Buy-side scrutinizes market neutral performance under stress (Premium)

In mid-March, UK financial advisory bfinance’s managing director, Toby Goodworth, wrote that “it’s now time for ‘liquid alternatives’ to stand up and be counted“, noting that markets would hope to see a number of diversifying strategies delivering good results in a crisis.

Results for the turbulent month of March are coming in and the diversification thesis is holding up against one of the worst first quarters for the S&P500, down 12.51% over the month of March and 20% for Q1.

  • eVestment data shows that hedge funds lost an average of -7.25% in March, bringing YTD returns to -9.87%. March’s average loss was the second largest on record, and largest since the height of the global financial crisis in October 2008 when the average fund lost between 8%-9%.
  • Managed futures, market neutral equity and quantitative directional strategies performed relatively well: the Barclayhedge CTA index was up 1.94% and the Systematic Traders Index gained 2.66%.
  • The Eurekahedge Hedge Fund Index registered its strongest outperformance relative to underlying markets since October 2008, outperforming the MSCI AC World Index by 9.22% in March, with long volatility and tail risk hedge funds topping the performance tables for Q1 2020.

At the same time, high-profile funds built on these strategies suffered when volatility spiked, correlations went up and losses mounted. We rounded up key points from buy-side observers speaking at several events about what March performance might indicate for the direction of travel.

This content requires a Finadium subscription. Articles with an unlocked symbol can be accessed with free registration. Log in or create a free account by signing up here..

Related Posts

Previous Post
Reuters: Europe’s banks want regulators to match U.S. leverage plan
Next Post
Media reports: ICBC releases blockchain whitepaper, spotlights China’s CBDC

Fill out this field
Fill out this field
Please enter a valid email address.


Reset password

Create an account