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What Funds Have Risen despite Heightened Market Uncertainty?

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Volatility has peaked over the last two years

The past two years have seen market uncertainty heightening to levels last seen during the flash crash of 2010 and the debt-ceiling crisis of 2011. The CBOE Volatility Index, a popular measure of the implied volatility of S&P 500 Index options, breached the 40 level on August 24, 2015, when China’s (FXI) stock market crash led all major world (ACWI) (VEU) (VTI) indexes to fall.

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Systematic macro funds have performed well

Nonetheless, systematic macro funds have fared well, with the AQR Managed Futures Strategy Class I (AQMIX) generating a 5.2% return over the past two years. Our series titled Investing in AQMIX: Everything Investors Need to Know provides an in-depth study into the fund and its performance.

The AQR Managed Futures Strategy HV Fund Class I (QMHIX) and the Natixis ASG Managed Futures Strategy Fund Class A (AMFAX) have risen 13% and 11%, respectively, over the same period. The Equinox Campbell Strategy Class A (EBSAX) is another systematic macro fund that has performed well, having returned 18.3% to its investors. For further insight, read EBSAX: A Structural Analysis of the Alternative Mutual Fund.

Two kinds of systemic macro strategies

Systematic macro strategies can be trend-following or counter-trend. Trend-following strategies seek to gain from positions established after a trend has been established in expectation of the trend continuing.

Those following counter-trend strategies buy when the markets are oversold and sell when the markets are overbought. The 361 Global Counter-Trend Fund (AGFZX) has risen about 10% over the last six months (as of April 4) and 5.5% YTD (year-to-date). The 361 Global Counter-Trend Inv Fund (AGFQX) has risen 9.7% over the last six months and 5.3% YTD.

In the next part of this series, we’ll take a look at what strategy has been driving hedge fund returns so far this year.

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