coronavirus Spurs Flight to Safety

https://www.coindesk.com/down-26-bitcoin-sees-worst-sell-off-in-7-years-as-coronavirus-spurs-flight-to-safety

2. Stock market live Tuesday: Dow drops 410 points, down 23% in 2020, Worst first quarter ever

https://www.cnbc.com/2020/03/31/stock-market-today-live.html

3. 2019 Crypto Hedge Fund Report

https://www.pwc.com/gx/en/financial-services/fintech/assets/pwc-elwood-2019-annual-crypto-hedge-fund-report.pdf

4. Yale Invests in Crypto Fund That Raised $400 Million

https://www.bloomberg.com/news/articles/2018-10-05/yale-is-said-to-invest-in-crypto-fund-that-raised-400-million

5. Canada's FBC Bitcoin Trust Receives Status as Mutual Fund Trust

https://www.cryptoground.com/a/canada-fbc-bitcoin-trust-receives-status-as-mutual-fund-trust

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6. Pension Funds Double Crypto Asset Exposure in Morgan Creek’s Fund to 1%

https://www.coindesk.com/pension-funds-double-crypto-asset-exposure-in-morgan-creeks-fund-to-1

7. Andreessen Horowitz Looks to Double Down on Crypto With New $450M Fund

https://cointelegraph.com/news/andreessen-horowitz-looks-to-double-down-on-crypto-with-new-450m-fund

8. Investors have been plowing money into bitcoin since the start of the US-China trade war

https://www.businessinsider.co.za/bitcoin-safe-haven-gold-during-us-china-trade-war-2019-8?r=US&IR=T

9. Bitcoin, gold and oil surge as US air strike kills Iran’s top general

https://coinrivet.com/bitcoin-gold-and-oil-surge-as-us-air-strike-kills-irans-top-general/

10. The Federal Reserve just pledged asset purchases with no limit to support markets

https://www.cnbc.com/2020/03/23/fed-announces-a-slew-of-new-programs-to-help-markets-including-open-ended-asset-purchases.html

11. IntoTheBlock resources

https://www.intotheblock.com/resources/

12. Investors have regained confidence in Bitcoin thanks to price recovery, suggest data – CoinDesk

https://oltnews.com/investors-have-regained-confidence-in-bitcoin-thanks-to-price-recovery-suggest-data-coindesk

13. Whale Watching: Exchange Data Contained Early Warning of Thursday’s Bitcoin Dump

https://www.coindesk.com/whale-watching-exchange-data-contained-early-warning-of-thursdays-bitcoin-dump

14. South Korea passes one of the world’s first comprehensive cryptocurrency laws

https://techcrunch.com/2020/03/05/south-korea-passes-one-of-the-worlds-first-comprehensive-cry1tocurrency-laws/

15. India’s top court strikes down curbs on cryptocurrency trade

https://www.bloomberg.com/news/articles/2020-03-04/india-s-top-court-strikes-down-curbs-on-cryptocurrency-trade

16. Sweden Is Testing Its New Central Bank Digital Currency

https://cointelegraph.com/news/sweden-is-testing-its-new-central-bank-digital-currency

17. Hong Kong and Abu Dhabi Change Crypto Regulations to Align With FATF

https://cointelegraph.com/news/hong-kong-and-abu-dhabi-change-crypto-regulations-to-align-with-fatf

18. CFTC Holds Meeting to Learn All About Stablecoins

https://cointelegraph.com/news/cftc-holds-a-meeting-to-learn-all-about-stablecoins

19. Italian Bank Opens Bitcoin Trading to 1.2 Million During Lockdown

https://cointelegraph.com/news/italian-bank-opens-bitcoin-trading-to-12-million-during-lockdown

DisclaimerThis report does not constitute investment, legal, tax or other advice and is supplied for information purposes only. The information, data, analyses, and opinions presented herein are provided as of the date written and are subject to change without notice. Every effort has been made to ensure the accuracy of the information provided, but Invictus Capital makes no warranty, express or implied, regarding such information. The information presented herein will be deemed to be superseded by any subsequent versions of this commentary. Except as otherwise required by law, Invictus Capital shall not be responsible for any trading decisions, damages or losses resulting from, or related to, the information, data, analyses or opinions or their use. Past performance is not a guide to future returns. The value of cryptoassets within the CRYPTO20 fund, as well as the C20 token, may go down as well as up and C20 token holders may not get back their value purchased. Reference to any specific security or token is not a recommendation to buy or sell that security or token. This document contains certain forward-looking statements. We use words such as “expects”, “anticipates”, “believes”, “estimates”, “forecasts”, and similar expressions to identify forward-looking statements. Such forward-looking statements involve known and unknown risks, uncertainties and other factors which may cause the actual results to differ materially and/or substantially from any future results, performance or achievements expressed or implied by those projected in the forward-looking statements for any reason.