Corona Fighters – Report 2: Asset managers who delivered during the meltdown

By Andrea Leccese

July 6th, 2021

B. G., Opalesque Geneva: In the midst of the current market turmoil, this is the second of our regular reports on hedge fund managers who bucked the trend.

Contrarian and uncorrelated

R. G. Niederhoffer Capital Management’s flagship fund, the Diversified Program, returned +0.4% March and +25% YTD. It is a systematic, short-term trading strategy launched in 1993. The program claims a consistent negative correlation to equities and funds of hedge funds and low correlation to CTAs. It has a contrarian bias, combining core mean-reversions themes with momentum strategies. It is very liquid and highly diversified. The New York-based firm calls it a “rare true alpha strategy”. Since September 1995, it has annualised almost 5% with a volatility of 19%.

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Andrea Leccese

Andrea is President and Portfolio Manager at Bluesky Capital. Prior to founding Bluesky Capital, Andrea worked as a Quant at Sauma Capital, a quantitative hedge fund in New York, and as a management consultant at Ernst & Young. Andrea holds an M.S. in Financial Engineering from Columbia University, and an M.S. in Industrial Engineering from the University of Rome "La Sapienza".

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This article is intended for academic and educational purposes and is not an investment recommendation. The information that we provide or that is derived from our website should not be a substitute for advice from an investment professional. The hypothetical models discussed in this paper do not reflect the investment performance of any actual product or strategy in existence during the periods tested and there is no guarantee that if such product or strategy existed it would have displayed similar performance characteristics. A decision to invest in any product or strategy should not be based on the information or conclusions contained herein. This is neither an offer to sell nor a solicitation for an offer to buy interests in securities.

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