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Research

COVID 19: Why is the equity market
going up and where to invest?

Cumulative returns of domestic equity markets

Source: alternativesoft.com,globalfinancialdata.com


COVID 19 has had an impact across economies and required a robust government response. In March 2020 the U.S. equity market S&P 500 lost -34% in 33 days and quantitative easing has been widespread.

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Berkshire Hathaway lost 1.1b from sales of
shares between March and April

Hedge fund delivery in March 2020

According to SEC filings, the fund lost $750M on Goldman Sachs $145M on Southwest Airlines, $124M on Delta Airlines, $45M on American Airlines and $80M on United Airlines by anticipating the liquidation of the assets.

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Did hedge funds with historically high
Annual Sharpe Ratio outperform the
average hedge funds during March 2020

Hedge fund delivery in March 2020

We selected 32 hedge funds with an Annual Sharpe Ratio greater than 4 during the period Jan2010-Feb2020and with at least $10M of assets under management.

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Bearish Returns Opportunity

Bearish Returns Opportunity

This analysis uses 836 CTA (Commodity Trading Advisor) Hedge Funds and compares their returns in March 2020 and for the year 2019. Data for these funds are provided by NilssonHedge, EurekaHedge and HFR.

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Moves to long-only investing increase demands

European Service Provider 2020 Insights

As the industry witnesses fading differentiations between long-only, private equity and hedge funds, investors are starting to purchase software and databases which combine all these investment types...

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REDUCING DRAWDOWN USING ALTERNATIVES

“Does investment in an active manager provide better drawdown protection than investment in the market?”

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Analysing 2018 Hedge Fund
Performance

“Was 2018 really as bad a year for Hedge Funds as most market commentators have suggested and, if so, which strategies would have been best insulated from the turbulence?”

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Fund Selection using Alternative
Statistics

‘Can we find outperformance using an algorithmic asset selection approach which focuses on lesser used risk and return statistics?’

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Tags

  • Calmar Ratio
  • Rachev Ratio
  • Sharpe Ratio
  • MVaR
  • Asset Selection
  • Hedge Funds
  • CTA
  • Long Short Equity
  • Optimisation
  • Alternative Investments
  • Fund Investment

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