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Alternative Market Briefing

The Corona Fighters Report 24: Asset managers who delivered in the downturn

Thursday, May 07, 2020

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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.


Pure AI focus

RISE Wealth Technologies' flagship, the Volatile Special Opportunities Program (VSOP), has had a second month of strong performance. After returning +23% in March, it gained +2.3% in April and it is up +21.8% YTD. It has returned a total of 78% since its inception in July 2016.

VSOP is a systematic multi-strategy program. The fund is composed of a balanced portfolio consisting of S&P 500 futures and treasuries with a duration risk of circa five years. It also trades overlay strategies on situational patterns.

"At RISE, we are very much committed to a pure AI focus," says CEO and co-founder Stefan Tittel. "The use of machine learning algorithms to generate thousands of possible strategies is paired with a validation process that makes use of machine learning to cull all but the most robust. Importantly, from a performance perspective, what these past two months have demonstrated is VSOP's ability to generate alpha irrespective of market volatility."

"After February's turmoil, markets struggled to fully recover despite a three-day historical bull run where the S&P 500 recovered about 15% in the third week of March," he tells Opalesque. "Although there were no major drawdowns, the Covid-19 pandemic outbreak continued to dominate equity market sentiment. During the period 28th February to 31st March, the portfolio traded long volatility during stress periods and short volatility during equity recovery phases. Both long (+20.91%) and short (+5.57%) volatility overlay strategies contributed positively to the program's performance. In total the overlay strategies contributed +26.48%. The long S&P 500 and Treasury component of the portfolio contribute -3.27%. VSOP closed the month of March with a gross performance of +23.21%."

While the fund currently has $30m in AuM, a further $500m in capital inflows is expected to be allocated in June.

RISE Wealth Technologies is an AI (artificial intelligence) investment technology firm based in Munich, Germany. Since the beginning, in 2012, the firm has been focusing on a systematic, algorithmic driven investment process underpinned by proprietary technology and quantitative approaches such as machine learning.


Capital preservation through S&P options trading

Warrington Asset Management's Strategic Fund returned +0.13% in March and -0.47% YTD. It has annualized +9% since 1997, compared to the Barclay CTA index's +3.45%.

The fund trades S&P index option combinations. Warrington uses technical and fundamental market analysis to form a market opinion and then uses combinations of options to express that opinion. By trading only around the front-month options expiration, Warrington is able to keep its positions very short-term in nature, usually lasting only four to six weeks in duration.

Warrington's other product, the Tactical Program, returned +0.01% (est.) in March and is flat YTD. It has annualised +7.2% since May 2012, compared to the Barclay CTA index's +0.80% during the same period.

The trading program uses a fundamental, discretionary trading strategy based solely on S&P 500 futures options. The short-term trading strategy sells options, usually one or two weeks before expiration, which are deep out-of-the-money to capture small, consistent profits, with disciplined risk management to protect against adverse market moves. The option trades are spread across multiple serial, quarterly, end-of-month and weekly expirations, providing additional diversification.

Warrington Asset Management is a discretionary macro volatility trading firm based in Dallas, Texas. The founder Scott Kimple began trading for Shearson Lehman in 1990 under Stan Finney. Shearson sponsored Warrington's launch in 1997. The firm currently manages $435m.


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Last issue of The Corona Fighters Report: Report 23.

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

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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.

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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: 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.

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