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Analysis of the Momentum Strategy on Hedge Funds from 2020 to 2021

We selected the 5 funds with the highest 2020 returns to see if a simple momentum would have worked in 2021.

Using data from HFR and Eurekahedge, we selected the top performing funds of 2020. These funds generate returns between 149% and 300% in 2020. The best performing hedge fund with a return of 300.45% was SYWLP. However, when we analysed the performance of the same funds in the first quarter of 2021, we found out that their momentum were not carried over. SYWLP has a negative return of -28.47%. Overall, the top 5 funds in 2020 generated an average return of 203.81%, while these same 5 funds in Q1 of 2021 generated an average return of 13.26%.


Table 1: Performance of the top 5 funds in 2020

Table 1: Performance of the top 5 funds in 2020 Sources: AlternativeSoft and Eurekahedge

When we compare the 2021 top-ranked funds, they ranked very low in terms of returns in 2020. For example, the best performing fund in Q1-2021, Loyola Capital Fund Ltd was ranked 82nd in 2020.

Out of the 5 best funds in 2020, only one has managed to stay in the top 5 in 2021 thus far. That is Diversified Trend 1, which in 2020 had returns of 193.20% and still ranked third in Q1-2021 with 82.32%


Table 2: Performance of the top 5 funds in 2021

Table 2: Performance of the top 5 funds in 2021 Sources: AlternativeSoft and Eurekahedge

In conclusion, our very simple and naïve momentum strategy, buying top 5 hedge funds from 2020, did not work in the Alternative Investment industry in Q1-2021.



N.B. This article does not constitute any professional investment advice or recommendations to buy, sell, or hold any investments or investment products of any kind, and should be treated as more of an illustrative piece for educational purposes.


To trial a truly powerful and comprehensive analytic software for investment decisions, fund allocation, and our new, innovative digital due diligence visit alternativesoft.com , call us on +44 20 7510 2003, or email us [email protected]



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