Pivotal Point of View – February 2020



  • Hedge funds served one of their main purposes in February, protecting capital on the downside. We are currently working on a piece that explains why hedge funds fared much better than the overall equity market last month. The spread between PivotalPath’s Hedge Fund Composite Index and S&P 500 performance was one of the highest since the financial crisis of 2008. Our upcoming analysis will explain February’s outperformance, and we will be looking closely at March data to see if this spread holds for the first quarter.

  • The top performing sub-strategies during February were Discretionary Global Macro (+1.8%), Multi-PM Global Macro (+1.4), and Convertible Bond Arbitrage (+1.2). Most macro managers benefited from short rates/long duration trades while convertible bond arbitrage strategies are generally long convexity and thus should do well in more volatile environments.

  • Conversely, the worst performing sub-strategies in February were European Activist (-10.4%), Risk Premia (-5.2%), and European Long/Short Equity (-4.7%). European-focused strategies suffered as European equities lost more than most other major markets (MSCI Europe was down 9.3% during the month). European activist strategies were hit particularly hard as managers in the space are generally more concentrated, longer-biased, and have more beta to the market. Losses for risk premia strategies were predominantly within equities.

  • Since our last edition, nearly all industry conferences have been cancelled due to the coronavirus. Such conferences include the GS Emerging Managers Conference, the EnTrust Global Investment Summit, and the MS Spring Hedge Fund Forum. Meanwhile, TD Cap Intro held a Virtual Alternative Investment Summit last week and another prime brokerage group recently sought our feedback on them hosting a virtual cap intro conference in the future. Given more and more industry participants are working remotely and are reluctant to travel/attend gatherings, virtual events could become the new norm in 2020.

For access to performance data, our proprietary alpha rankings and additional commentary, please download the full report.


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