March 10, 2020 – Mid-February marked the commencement of the coronavirus-induced market panic. A global sell-off in equities occurred as market participants began pricing in a global recession based on the rapid spread of COVID-19.

In February, the Canadian multi-factor long-short portfolio continued to outperform, adding 9.1% of alpha. The multi-factor long book was not immune from the sell-off, falling -6.3%, however the short book more than offset this decline as it fell -15.4%. Similar to January, price momentum was the top performing factor as top performing stocks held up during the market decline, falling only -1.0%, while the stocks with poor price momentum (i.e. the short price momentum portfolio) fell -18.7%. Trend, operating momentum and quality factors also added outperformance during the month, while the value factor was the lone detractor for the Canadian multi-factor portfolio.

The U.S. multi-factor long-short portfolio underperformed in February, with the long portfolio dropping -10.7% and the short portfolio falling -7.2%, leading to a decline of -3.5% for the long-short portfolio. The price momentum and trend factors contributed positively, but were more than offset by the value and quality factors, which dropped -4.4% and -3.6% during the month respectively.

AlphaRank Factor Performance represents the daily historical performance of Accelerate’s proprietary model factor portfolios.

AlphaRank Factor Performance Canada, Accelerate Financial tEchnologies, Julian Klymochko, Accelerate research, HDGE, ATSX, ALFA, ARB, Hedge Fund, Private Equity

AlphaRank Factor Performance USA, Accelerate Financial tEchnologies, Julian Klymochko, Accelerate research, HDGE, ATSX, ALFA, ARB, Hedge Fund, Private Equity

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