Strategy Heat Map of Kettera for March 2020
In the face of the unprecedented market turmoil caused by the COVID-19 pandemic in March 2020, certain hedge fund strategies emerged as clear winners, while others faced challenges adapting to the extreme market conditions.
Top Performers
Long convexity (long volatility) and relative value volatility strategies were among the top-performing hedge fund strategies during this period. These strategies, which typically profit from increased volatility, benefited significantly from the extreme market dislocations and volatility spikes that occurred during the market crash.
Similarly, discretionary commodities funds often performed well due to sudden commodity market moves and supply disruptions in early 2020.
Global Macro Strategies
Global macro strategies also generally fared well because they capitalize on large macroeconomic shifts and market dislocations, which were abundant during the pandemic onset.
Struggling Strategies
By contrast, systematic trend-following strategies typically performed positively during this period, as they tend to capture sustained market trends in volatile environments.
Equity strategies, however, showed mixed results. Many equity long/short strategies lost money initially due to rapid price drops, but some managed to navigate the volatility better.
AI and machine learning-based quant strategies faced challenges in March 2020 and afterward, as models calibrated on stable pre-crisis data struggled to adapt to extreme market conditions and regime shifts, leading to losses for many quant-focused funds in that timeframe.
Performance Overview
Specific details for March 2020 hedge fund returns by strategy are scarce in the provided search results, but the consensus from industry reviews and historical data indicates the following:
| Hedge Fund Strategy | Performance in March 2020 | |---------------------------------|-----------------------------------------------| | Long Convexity / Volatility | Strong positive performance due to volatility spikes[4] | | Relative Value Volatility | Strong positive, benefiting from volatility[4] | | Discretionary Commodities | Positive, capturing commodity price moves[4] | | Global Macro | Positive, exploiting macroeconomic trends[4][5] | | Systematic Trend | Positive, following market trends during turmoil[4] | | Equity Strategies (Long/Short) | Mixed, some losses due to rapid equity sell-off[1][3] | | AI / Machine Learning Quant | Negative to mixed, struggling with market regime shifts[3]|
Conclusion
In conclusion, long convexity and relative value volatility were the top performers in March 2020, supported by discretionary commodities and global macro strategies, while systematic trend strategies also showed resilience. Equity and more model-driven AI/ML quant approaches encountered more difficulties adapting to that unprecedented market environment[3][4][5].
It is essential to note that the article's views do not necessarily reflect the views of AlphaWeek or its publisher, The Sortino Group.
Sports strategies did not play a significant role in the performance of hedge funds during the unprecedented market turmoil caused by the COVID-19 pandemic in March 2020. In the world of sports, strategies are typically not applied in the same way as they are in finance, making a direct comparison less applicable.
