Here’s the proof: even in times of coronavirus, you can achieve a yield of over 10% with a handful of Hungarian professionals

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The coronavirus has entered the stock exchanges, but has been soaring again ever since

The global spread of the coronavirus, which continued from 2019 at the beginning of the year, was hampered by global closure due to global stock exchanges. However, the significant downsides in March have now been nicely recouped by the stock markets, and although the mood in the stock markets is changing on a daily basis, overall it continues to see an increase.

While most stock indexes are still in the red this year in half-year readings, U.S. stock markets have delivered their best quarterly performance in the second quarter of 2020 for more than 20 years. Overall, stock markets rose 18.7 percent in the second quarter, but are still down 7 percent this year after falling 34 percent between February 12 and March 23. The overperformance of the Nasdaq can be explained by the fact that the companies in the index largely come from two sectors – biotechnology and other technology – that have suffered less from the crisis.

We wrote more about this here:

Among raw materials, the biggest winner this year so far is clearly gold, oil is in a significant deficit, and the price of agricultural raw materials has also fallen so far this year:

In the midst of such market conditions, it is not surprising that the performance of domestic absolute return funds also commuted, only 85 of the 166 fund series examined had a positive return in the one-year period, and only 56 series in the half-year period.

Nevertheless, in a one-year period, there was also a HUF series, a retail series, the yield of which exceeded 10%.

The best annual performance was achieved by the OTP Sigma Derivative Fund Series A with a return of 36%, the fund can record a significant performance of 28.5% in the first half of the year.

According to the fund, its main exposures are in developed and emerging market equities, bonds, currencies, money market instruments and commodity market products. At the end of May, U.S., Romanian and Serbian government securities were more exposed in the fund, and the portfolio manager expected the dollar to strengthen and oil to fall further. The fund had a risk exposure of more than 50% in the S&P 500 short, EUR long and HUF short positions.

OTP Sigma in line

  • the OTP Trend Fund A series followed by an annual yield of nearly 15% and then
  • a Moon Fund Management Superposition Derivative Fund with a performance of 12.6%.

The one-year performance of the top 15 retail absolute return funds is positive in all cases, a Moon Fund Manager has the most series on the list, including with the Columbus, Citadel, and Rubicon funds, which also performed above 10%, and they did well this year as well.

Unfortunately, there are some pretty big minuses among the worst-performing series, with Axiom Aplus Derivatives, for example, falling 63.4% in one year and its half-year performance minus 66%. The OTP G10 Euro A series is also more than 27% minus, and

OTP Supra, which closed last year with the best return, is also there with the third worst annual performance.

Assets under management also declined significantly

The stock market crisis in March of this year also had an impact on the assets under management of absolute return funds, according to BAMOSZ data assets fell from HUF 845 billion at the end of February to HUF 709 billion in March, it is true, since then it has been pretty slow to see a rise again.

A significant part of the decline in March was due to the redemption of investment certificates, but negative market yields contributed a larger part. The good news, however, is that demand for absolute-return funds has risen again in May, with more and more people returning to this core category as stock markets perform well.

Even the largest funds could not escape the loss of capital: in addition to the Moon Columbus fund, only the Citadel, the Moon Rubicon and the Aegon Marathon were able to increase wealth this year.

OTP Supra’s assets under management fell by 26% in six months, but even so this is by far the largest absolute return fund with HUF 206 billion in assets under management.

Behind the OTP Supra a

  • second largest asset of Hold Columbus manages with HUF 47 billion,
  • this is it Aegon Alpha followed by 45.5 billion.

On a percentage basis OTP Supra suffered the largest loss of assets in the last six months with 26%, this was followed by MKB Active Alpha Fund and OTP Supra Euro. In total, the 15 largest funds lost half of their managed assets in half and a year, so they decide on the fate of a little less than 544 billion forints in total.

The assets of the top 15 funds account for 74% of the total assets under management of absolute return funds, while Supra alone accounts for 38% of the assets under management of the top 15 funds.. Thus, the market concentration of the largest funds increased slightly, but Supra’s market share fell.

In addition to performance, it is at least as important to see what risk the fund has achieved in return. A good measure of this is the standard deviation calculated from the exchange rate fluctuations of the funds and the excess return per unit standard deviation, the latter being given by the Sharpe ratio.

Over a one-year period, the variance of absolute return funds fluctuated over a very wide range, but the same was true for returns, where the majority of portfolios fell between -20 and plus 20%. Of the funds with a spread of over 25%, only two have been able to reward their investors with a positive return in the past one year. The largest scatter was shown by the Aegon Panorama, Citadel, Dialog Octopus, Equilor Pillars, MKB Active Alpha and Moon Platinum funds.

Even over a three-year period, the picture is quite colorful in terms of the return and variance of the funds, but in this case the yields already paint a more positive picture, and there are no such large outliers between the variances.

In the list of Sharpe ratios calculated from returns per unit standard deviation the Moon Safe USD series finished in first place (brought a surplus of more than 5 units per unit to its investors), followed by the Walnut WM-1 Sub-Fund and then the Marketprog Bond C series. Among series with a Sharpe index greater than 1 there was no basis for anything other than the above providers. Among the funds examined, 167 had returns and variances that could be interpreted over a three-year period, but only 69 of them had a positive Sharpe ratio, representing a ratio of just 41%.

This article continues

  • The coronavirus has entered the stock exchanges, but has been soaring again ever since
  • Here is the performance of all absolute return funds