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Alternative Market Briefing

The Corona Fighters Report 40: Asset managers who delivered in the downturn

Thursday, June 04, 2020

amb
B. G., Opalesque Geneva:


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


Still beating the S&P

As of May 26, Thompson Capital's US Equity Smart Index has returned +28.5% in 2020 after posting strong results during both the March crash and the subsequent bounce. Since inception in November 2016, the strategy has posted roughly double the return of the S&P 500 with less volatility and negative down capture - annualising 22.7%, compared to the S&P's 11.6%.

Meanwhile, TCM's Alpha Seeker strategy has returned +8.6% YTD while outperforming the S&P 500 over the past five years with nearly 0% correlation.

Based on a proprietary process for defining volatility environments, both strategies dynamically adjust market exposure using S&P 500 and VIX investments. Smart Index is a core allocation seeking to provide cost-conscious risk-managed S&P 500 exposure while Alpha Seeker is an alternative exposure seeking low correlation and absolute returns over each market cycle.

"Markets find themselves caught in the middle of an epic gladiator match between liquidity and solvency," says a monthly commentary reviewed by Opalesque. "[Our strategies] are in a good position to watch from a safe distance until markets eventually declare a winner."

Both strategies are managed by brothers Mike and Matt Thompson of Thompson Capital Management, a Chicago-based investment adviser specializing in risk-responsive investments.

Matt Thompson will present the strategies in The Corona Fighters webinar's Episode 3, on June 23rd at 10 am EST.


High conviction across Europe

The Argonaut European Absolute Return Fund is up 21.3% YTD after returning +15.6% in March and -1.5% in April - and +34.4% over the last 12 months.

The equity long/short fund aims to provide absolute returns in sterling from European markets utilising a variety of asset classes and regardless of market conditions. The fund is a high conviction portfolio and can invest across the pan-European region. It was launched in February 2009.

Barry Norris founded London-based Argonaut Capital Partners in 2005 and manages the fund, as well as two other European-centric funds.

"During the month, we took profits from previously successful shorts, selectively added cyclicality to the long book and increased our net exposure," says the fund's April report reviewed by Opalesque. "Our correlation to the market increased from negative to zero; fund volatility fell to 20% (from 30%) with market volatility falling to 21% (from 52%). Without correctly anticipating the policy-induced rekindling of risk appetite, the fund would have given up recent hard-won gains. It is also worth noting that it is our experience that the fund's headline net long position significantly overstates its beta adjusted market exposure and is necessary to avoid an undesired negative correlation to a probability adjusted more benign market outlook."

Some of the winners in the long book include Amazon, Just Eat Takeaway, and Russian gold miner Polyus. Among the shorts, the fund scored some notable successes with Norwegian Air Shuttle and Wirecard.

"Markets have fallen a long way, the policy response has been unprecedented and the public health rationale for continued lockdown tenuous, yet western civilisation has become more polarised and as such, there is a wide range of outcomes which require hedging," the manager says. "We conclude in Dickensian prose: "it was the best of times, it was the worst of times, it was the age of foolishness, it was the epoch of belief, it was the season of Light, it was the season of Darkness, it was the spring of hope, it was the winter of despair"."


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Last issue of The Corona Fighters Report: Report 39.

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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