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Alternative Market Briefing

The Corona Fighters Report 35: Asset managers who delivered in the downturn

Thursday, May 28, 2020

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Bailey McCann, Opalesque New York:

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


Short currencies outperform

Systematic Alpha Management's flagship Systematic Alpha FX Program advanced +1.84% in April, bringing its year-to-date return to +5.45%, according to a performance note sent to investors and reviewed by Opalesque. The fund has an annualized return of +22.20%.

The strategy is a medium-term trading program that uses 80% contrarian and 20% momentum models. The fund focuses on the most liquid FX futures using a proprietary trading system that has been developed in-house over the past eight years and traded live in a managed account for three years. The fund is managed by Peter Kambolin, who was previously at Commonwealth Associates before launching Systemic Alpha Management.

Systemic Alpha's short positions paid off in the first quarter of this year. "Volatility in the currency markets subsided in April compared to March levels, similar to volatility in the equity markets, and the short USD positions against major world currencies which we accumulated in March continued to perform well," the firm said in their April investor letter. "We made some minor adjustments during the month, but for the most part, risk was kept at the same levels."

Peter Kambolin will be a presenter in the upcoming Corona Fighters webinar on June 23.

Market neutral credit

San Francisco-based DCI is a veteran firm in the market neutral credit space. The firm's DCI Market Neutral Credit Fund was up 0.9% in April and is up 2.3% year to date.

The long/short strategy aims to generate absolute returns via idiosyncratic credit selection creating a basket of liquid single-name corporate CDS. The portfolio is designed to be beta neutral and aims to take no rate risk while limiting exposure to other credit risk factors.

Credit funds broadly had uneven performance in the first quarter of this year. During the worst part of the drawdown there were no obvious havens on the credit side. Markets have stabilized following intervention from the US Federal Reserve. Performance of credit hedge funds rebounded in April with that return to relative normalcy.

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Last issue of The Corona Fighters Report: Report 34.

Opalesque's Corona Fighters reports are open articles. 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:

Meet 10 fund managers and learn how and why their strategies delivered positive returns and/or protected capital during the Corona led market meltdown! Each webinar lasts one hour and features five managers.

"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."


VIDEO REPLAY of CORONA FIGHTERS - Episode 1 webinar:
www.opalesque.com/webinar/#pw4

VIDEO REPLAY of CORONA FIGHTERS - Episode 2 webinar:
www.opalesque.com/webinar/#pw5


Video replays of Opalesque's past webinars can be found here: www.opalesque.com/webinar/#pastwebinar


Don't miss our new webinars!


How quants achieve material improvements in ESG investment performance

Time: Thursday, June 18th, 10:00 am EST
Details and registration: www.opalesque.com/webinar/ESG/


Corona Fighters Episode 3

Meet more asset managers who delivered during the melt down

Time: Tuesday, June 23rd, 10:00 am EST
Details and registration: www.opalesque.com/webinar/



Opalesque's upcoming webinars: www.opalesque.com/webinar/


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