Volatility drives performance
After strong performance in the first quarter of 2020, Little Harbor Advisors two strategies top Morningstar’s ETF Managed Portfolios database. Little Harbor US Equity Smart Index leads the pack on both 1-year and 3-year gross returns, while Alpha Seeker holds the top spot for the 5-year gross returns. The strategies ended Q1 with composite gross return of 31.44% (1-year) and 21.64% (3-year) for Smart Index, and 12.05% (5-year) for Alpha Seeker.
“With some of the lowest and highest VIX readings in history, the last 5 years have certainly been a thorough test of the proposition that risk management and preservation of capital in market down-drafts can provide significant performance benefits,” Little Harbor said in an update to investors reviewed by Opalesque. “Our performance year to date proves this isn’t just a flash in the pan.”
Both strategies are designed to take a view of volatility in the market. The U.S. Equity Smart Index Strategy offers exposure to the S&P 500 with a risk management overlay that attempts to preserve capital in times of volatility. The Alpha Seeker strategy is designed to provide uncorrelated returns by quantifying the behavior of volatility and estimating the direction of the S&P 500.
US Smart Equity Index ended March up 19.5% and is up 16.6% YTD. The Alpha Seeker Strategy is up 11.2% in March and is up 12.4% YTD.
Tactical allocations
Swiss fund Tramondo Investment Partners AG benefitted from March volatility by taking the opportunity to make tactical allocations. “A positive contribution came from several areas such as long and short future investing, market-neutral investments (pair trades), US-Treasuries and some trading in Swiss Blue-Chip stocks as well as gold. February and March offered tailwinds and severe headwinds and we were able to adjust our sails to take advantage of the increased volatility,” the fund said in a performance update to investors reviewed by Opalesque. “For the quarter, our top contributors were long US-long dated Treasury futures, long & short futures trading in EURO STOXX 50, FTSEMIB (Italy) and S&P 500, a pair trade (market-neutral) consisting of long S&P 500/short Russell 2000 and gold while our worst contributors were emerging market related positions and single equities.”
Tramondo’s flagship strategy was up in March. GreyJung Global Opportunities was up 2.61% for the month and is up 3.81% YTD. The all-weather long/short strategy invests in equities, fixed income, and commodities.
Looking ahead, the fund expects a very turbulent global market and said in its latest update to investors that it was positioning itself defensively, such that no single asset class will materially impact the portfolio.
India Outperforms
While emerging markets have been hit hard by the recent drawdown, some strategies have been able to outperform. Elysium Investment Advisors flagship India Market Neutral Fund has rebounded after a few turbulent years.
The Elysium India Fund is an India focused, systematic, equity investment fund that looks for high quality Indian companies over a medium-term investment horizon. The fund is up 1.38% in March and is up 3.49% year to date. The fund has been positive for the past 9 months despite growing volatility in emerging markets.
The fund is seeded and co-founded by Amit Patni of the Patni family, a pioneer in the Indian family office landscape. The Patani family owned Patni Computer Systems, which was recently sold for $1.2 billion. Patani is the founder of Nirvana Venture Advisors, a venture capital firm, and Raay Global Investments, a family office. Patani is also an investor in Waterfield Advisors, a multi-family office and Grameen Capital, an impact investment bank.
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