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Alternative Market Briefing

The Corona Fighters Report 25: Asset managers who delivered in the downturn

Friday, May 08, 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.


Crisis has helped to demonstrate the benefits of ESG investment approach

The ECO Advisors ESG Absolute Return Fund (F Class EUR), a long/short equity fund, is up +2.90% YTD after returning +1.23% in April and +1.70% in March. It has returned +4.6% since launch in July 2019 and €59m in AUM.

The fund employs a data-driven ESG-based security selection process to invest in ESG best-in-class companies or companies exhibiting improving ESG metrics in the long book, while taking short positions in ESG laggards and firms that demonstrate deterioration in ESG metrics. Its vehicle is Protea UCITS II SICAV.

It is run by Ethical Capital Opportunity Advisors Limited (ECO Advisors), a new manager based in London, incorporated in December 2017 with the aim to be the leader in data-driven, applied ESG investment strategies in global public equity markets.

"We believe the aftermath of the COVID-19 virus may have profound societal and economic impacts in the coming months and years," says a Q1 newsletter reviewed by Opalesque. "These will also have important implications for equity investors.

"Prior to the crisis, we had heard criticism from ESG skeptics that ESG investment was a "nice to have", but would likely be abandoned by "hard nosed" investors in a time of crisis. Needless to say, so far, nothing has been further from the truth. In fact, this crisis has very much helped to demonstrate the benefits of an ESG investment approach. In a recent article, the WSJ highlighted that "the recent volatility in financial markets due to the coronavirus pandemic could provide investors with more of an incentive to grill companies on nonfinancial (i.e., ESG) risks." As such, we strongly believe that ESG issues are becoming more, not less relevant, as investors look to assess how companies react and respond to the crisis.

"We associate ESG with company-specific superior long term operational risk management, and believe the market will assess companies on this basis and price further differentiation. We have always maintained that companies who excel at ESG tend to be better managed, both operationally and financially. We also find that they tend to have superior corporate risk management as well as stronger balance sheets, and consequently are typically better able to withstand unexpected shocks. In contrast, those companies that ignore ESG considerations tend to be less operationally robust, often use more "financial engineering" to deliver shareholder returns and are often more vulnerable to legal, political and other external shocks. COVID-19 has offered a powerful test of this thesis."


Q1 provided a strong tailwind for trend and momentum strategies

The Eagle Customized Trend (ETC) program is up 13.7% (gross) in the first quarter of 2020, after returning almost 10% in March.

Launched in April 2017, ECT is a multi-strategy quantitative trading investment program that seeks primarily to capitalize on price trends, irrespective of direction. It was designed to identify and take advantage of trend and momentum opportunities over multiple time horizons. ECT combines two of Eagle's longstanding trading strategies providing exposure to tactical trend and momentum and designed to participate across multiple time horizons, applied to a universe of over 40 exchange-traded futures covering interest rates, FX, equity indices and commodities.

It is run by Eagle Investment Solutions, and investment firm that focuses on systematic alternative in global markets based in Princeton, NJ, and founded in 1993.

"Q1 provided a strong tailwind for trend and momentum strategies, although there was a good amount of dispersion in managers' returns," Farzine Hachemian, director of investment strategies told Opalesque. " Most of Eagle's trend and momentum strategies were up including ETC."


Systematic non-trend following

DCM's Diversified Alpha sub-fund is up almost 12% YTD, up to May 4, 2020. It has annualised +12.40% since January 2011. The $73m CTA uses a systematic non-trend following strategy combining a collection of highly diversified quantitative models. These models are based on predictive signals derived from driving economic factors, term-structures of derivatives, and statistical patterns in time series.

It is managed by Jerome Callut at DCM Systematic GP Sarl, a systematic fund management firm based in Luxembourg (not to be confused with New York-based hedge fund Data Capital Management (DCM)).


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Previous issue of The Corona Fighters Report: Report 24.

Opalesque's Corona Fighters reports are open articles. To see all past articles, 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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