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Alternative Market Briefing

The Corona Fighters Report 39: Asset managers who delivered in the downturn

Wednesday, June 03, 2020

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B. G., Opalesque Geneva:


This is our regular report on hedge funds and alternative asset managers who are bucking the trend by successfully protecting assets or outperforming the markets in the first months of 2020.


A leading AI strategy

The Volatility Special Opportunities Program (VSOP) is up +21.5% as at April 30, 2020.

VSOP uses a systematic multi-strategy approach in the S&P 500 index volatility market with a real-money track record dating back to July 2016. Its total performance since then is +78% - compared to +32% for the S&P500.

The program consists of several proprietary algorithmic and fully automated sub-strategies, according to a document reviewed by Opalesque. Returns among the sub-strategies are low-correlated, internally diversifying the program. VSOP provides an effective intraday and short-term tail hedge, through situative long VIX exposure, while generating positive returns via its long equity bias during bullish market phases.

The manager is Quantumrock GmbH (formerly known as Rise Wealth Technologies GmbH), an AI investment technology company founded in 2012 and based in Munich, Germany. The firm has been, since the beginning, focusing on a systematic, algorithmic driven investment process underpinned by proprietary technology and quantitative approaches such as machine learning. Its philosophy is that markets are not always efficient; anomalies, deviations, irregularities happen all the time. Prices move frequently in patterns, but barely distinguishable from market noise - generally only identifiable by technology through quantitative analysis.

CEO Stefan Tittel will present the fund in The Corona Fighters webinar's Episode 3, on June 23rd at 10 am EST.


Short term corporate and personal lending in Brazil

SCF Brazil, Cayman Feeder SPC is up almost +5% YTD after returning +1.22% in March and +1.22% in April.

SCF specializes in short term corporate and personal lending in Brazil. All loans are secured by guarantees and/or credit insurance. The historical annualised net USD return of SCF is 19% with a Sharpe ratio of 15.95. The extremely high risk-adjusted returns are explained by the truly oligopolistic Brazilian banking market where smaller, nimbler lenders like SCF can lend at highly attractive Brazilian real rates. All known cash-flows are, furthermore, hedged back into the base currency of the fund. The Brazilian legal system allows SCF to legally demand both personal and hard asset guarantees for all loans to ensure timely payments.

SCF Brazil was established in early 2016 focusing on the generation of high-quality receivables where the payors are well-established Brazilian companies. After a legislation change in 2018 and intensive systems-development, SCF recently added loans to individuals as well as government receivables to the portfolio. Presently 15 professionals are employed in São Paulo.

The disarray at the heart of the administration in Brasilia is total and the President is overtly courting a new military dictatorship, says a manager commentary in the fund's latest monthly report.

"The gigantic money-printing market-rigging operation in force in the whole OECD-area did, however, not only create a historical 13.1 % surge in world stocks in April. It also helped the Bovespa to rise by 10.3 % during the month. Therefore, the financial market adjustment to the massive Brazilian instability was expressed in the BRL which continued its inexorable slide against the USD by another 5.6 %. Since 31 Dec. 2019, the BRLUSD has now depreciated by an astonishing 36.6 %.

"Given the environment, SCF is happy to report that we maintain to be well-hedged FX-wise. Furthermore, we are utilising the lack of competition from other lenders not only to steadily raise rates but also to shorten the average duration of the loans."


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Last issue of The Corona Fighters Report: Report 38.

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


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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:

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 an 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 am EST
Details and registration: www.opalesque.com/webinar/ESG/


- Corona Fighters Episode 3

Meet five more asset managers who delivered during the meltdown.

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



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


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