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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.

Bearish Returns Opportunity

During March 2020:


  • CTA hedge funds delivered -2.71% on average vs a heftier loss of the S&P500 of -12.35%
  • 90% of the CTA funds outperformed the S&P500. The average outperformance during this month is 9.63%
  • 299 of these funds managed to have positive returns despite the contraction of the financial markets caused by the Covid crisis. The average return among these funds is 5.87%

On the other hand, when we look at the performance of these funds in a normal year like 2019 without significant bearish pressures, the results are not as impressive:


  • CTA hedge funds delivered 7.51% on average vs the strong result of the S&P500 of 31.49%
  • Only 3% of the CTA funds outperformed the S&P500 during 2019

In the long-term, CTA hedge funds do not seem to be a solution that is able to generate higher returns than the S&P500. However, their ability to mitigate bearish pressures must not be underestimated and shows potential to be of great use for diversification purposes.


Bearish Returns Opportunity

AlternativeSoft is an award-winning quantitative analytics software specialising in asset selection, portfolio construction and customised reporting. To find out more or register for a free demo, get in touch with our team.


Tags

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

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