Portfolio snapshot
US$3.0m invested in a USD multi-strategy fund-of-funds managed by Light Stream Asia and administered by Citco: US$1.0m at inception on 1 Aug 2025 and a US$2.0m add-on dealt 2 Jul 2026, now held as a single Class A Distributing line. Steady, low-volatility absolute return; September returned −0.15% after August’s +0.58%.
The two tranches today
Monthly gain/(loss) and cumulative gain, USD
Monthly history
Every NAV, share count and market value is taken directly from a Citco Market Value Statement. One share line until June 2026; the July statement shows the US$2m add-on (Series 1) alongside the switched original holding (Series 2), which Citco rolled into Series 1 on 31 Jul 2026. Period and inception-to-date returns are time-weighted, so the July inflow does not distort them.
Monthly returns
Cumulative (inception-to-date) return
Subscriptions, switches and roll-ups
Everything that changed the share register, in order, each traced to its Citco contract note or confirmation. Series accounting means new money enters a dated series that later rolls into the lead series — none of the switches created a gain or loss.
Risk-adjusted profile
Statistics
Drawdown (time-weighted NAV basis)
Sharpe sensitivity to risk-free rate
How the portfolio is built
Light Stream Asia reports fund/strategy-level results since the fund's own inception (Dec 2024), which differ from the investor's inception-to-date (Aug 2025) only because of the later start date — quarterly and YTD figures match the Citco statements to the basis point.
Fund-level performance & benchmarks
Source: Light Stream Asia 1Q and 2Q 2026 Investor Letters; Aug 2026 fact sheet.
Return sleeves
Strategy components
Allocation & attribution — 2Q 2026 letter
Weights as of 31 Jul 2026. Underlying returns are net of the underlying managers' fees; contributions are to the GD portfolio's gross return (before Light Stream's 0.75% fee and expenses). YTD/ITD contributions run to 31 Jul 2026.
2026 YTD contribution by strategy (% of gross return)
What the 2Q 2026 letter says
- Credit Yield underperformed: the core middle-market direct-lending fund took an −8.1% Q2 unrealised markdown (half from one software-enabled services borrower); the manager "underestimated the additional credit risk of smaller borrowers". Only 3.7% of the book; no intention to add.
- Global Quant was the largest contributor in Q2 and YTD; exposure expanded via a 75%-vol vehicle after the full-vol fund hard-closed. Merger Arb & Credit Opps (+3.3% Q2) is now closed to new investors.
- Credit L/S +4.4% in Q2 but −2.4% in July on AI-adjacent power/energy longs — "a meaningful portion" recovered in August.
- FIRV cut US basis trades 20–30% and sits at ~80% unencumbered cash; European CLO rebounded but the staged 50% cut stands.
- AMBS is the single biggest allocation — "defensive if an AI-capex bubble bursts". Spreads sit at multi-decade tights (IG 75–80bp, HY 280–300bp).
Actual underlying allocation (May 2026 deck)
Underlying manager track record & look-through Sharpe
Portfolio risk limits vs actual
Audited accounts — FY to 31 Dec 2025
Underlying managers referenced in correspondence
Named managers from emails/diligence files (the letters and deck list strategies, not manager names). Ellington (EMO) is the most actively reported and almost certainly the Agency MBS sleeve.
What the monthly fact sheets reveal
Fund-level monthly net returns since fund inception (Dec 2024)
Gold bars = months before this investor's 1 Aug 2025 entry. Post-entry months match the Citco statements to the basis point — an independent consistency check.
Strategy mix over time (% of gross assets)
2026 return attribution by sleeve (% of gross return)
Fund ITD return & volatility, as reported each month
Portfolio snapshot — latest fact sheet
Fund return profile
Region mix over time (% of gross assets)
Liquidity profile over time
Latest from the manager
Forward-looking colour from investor letters, fund notices, meetings and correspondence — what's changing in the book, the terms, and the pipeline. Each entry links to its source. Most useful for a long-term holder deciding whether to add, hold, or watch.
Structure, holding & fees
Fund
Holding & investor identifiers
Key terms (SP1 Supplement, FINAL July 2026)
Source library
Every figure traces to a primary source. The complete Citco One archive — every monthly statement and fact sheet since inception, every contract note, the audited accounts and notices — is organized below by type and named by period; the manager's letters, notices and the signed forms sit alongside. Click any document to open it.