Sat, Jan 23, 2021
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

The Corona Fighters Report 23: Asset managers who delivered in the downturn

Wednesday, May 06, 2020

amb
B. G., Opalesque Geneva:


Amid the current market turmoil, this is our regular report on hedge fund and alternative asset managers who are bucking the trend.


Rigorous scientific process pays off

Five of the seven systematic programs managed by Rotella Capital Management returned positive numbers in Q1 and in April 2020.

"We continue to maintain our discipline of capital protection while generating alpha in light of the enormous volatility presently influencing global financial markets," says managing director Dean Crowder III in an investor communication seen by Opalesque. "The introduction of machine learning / artificial intelligence models in the majority of these programs at the end of 2018 contributed to very strong performance during 2019, and now in 2020."

Rotella Capital Management (RCM) was founded in 1995 and is built on the vision of Robert Rotella, one of the early pioneers in bringing a purely systematic approach to investing in the futures space. The firm is based in Bellevue, WA.

CEO Jagdeesh Prakasam will participate in the second episode of The Corona Fighters webinar series, on May 19 at 10am EST. Details below.

The Qdeck Rotella Systematic Trend Program is up +19% YTD after returning +8.8% in March and +3% in April. It has annualised 10.6% since its January 1991 inception. The program uses a multi-model, multi-time-frame approach to invest in global commodity, interest rate, equity index and foreign exchange markets using statistical and machine learning models, and was formerly known as Rotella Polaris Program. The Program was launched in 1991 based upon Robert Rotella's quantitative study of price trends in global markets and disciplined risk management methodology.

The Qdeck Rotella Short-term Momentum Program is up +9.6% YTD after returning -2.4% in March and +2.4% in April. It has annualised +5.2% since its July 2006 inception. It is a futures program designed to identify and capitalise on short-term price movements in global commodity, interest rate, equity index and foreign exchange markets. It was formerly known as Rotella Aquarius Program. The program contains a blend of ideas looking to capture breakout and mean reversion behaviour in the shorter time horizon using statistical and machine learning models.

The Qdeck Rotella Equity Tail Diversifier Program is up +11.5% YTD after returning +15.5% in March and -0.14% in April. It has annualised 7.2% since its December 2008 inception. It is a systematic futures program that is designed to identify and capitalize price movements in both bull and bear markets in equity index futures across the globe. The program was formerly known as Rotella Eta Carinae Program. The models are a blend of ideas looking to capture trend, breakout and mean reversion behaviour in the short and medium-term time horizon.

The Qdeck Rotella Tactical Long-biased Volatility Program is up +12.7% YTD after returning +14.5% in March and -0.4% in April. It has annualised 8.5% since its November 2018 inception. It uses a rules-based systematic approach to trade volatility futures with an equity hedge. It is a combination of an opportunistic long-short system trading VIX futures contract hedged with E-Mini S&P 500 futures, an opportunistic long-short system trading VSTOXX futures hedged with Euro STOXX 50 futures, and long-only positions in each of the assets.

The Qdeck Rotella ML Long-only Volatility Program is up +15.6% YDT after returning +12.6% in March and +2.1% in April. It has annualised 9.2% since its September 2018 inception. It uses machine learning to maintain long volatility futures positions hedged with equity futures.

RCM's research team has extensive experience building sophisticated investment products in both the futures and securities spaces. The ideas used in these programs are an eclectic combination from across the scientific spectrum.

In late March, the team undertook the analysis of existing available data on daily deaths caused by the SARS-CoV2 virus and used that in conjunction with simple models to predict the evolution of the disease in several geographical areas.

They have been updating their data regularly since then. On Monday, the team announced: "The good news is that all the regions, except just two, are passed the peak of the outbreak."


Source: Rotella Capital Management



Source: Rotella Capital Management


Hedge fund managers, market academics, and risk experts are channeling their data-mining smarts to the world of clinical sciences to model the trajectory of the pandemic, Bloomberg reported on April 27. Some are doing so formally in their investing strategies, others are teaming up with non-profit organisations driven by a sense of civic duty.


***

Last issue of The Corona Fighters Report: Report 22.

To see all past reports, type Corona Fighters in our search engine: www.opalesque.com/index.php.

***

Disclaimer: This is not investment advice. Opalesque has not verified this information and gives no warranty of accuracy or completeness. Past performance is not indicative of future results. See our Terms & Conditions for more information.

***


WEBINARS:

VIDEO REPLAY of CORONA FIGHTERS - Episode 1 webinar:

Watch the replay here: www.opalesque.com/webinar/#pw4

Meet five Managers and learn how and why their strategies delivered positive returns and/or protected capital during the Corona led market meltdown in one hour!

"A well-chosen topic of discussion and a great set of speakers to hear and learn from."
"I enjoyed the webinar and found the introduction to the strategies to be diverse and insightful.
"Very resourceful and insightful."

700 people registered for the CORONA FIGHTERS - Episode 1 webinar.


Don't miss EPISODE 2

Time: Tuesday, May 19th at 10 am EST
Register: https://www.opalesque.com/webinar/

You will be able to tune in to this webinar from any computer, tablet, or smartphone. The webinar will be recorded - in case you are not able to join, all registered participants will be provided a link to replay the webinar.

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. SPACs: Jeremy Grantham: "SPACs should be illegal", Spacs may fuel European IPO boom, SPAC IPOs surge, The SPAC pop is now a thing: More unicorns getting on board, Paysafe readies $9bn IPO Via SPAC[more]

    Jeremy Grantham: "SPACs should be illegal" Special-purpose acquisition companies (SPACs) should be illegal, according to Jeremy Grantham, as they escape regulatory oversight and encourage the "most obscene type of investing." Grantham is the co-founder and chief investment strategi

  2. News Briefs: What if data scientists had licenses like lawyers?, Next generation behind family offices' ESG push[more]

    What if data scientists had licenses like lawyers? From Bloomberg: Data scientists, if they're poorly qualified or act irresponsibly, can do at least as much damage as lawyers and doctors. The algorithms they create can ruin lives, aggravate social divisions, even facilitate genocide.

  3. SPACs: SPAC costs are 'far higher' than previously realized, study finds, Jim Cramer recommends profit taking in speculative electric SPAC names.[more]

    SPAC costs are 'far higher' than previously realized, study finds From Institutional Investor: The costs of going public via a special-purpose acquisition company are both "opaque and far higher" than previously recognized, new research shows. SPAC shares tend to drop by one third or

  4. Institutional Investors: Pensions swamped in a sea of negative real rates, Bahrain's pension fund authority faces collapse[more]

    Pensions swamped in a sea of negative real rates From FA Mag: Defined-benefit pension plans were already barely treading water heading into 2020. In the years ahead, the risk is as great as ever that a large swath of them will drown. As the name implies, defined-benefit pensions promis

  5. New Launches: Lesser-known Tiger Seed launches long-only fund, Bill Gates-led fund raises another $1bn to invest in clean tech, Claret Capital strikes initial close for first fund since spinout from Harbert[more]

    Lesser-known Tiger Seed launches long-only fund From Institutional Investor: A hedge fund whose largest investor is Julian Robinson Jr.'s Tiger Management has launched a long-only fund as part of a larger reshuffling of its investment vehicles. Tiger Legatus Capital Management, a so-ca