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Alternative Market Briefing

The Corona Fighters Report 42: Asset managers who delivered in the downturn

Tuesday, June 09, 2020

Bailey McCann, Opalesque New York:

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.


Machine Learning pays off

Volt Capital Management's flagship Diversified Alpha Program, which launched in 2017, is up 1.10% in April and is up 23.93% year to date, according to performance information for investors reviewed by Opalesque. The strategy trades a diversified portfolio of liquid futures contracts, covering the main global financial and commodity markets. The program includes a range of time horizons from monthly to intraday and relies on machine learning. The strategy tends to be fundamental in its approach, primarily catching price moves.

The strategy is designed to have a low correlation to traditional assets as well as systemic trading benchmarks because of how it uses machine learning and fundamental data to derive trading signals.

In the first quarter, the portfolio was positioned mostly bearish according to an investor letter reviewed by Opalesque. Returns in FX, fixed income and energy drove outperformance for Q1.

In April, as markets pivoted to a new direction, the program reacted effectively, short positions in soft commodities and long positions in fixed income made the largest contributions. "Markets have seemingly returned to normal, but the economic impact of the Coronavirus pandemic can create further stress in the markets. Active risk management remains key to stable returns," said Patrik Säfvenblad, Volt Capital Management CIO.

European equities outperform

Carmignac's Long-Short European Equities UCITS fund is up 0.21% year to date. The strategy has an annualized return of 7.06%.

The strategy focuses on non-core macro-driven sectors and invests over different time horizons in order to generate outperformance. Core longs can be held for as long as three years, while other positions are held for 3-6 months. The strategy relies on active management of the equity exposure (-20% to +50%) to remain responsive to changes in market conditions. Hedges in addition to shorts are used to limit volatility and downside risk.

The strategy is managed by Malte Heininger, who joined Carmignac in 2014 after roles at Morgan Stanley, Credit Suisse, and SAC Global Investors.

Long bets on pharmaceutical companies generated outperformance in April and May. The fund also added significantly to its short book at the end of the first quarter. In performance commentary for investors reviewed by Opalesque, the fund said its "fraud/aggressive accounting themed positions performed extremely well."

"We are having to juggle our long book between gradually increasing exposure given the quality fundamentals of the companies that we have selected, and being careful as market volatility remains very high," the performance note said, adding that balance sheet strength will be an important determining factor for both long and short bets over the remainder of the year. ***

Last issue of The Corona Fighters Report: Report 41.

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 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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