Market Analysis

Top Performing Funds from March 2020 to March 2021

The twelve months after the Covid-19 sell-off produced some of the strongest returns on record. This page compares four equity indices, the largest mutual fund and the largest hedge fund over that period, ranked on return and risk together, and explains what the result does and does not tell you.

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This page covers:The resultWhat was comparedHow the ranking worksReading the period
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Key finding
The Russell 2000 Growth index ranked first of the six assets compared, with an annualised return of 100.81% and the best maximum drawdown of the group. The HFRI Equity Hedge (Total) Index ranked second and the NASDAQ 100 third. Bridgewater Pure Alpha 12% Strategy had a negative annualised return but lower risk metrics, and ranked fourth.

What Was Compared

The analysis used the Compare Assets feature in AlternativeSoft to set indices and funds side by side over March 2020 to March 2021.

AssetType
S&P 500Equity index
NASDAQ 100Equity index
Russell 2000 GrowthEquity index
HFRI Equity Hedge (Total) IndexHedge fund index
Vanguard Total Stock Market Index Fund Admiral SharesLargest mutual fund by assets
Bridgewater Pure Alpha 12% StrategyLargest hedge fund by assets, and the largest fund of Bridgewater Associates

How the Ranking Was Built

Ranking on return alone rewards whichever asset took the most risk. The comparison therefore used a weighted ranking of four statistics, with half the weight on return and half on risk.

StatisticWeight in the ranking
Annualised return50%
Normal monthly VaR25%
Annualised volatility12.5%
Maximum drawdown12.5%
Statistics computed between March 2020 and March 2021 for four indices, a mutual fund and a hedge fund
Statistics computed between March 2020 and March 2021. Source: Eurekahedge, Morningstar, AlternativeSoft.

How to Read This Period

  • The start date does a lot of work: March 2020 was the low point of the Covid-19 sell-off, so a twelve-month window from that month captures the whole rebound and none of the fall.
  • High-beta assets lead rebounds: Small-cap growth stocks fell hard and recovered hardest, which is why the Russell 2000 Growth leads on return.
  • The weights decide the middle of the table: A fund with a negative return can still place fourth of six when half the ranking rewards low risk.
  • One period is not a verdict: The same six assets ranked over a different window would produce a different order.

Run the Same Comparison on Your Own Funds

The method matters more than this particular result. In AlternativeSoft you can choose any funds and indices from a database of 500,000+, set the period, pick from 4,000+ statistics and weight them to reflect what your committee cares about.

This article is for information and education only. It is not investment advice or a recommendation to buy, sell or hold any investment. Past performance is not a guide to future returns. Based on analysis by Vincenzo Taddeo, first published by AlternativeSoft in March 2021.

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FAQ

Frequently Asked Questions

Of the six assets compared, the Russell 2000 Growth index ranked first, with an annualised return of 100.81% and the best maximum drawdown of the group.
They were ranked on a weighted combination of four statistics: 50% annualised return, 25% normal monthly VaR, 12.5% annualised volatility and 12.5% maximum drawdown.
Half of the ranking weight was placed on risk measures. Bridgewater Pure Alpha 12% Strategy had a negative annualised return over the period but lower risk metrics than several of the other assets.
No. The period begins at the low point of the Covid-19 sell-off, which favours assets that rebounded most. Past performance is not a guide to future returns.
Yes. The Compare Assets feature in AlternativeSoft lets you select any funds and indices, set the period and choose and weight the statistics used for the ranking.
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