Analysis of the Momentum Strategy on Hedge Funds from 2020 to 2021 by AlternativeSoft

LONDON--()--We selected the 5 funds with the highest 2020 returns to see if a simple momentum would have worked in 2021.

Using data from HFR and Eurekahedge, we selected the top performing funds of 2020. These funds generate returns between 149% and 300% in 2020. The best performing hedge fund with a return of 300.45% was SYWLP. However, when we analysed the performance of the same funds in the first quarter of 2021, we found out that theirs momentum were not carried over. SYWLP has a negative return of -28.47%. Overall, the top 5 funds in 2020 generated an average return of 203.81%, while these same 5 funds in Q1 of 2021 generated an average return of 13.26%.

Table 1 Performance of the top 5 funds in 2020

Fund Name

Strategy

2020 Return

Rank

2021 Return

Rank

SYWLP

Equity Hedge

300.45%

1

-28.47%

4094

Hayden Capital – USD 1

Long Short Equities

222.44%

2

1.27%

2408

Diversified Trend 1

CTA/Managed Futures

193.20%

3

82.32%

3

Andurand Commodities Discretionary Enhanced Fund, Ltd

Macro

153.59%

4

9.48%

573

Harraden Circle Investors, LP

Event-Driven

149.39%

5

1.69%

2223

Average

 

203.81%

 

13.26%

 

Source: eurekahedge, alternativesoft

When we compare the 2021 top-ranked funds, they ranked very low in terms of returns in 2020. For example, the best performing fund in Q1-2021, Loyola Capital Fund Ltd was ranked 82nd in 2020.

Out of the 5 best funds in 2020, only one has managed to stay in the top 5 in 2021 thus far. That is Diversified Trend 1, which in 2020 had returns of 193.20% and still ranked third in Q1-2021 with 82.32%

Table 2 Performance of the top 5 funds in 2021

Asset Name

Strategy

Return 2020

Rank

Return 2021

Rank

Loyola Capital Fund Ltd

Long Short Equities

54.93%

82

134.33%

1

Imara Zimbabwe Fund- Segregated Portfolio

Bottom-Up

113.25%

10

131.26%

2

Diversified Trend 1

CTA/Managed Futures

193.20%

3

82.32%

3

Senverst Master Fund, LP – USD

Equity Hedge

30.64%

315

67.01%

4

SMI Opportunities LP

Equity Hedge

-8.04%

3755

46.32%

5

Average

 

76.80%

 

92.25%

 

Source: eurekahedge, alternativesoft

In conclusion, our very simple and naïve momentum strategy, buying top 5 hedge funds from 2020, did not work in the Alternative Investment industry in Q1-2021.

N.B. This article does not constitute any professional investment advice or recommendations to buy, sell, or hold any investments or investment products of any kind, and should be treated as more of an illustrative piece for educational purposes.

To trial a truly powerful and comprehensive analytic software for investment decisions, fund allocation, and our new, innovative digital due diligence visit alternativesoft.com , call us on +44 20 7510 2003, or email us information@alternativesoft.com

Contacts

Name: Mitesh Gohil
Phone: +44 20 7510 2003
Email: information@alternativesoft.com

Release Summary

Out of the 5 best funds in 2020, only one has managed to stay in the top 5 in 2021 thus far.

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Contacts

Name: Mitesh Gohil
Phone: +44 20 7510 2003
Email: information@alternativesoft.com