Elevated drawdowns across the D-Series.
Several D-Series strategies, including ARES, are currently in elevated drawdown. Most of it is unrealized, risk limits remain fully in force, and targeted system adjustments roll out before the end of June. Here’s what is driving it, and how we are managing it.
What is happening
Several of our D-Series strategies, including ARES, are currently experiencing elevated drawdowns. Importantly, these did not arise in a single session. They have built progressively over recent months, and a meaningful portion remains held in unrealized P&L — largely from positions opened during the market dislocation in February and March. Because those positions are still open, their effect can fluctuate until the trades are reduced or closed.
This is an elevated, largely unrealized drawdown — not a realized loss and not a breach of limits. Risk controls remain fully in force, we are not adding exposure to chase a recovery, and targeted adjustments are already on the way.
What is driving it
Most D-Series systems use mean-reversion subsystems, which are built to benefit when statistically extended currency and commodity moves normalize. They can draw down when markets keep trending beyond their expected reversion ranges, or extend repeatedly after only small corrections. In rare cases that trending behaviour shows up across most markets at once — a correlation collapse — so strategies that are normally only loosely related begin to move together. Such phases signal market stress, but they do not usually persist for long.
Our risk stance
Defined risk limits take precedence over recovery. We are not adding exposure to chase back drawdowns; capital preservation and disciplined exits come first, and each D-Series strategy stays within its own risk thresholds. The macro backdrop — shifting rate expectations from the Fed, the Bank of England and the RBA, volatile commodities and divergent policy — has kept currencies unusually sensitive, which is exactly the environment that raises cross-strategy correlation.
The adjustments coming
Before the end of June we begin deploying targeted improvements to the most affected systems, applied selectively so each strategy’s architecture is preserved:
- Regime-transition detection — stronger identification of shifts from mean-reversion into sustained momentum.
- Correlation-aware allocation — more conservative sizing when cross-system correlations rise.
- Aging-position controls — tighter management of adverse positions held beyond their expected horizon.
- Common-factor limits — improved caps on shared exposure across otherwise distinct systems.
- Earlier de-risking — portfolio-level de-risking that engages sooner once losses begin to correlate.
Read the full update
The complete stakeholder update — market environment, risk action and disclosures — is available in English and Czech.