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Month in Review – March 2020

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Stockholm (HedgeNordic) – Nordic hedge funds have taken a hit in last month’s broad market sell-off, with equity funds hit the hardest. Down an estimated 5.4 percent in March (88 percent reported), the Nordic Hedge Index is on track for its worst monthly decline on record. Nordic hedge funds were down 6.9 percent on average in the first quarter of 2020.

Month in Review – March 2020

Four of the five strategy categories in the Nordic Hedge Index posted losses for March. Only CTAs posted gains as a group for the month, but there was wide dispersion in performance among CTAs. Nordic equity hedge funds registered their worst month on record, with last month’s decline of 6.3 percent taking the year-to-date decline to 8.4 percent. Multi-strategy and fixed-income hedge funds were down 5.4 percent and 5.8 percent in March, respectively. Funds of hedge funds lost an estimated 5.9 percent on average last month.

The dispersion between last month’s best and worst performers in the Nordic Hedge Index was notably wide, as bottom performers incurred sharp losses. In March, the top 20 percent of Nordic hedge funds gained 4.0 percent on average, whereas the bottom 20 percent lost 16.1 percent on average. In February, the top 20 percent was up 1.4 percent and the bottom 20 percent lost 6.8 percent. About one in every four members of the Nordic Hedge Index with reported March figures posted gains last month.

Volt Diversified Alpha, a Swedish diversified systematic trading vehicle that uses machine learning and fundamental data to capture price moves across markets, was last month’s best-performing member of the Nordic Hedge Index with a return of 11.3 percent. Volt Diversified Alpha gained 22.5 percent in the first quarter of 2020 and ranks as the best-performing hedge fund in the Nordics in 2020.

Chart by Visualizer

Systematic macro fund Peak Global Macro, meanwhile, gained 10.6 percent in March, trimming its year-to-date loss to 3.3 percent. NS Quant, a Finnish trend-following fund launched earlier this year, was up 10.6 percent last month, extending the year-to-date performance to 11.6 percent. Norwegian discretionary global macro fund FX NOR Global Makro gained 6.7 percent in March and 13.8 percent so far in 2020. Finnish trend-follower Estlander & Partners Alpha Trend advanced 6.2 percent last month, taking the year-to-date gain to 8.4 percent.

Chart by Visualizer

 

The Month in Review for March can be downloaded below:

Photo by Emiliana Hall on Unsplash

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Eugeniu Guzun
Eugeniu Guzun
Eugeniu Guzun serves as a data analyst responsible for maintaining and gatekeeping the Nordic Hedge Index, and as a journalist covering the Nordic hedge fund industry for HedgeNordic. Eugeniu completed his Master’s degree at the Stockholm School of Economics in 2018. Write to Eugeniu Guzun at eugene@hedgenordic.com

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