Dmitri Alexeev https://www.alpha-week.com/ en Crypto Portfolio Update: September 2023 https://www.alpha-week.com/crypto-portfolio-update-september-2023 <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--title--features.html.twig x field--node--title.html.twig * field--node--features.html.twig * field--title.html.twig * field--string.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'core/modules/node/templates/field--node--title.html.twig' --> <span>Crypto Portfolio Update: September 2023</span> <!-- END OUTPUT from 'core/modules/node/templates/field--node--title.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--created--features.html.twig x field--node--created.html.twig * field--node--features.html.twig * field--created.html.twig * field--created.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'core/modules/node/templates/field--node--created.html.twig' --> <span>Mon, 09/25/2023 - 09:27</span> <!-- END OUTPUT from 'core/modules/node/templates/field--node--created.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--body--features.html.twig * field--node--body.html.twig * field--node--features.html.twig * field--body.html.twig * field--text-with-summary.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-body field--type-text-with-summary field--label-hidden field__item"><p><span><span><span><span><span><span>In April last year we created an index-like portfolio of major cryptocurrencies; it was constructed using the five coins with the highest market cap each year (measured by year-end) and then held for one year). This approach has shown interesting results over more than seven years of analysis, basically doubling the return of Bitcoin alone and outperforming equities. </span></span></span></span></span></span></p> <p><span><span><span><span><span><span>One of the goals of creating this portfolio was to compare how a long-only basket of cryptocurrencies would compare to long-only exposure to Bitcoin alone, and see if the additional diversification that one would get among the largest coins at the time helps to improve either overall or risk-adjusted performance. </span></span></span></span></span></span></p> <p><span><span><span><span><span><span>So far we have seen mixed results. During drawdown of 2022, the diversified portfolio has resisted better than Bitcoin alone, but it’s still lost considerable value - 54% for the portfolio vs 70% for Bitcoin.</span></span></span></span></span></span></p> <p><strong><span><span><span><span><span><span>Figure 1: 2022 Drawdown chart of Top 5 Crypto Portfolio vs Bitcoin and S&amp;P 500</span></span></span></span></span></span></strong></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="4e0c2a3c-f737-4cb6-8fb2-82f59b86940a" src="/sites/default/files/inline-images/AlphaBot-2023-09-25-A.png" width="550" height="303" loading="lazy" /></p> <p><em><span><span><span><span><span><span>Source: AlphaBot</span></span></span></span></span></span></em></p> <p><span><span><span><span><span><span>On January 1, 2023, Cardano and SOLA were replaced by DogeCoin and Ripple (Ripple has been consistently included, but dropped just enough in 2022 to be replaced) in our tracker portfolio. As usual, we exclude the stablecoins, focusing on “actual” cryptocurrencies. The year overall has seen the return of the crypto space to growth, with a recovery of about half the losses experienced in the prior year. However, the extra diversification has played its typical stability anchor game, with focus on the “anchor” - the tracker portfolio has grown at a smaller pace than the Bitcoin alone.</span></span></span></span></span></span></p> <p><strong><span><span><span><span><span><span>Figure 2: 2023 YTD VAMI Chart of AlphaBot’s Top 5 Crypto “Index” vs Bitcoin, S&amp;P 500</span></span></span></span></span></span></strong></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="69842840-fec4-4c7c-8381-28e7bc24275e" src="/sites/default/files/inline-images/AlphaBot-2023-09-25-B.png" width="550" height="289" loading="lazy" /></p> <p><em><span><span><span><span><span><span>Source: AlphaBot</span></span></span></span></span></span></em></p> <p><span><span><span><span><span><span>Here are the figures for 2023 YTD.</span></span></span></span></span></span></p> <p><strong><span><span><span><span><span><span>Figure 3: 2023 YTD Performance Statistics of AlphaBot’s Top 5 Crypto “Index” vs Bitcoin, S&amp;P 500</span></span></span></span></span></span></strong></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="dd50fa98-90e0-4825-9e51-a18cc6cbbe33" src="/sites/default/files/inline-images/AlphaBot-2023-09-25-C.png" width="550" height="342" loading="lazy" /></p> <p><em><span><span><span><span><span><span>Source: AlphaBot</span></span></span></span></span></span></em></p> <p><span><span><span><span><span><span>It seems that so far the diversification has provided what would be naturally expected results on performance - slowing down the losses but also impacting the growth or recovery on the upside. However, in the case of our crypto portfolio, it did not really help to reduce volatility. This could be explained by the overall conversion of the crypto space, resulting in pretty high cross-correlations.</span></span></span></span></span></span></p> <p><strong><span><span><span><span><span><span>Figure 4: Correlations of AlphaBot’s Top 5 Crypto “Index” constituents in 2023</span></span></span></span></span></span></strong></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="6191d943-9749-4c04-9b4f-171b86567781" src="/sites/default/files/inline-images/AlphaBot-2023-09-25-D.png" width="550" height="134" loading="lazy" /></p> <p><em><span><span><span><span><span><span>Source: AlphaBot</span></span></span></span></span></span></em></p> <p><span><span><span><span><span><span>As we can see, all the correlations are pretty high (well above 0.5 and all the way to 0.87) with the exception of Ripple (XRP) that is the only coin in this set staying consistently below 0.5 correlation with the other four. This kind of “herding” of large crypto coins seems to emphasize the leading role of Bitcoin - despite its shortcomings due to “old tech”, it continues to be the elephant in the room that drives others both up and down the performance scale.</span></span></span></span></span></span></p> <p>More to come in the crypto space in the coming months. Stay tuned!</p> <p>**********</p> <p><em><strong>Dmitri Alexeev</strong> is Founder and CEO of <strong><a href="https://alphabot.net/homepage">AlphaBot</a></strong></em></p> <p><em>***</em></p> <p><em>The views expressed in this article are those of the author and do not necessarily reflect the views of AlphaWeek or its publisher, The Sortino Group</em></p> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-tags--features.html.twig * field--node--field-tags.html.twig * field--node--features.html.twig * field--field-tags.html.twig * field--entity-reference.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-field-tags field--type-entity-reference field--label-hidden field__items"> <div class="field__item"><a href="/hedge-funds-guest-articles" hreflang="en">Hedge Funds Guest Articles</a></div> <div class="field__item"><a href="/directory/alphabot" hreflang="en">AlphaBot</a></div> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <drupal-render-placeholder callback="flag.link_builder:build" arguments="0=node&amp;1=10235&amp;2=bookmark" token="nKaai4UulCR-XXUrWkCUrY6-nU-_NWIxhQuttriBuN4"></drupal-render-placeholder> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-author--features.html.twig * field--node--field-author.html.twig * field--node--features.html.twig x field--field-author.html.twig * field--entity-reference.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field--field-author.html.twig' --> <a href="/author/dmitri-alexeev" hreflang="en">Dmitri Alexeev</a> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field--field-author.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-content-role--features.html.twig * field--node--field-content-role.html.twig * field--node--features.html.twig * field--field-content-role.html.twig * field--list-string.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-field-content-role field--type-list-string field--label-above"> <div class="field__label">Content role</div> <div class="field__item">Public</div> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> Mon, 25 Sep 2023 08:27:08 +0000 AlphaWeek Staff 10235 at https://www.alpha-week.com Is The Private Equity Hype Over (?) https://www.alpha-week.com/private-equity-hype-over <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--title--features.html.twig x field--node--title.html.twig * field--node--features.html.twig * field--title.html.twig * field--string.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'core/modules/node/templates/field--node--title.html.twig' --> <span>Is The Private Equity Hype Over (?)</span> <!-- END OUTPUT from 'core/modules/node/templates/field--node--title.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--created--features.html.twig x field--node--created.html.twig * field--node--features.html.twig * field--created.html.twig * field--created.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'core/modules/node/templates/field--node--created.html.twig' --> <span>Tue, 06/06/2023 - 15:54</span> <!-- END OUTPUT from 'core/modules/node/templates/field--node--created.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--body--features.html.twig * field--node--body.html.twig * field--node--features.html.twig * field--body.html.twig * field--text-with-summary.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-body field--type-text-with-summary field--label-hidden field__item"><p><span><span><span><span><span><span>The rise in public equity prices during the ZIRP and quantitative easing years was mirrored in the private equity space as an abundance of cheap debt armed an ever increasing number of buyout funds with the ammunition they needed to complete deals. </span></span></span></span></span></span></p> <p><span><span><span><span><span><span>DSC Quantitative Group in Chicago works with Refinitiv to produce an interesting index, the Refinitiv Private Equity Buyout Index, which “</span></span></span></span></span></span><a href="https://dscqg.com/wp-content/uploads/2023/06/5-2023-MAY-TR-PE-Index-Factsheet.pdf"><span><span><span><span><span><span><span><span>seeks to replicate the</span></span></span></span></span></span></span></span></a> <a href="https://dscqg.com/wp-content/uploads/2023/06/5-2023-MAY-TR-PE-Index-Factsheet.pdf"><span><span><span><span><span><span><span><span>performance of the Refinitiv Private Equity Buyout Benchmark Index</span></span></span></span></span></span></span></span></a> <a href="https://dscqg.com/wp-content/uploads/2023/06/5-2023-MAY-TR-PE-Index-Factsheet.pdf"><span><span><span><span><span><span><span><span>through a combination of liquid, publicly listed assets</span></span></span></span></span></span></span></span></a><span><span><span><span><span><span>.” </span></span></span></span></span></span></p> <p><span><span><span><span><span><span>We’ve covered the index a few times before, but not for a while, and given the recent tumult in both public and private markets, we thought it would be interesting to revisit it to see how the private equity folks are doing versus their public peers - specifically, the S&amp;P 500.</span></span></span></span></span></span></p> <p><span><span><span><span><span><span>When looking at the historical performance of the two indexes, one can easily observe the persistent out-performance of the private side from 2014 through the end of 2021. But then, at the same time that the QE program in the United States ended (officially the program ended in March 2022), the PEBI experienced something of a sudden collapse.</span></span></span></span></span></span></p> <p><span><span><span><span><span><span>Figure 1: Relative performance of PE Index vs S&amp;P 500</span></span></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="26300ecd-ee84-4932-8a55-ce4fd11edac3" src="/sites/default/files/inline-images/AlphaBot-2023-06-06-A.png" width="550" height="294" loading="lazy" /></p> <p><span><span><span><span><span><span>To appreciate the size of the drop, it is best to look at the drawdown chart below. Basically, the drawdown of the PE index - which it is still in - is almost twice the size of that of the general market, and while its volatility is also larger, the Sharpe and Sortino ratios show the trade-off in the past ten years is not on the side of the PE Index.</span></span></span></span></span></span></p> <p><span><span><span><span><span><span>Figure 2. Drawdown chart of PE Index in comparison to S&amp;P 500</span></span></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="37ea8722-a5c8-4fe7-b362-56e3fa720363" src="/sites/default/files/inline-images/AlphaBot-2023-06-06-B.png" width="550" height="287" loading="lazy" /></p> <p><span><span><span><span><span><span>Figure 3. Historical Statistics (monthly) of PE Index vs S&amp;P 500</span></span></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="5114c1f1-6f3d-4f8c-8f0a-ebcf170ce237" src="/sites/default/files/inline-images/AlphaBot-2023-06-06-C.png" width="550" height="331" loading="lazy" /></p> <p><span><span><span><span><span><span>How can this behavior be explained? One guess is that the removal of cheap credit contributed significantly to bursting the PE asset bubble; after all, higher interest rates impact valuations in the PE space significantly. </span></span></span></span></span></span></p> <p><span><span><span><span><span><span>The interesting question, as usual, would be about the future potential of PE. Will it “work” - that is, outperform public equity markets - in an environment of rising interest rates? Yes, plenty of successful private equity funds were raised and closed during the pre-Global Financial Crisis period.  And surely, as in most types of investments, some deals will work better than others, and good GPs will outperform. But competition in the space has never been greater, and so finding the successful ones will likely be more difficult going forward.</span></span></span></span></span></span></p> <p><span><span><span><span><span><span>The Refinitiv Buyout Index had only one losing year - 2018 - since its inception at the beginning of 2014. But it ended 2022 down -31.07%, and year to date, is down -13.87%. The S&amp;P 500 is up around 11% so far this year. It’ll be interesting to see whether private equity does continue to enjoy an ‘illiquidity premium’ or whether it’s much more cyclical.</span></span></span></span></span></span></p> <p>**********</p> <p><em><strong>Dmitri Alexeev</strong> is Founder and CEO of <strong><a href="https://alphabot.net/homepage">AlphaBot</a></strong></em></p> <p><em>***</em></p> <p><em>The views expressed in this article are those of the author and do not necessarily reflect the views of AlphaWeek or its publisher, <a href="https://thesortinogroup.com/">The Sortino Group</a></em></p> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-tags--features.html.twig * field--node--field-tags.html.twig * field--node--features.html.twig * field--field-tags.html.twig * field--entity-reference.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-field-tags field--type-entity-reference field--label-hidden field__items"> <div class="field__item"><a href="/private-equity-guest-articles" hreflang="en">Private Equity Guest Articles</a></div> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <drupal-render-placeholder callback="flag.link_builder:build" arguments="0=node&amp;1=10067&amp;2=bookmark" token="ynQlpRvFuvvFbdVnG0q-IHckS06_6PaW4Y-F7vv2vsY"></drupal-render-placeholder> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-author--features.html.twig * field--node--field-author.html.twig * field--node--features.html.twig x field--field-author.html.twig * field--entity-reference.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field--field-author.html.twig' --> <a href="/author/dmitri-alexeev" hreflang="en">Dmitri Alexeev</a> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field--field-author.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-content-role--features.html.twig * field--node--field-content-role.html.twig * field--node--features.html.twig * field--field-content-role.html.twig * field--list-string.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-field-content-role field--type-list-string field--label-above"> <div class="field__label">Content role</div> <div class="field__item">Public</div> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> Tue, 06 Jun 2023 14:54:46 +0000 AlphaWeek Staff 10067 at https://www.alpha-week.com Goldman Sachs Hedge Fund VIP ETF 2022 Review https://www.alpha-week.com/goldman-sachs-hedge-fund-vip-etf-2022-review <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--title--features.html.twig x field--node--title.html.twig * field--node--features.html.twig * field--title.html.twig * field--string.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'core/modules/node/templates/field--node--title.html.twig' --> <span>Goldman Sachs Hedge Fund VIP ETF 2022 Review</span> <!-- END OUTPUT from 'core/modules/node/templates/field--node--title.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--created--features.html.twig x field--node--created.html.twig * field--node--features.html.twig * field--created.html.twig * field--created.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'core/modules/node/templates/field--node--created.html.twig' --> <span>Tue, 02/07/2023 - 18:52</span> <!-- END OUTPUT from 'core/modules/node/templates/field--node--created.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--body--features.html.twig * field--node--body.html.twig * field--node--features.html.twig * field--body.html.twig * field--text-with-summary.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-body field--type-text-with-summary field--label-hidden field__item"><p><span><span><span><span><span><span><span>The topic of “smart” money continues to generate interest in these turbulent investment times. As an example, we have been keeping an eye on Goldman Sachs Hedge Fund VIP ETF (GVIP), an ETF of equity hedge fund best ideas, trying to see if the consensus behind the HF industry picks can produce long term value added to an average investor that does not have direct access to hedge funds. Our findings have been mixed; there was a period when GVIP outperformed the general market indices, and there have been times where it lagged.</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>In this review we are looking back at the entire year 2022, and are using the Russell 2000 index in addition to S&amp;P 500 to be more fair to smaller cap stocks.</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>Unfortunately, the hedge fund darlings have been lagging the market in general quite consistently, despite the large and small cap indices not differing as much in comparison. So it is not the size that matters here, apparently, and more of a bias towards a particular type of companies, in my opinion. And those companies, it appears, are not doing so well in the environment where the money is not so free any more (even though interest rates remain pretty low by historical standards). In addition, echoes of lockdowns and supply chain interruptions have likely affected a number of players, too.</span></span></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Figure 1. GVIP performance in 2022 vs Russell 2000 and S&amp;P 500</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><em><span><span><span><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="82910a9d-75eb-42a5-8bd6-7cf8d1910622" src="/sites/default/files/inline-images/AlphaBot-2023-02-07-A.png" width="550" height="268" loading="lazy" /></span></span></span></em></span></span></span></span></p> <p> </p> <p><span><span><span><span><em><span><span><span>Figure 2. Comparative stats for 2022 for GVIP vs Russell 2000 and S&amp;P 500</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><em><span><span><span><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="2c8dfb51-9a67-409b-8432-f2fbeb20ed98" src="/sites/default/files/inline-images/AlphaBot-2023-02-07-B.png" width="550" height="224" loading="lazy" /></span></span></span></em></span></span></span></span></p> <p> </p> <p><span><span><span><span><span><span><span>We notice that despite volatility levels being very comparable, the performance of GVIP lagged the general market by more than 10 percentage points last year. That is a notable lag, as the more it goes into the negative territory, the more it takes to recover afterwards. Few investors realize this asymmetry of returns, even though it is “baked into” the compounding returns formula: if you lose 10% then you need 11% to get back (b/c you are now starting with a smaller amount or base), and if you lose 20% you need 25% to recover, and with 30% loss you need a whopping 43% to break even. Do the math and see for yourself what it takes if you lose 10, 20, 30, or 50% to get back to where you started.</span></span></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Figure 3: Table of losses and corresponding required returns to break-even</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><em><span><span><span><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="8b5e1165-6566-4a73-9e96-ff951025026d" src="/sites/default/files/inline-images/AlphaBot-2023-02-07-C.png" width="550" height="152" loading="lazy" /></span></span></span></em></span></span></span></span></p> <p> </p> <p><span><span><span><span><span><span><span>The point of this observation is simple: at some point, the amount of loss begins to really affect the recovery, as it takes so much more positive return to get back, and investors need to be aware of such effects, evaluating their ability to stomach drawdowns and market volatility. To see it from a different angle, consider that even if you are “lucky” and your investments generate 50% return after a 50% drawdown, you are still at 25% loss overall and it will take even more luck to climb back. This is why large losses are much heavier than large gains.</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>Returning to our GVIP observations, to justify their level of volatility and drawdown we will need to see if the hedge fund favorite picks are able to recover the losses quickly, and that depends on whether they are a result of sophisticated analysis and forecasting, or some form of financial mode of operation that gets affected when such financial regimes begin to change. In January 2023, the GVIP recovered about 10%, which is very close to the general market performance.</span></span></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Figure 4: Performance of GVIP vs Russell 2000 and S&amp;P500 in January 2023</span></span></span></em></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="e035042c-1d77-4cb7-8ac2-f0c0249a281f" src="/sites/default/files/inline-images/AlphaBot-2023-02-07-D.png" width="512" height="278" loading="lazy" /></p> <p><span><span><span><span><span><span><span>As we noted earlier, it will take extra effort to recover the extra loss. We will keep monitoring this interesting ETF; the latest wave of 13F filings are due out in mid-February, showing which U.S. stocks hedge funds bought and sold in the final quarter of 2022. If they recover (and outperform the markets again) it will be a spectacular comeback, so we’ll be watching with interest!</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>**********</span></span></span></span></span></span></span></p> <p><span><span><span><span><strong><em><span><span><span>Dmitri Alexeev</span></span></span></em></strong><em><span><span><span> is Founder and CEO of </span></span></span></em><span><a href="https://alphabot.net/homepage"><strong><em><span><span><span>AlphaBot</span></span></span></em></strong></a></span><em><span><span><span>, a collaborative platform for alternative investment research</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>***</span></span></span></em></span></span></span></span></p> <p><em>The views expressed in this article are those of the author and do not necessarily reflect the views of AlphaWeek or its publisher, The Sortino Group</em></p></div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-tags--features.html.twig * field--node--field-tags.html.twig * field--node--features.html.twig * field--field-tags.html.twig * field--entity-reference.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-field-tags field--type-entity-reference field--label-hidden field__items"> <div class="field__item"><a href="/hedge-funds-guest-articles" hreflang="en">Hedge Funds Guest Articles</a></div> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <drupal-render-placeholder callback="flag.link_builder:build" arguments="0=node&amp;1=10726&amp;2=bookmark" token="HLCYuwnnzLEFjBH2AAkBLdkVMvv5MnX11LmDWGigcZY"></drupal-render-placeholder> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-author--features.html.twig * field--node--field-author.html.twig * field--node--features.html.twig x field--field-author.html.twig * field--entity-reference.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field--field-author.html.twig' --> <a href="/author/dmitri-alexeev" hreflang="en">Dmitri Alexeev</a> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field--field-author.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-content-role--features.html.twig * field--node--field-content-role.html.twig * field--node--features.html.twig * field--field-content-role.html.twig * field--list-string.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-field-content-role field--type-list-string field--label-above"> <div class="field__label">Content role</div> <div class="field__item">Public</div> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> Tue, 07 Feb 2023 18:52:08 +0000 AlphaWeek Staff 10726 at https://www.alpha-week.com 2022 Cryptocurrency Performance Review https://www.alpha-week.com/2022-cryptocurrency-performance-review <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--title--features.html.twig x field--node--title.html.twig * field--node--features.html.twig * field--title.html.twig * field--string.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'core/modules/node/templates/field--node--title.html.twig' --> <span>2022 Cryptocurrency Performance Review</span> <!-- END OUTPUT from 'core/modules/node/templates/field--node--title.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--created--features.html.twig x field--node--created.html.twig * field--node--features.html.twig * field--created.html.twig * field--created.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'core/modules/node/templates/field--node--created.html.twig' --> <span>Mon, 01/09/2023 - 08:05</span> <!-- END OUTPUT from 'core/modules/node/templates/field--node--created.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--body--features.html.twig * field--node--body.html.twig * field--node--features.html.twig * field--body.html.twig * field--text-with-summary.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-body field--type-text-with-summary field--label-hidden field__item"><p><span><span><span><span><span><span><span>2022 flew by pretty fast compared to what seemed like an eternal 2020 but a lot of things happened (and continue to happen at the beginning of 2023) that may soon prove to be historic. Alongside US politics and elections, the Russia/Ukraine war, and other serious events, we had to experience a dramatic breakdown in the crypto space. </span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>The downfall of Three Arrows Capital, the collapse in Terra’s stablecoin ecosystem (does not seem so “stable” now, does it?), and the FTX disaster have all been extremely notable, and led to hundreds of billions of dollars of losses in market value for the space. The breakdown is so severe that some people say it might lead to a total collapse of the market; others say it is a natural shake off that will make the space healthier in the long run.</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>The losses have been ranging from 50% to almost 80% across some of the largest coins. And while the stock market took a beating in 2022 as well, the 18% loss for S&amp;P does not feel anywhere near as bad as the losses in the crypto space.</span></span></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Figure 1: Performance of top cryptos in 2022</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><em><span><span><span><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="b5ddaa65-eee2-44f8-bce8-c826b00bca1b" src="/sites/default/files/inline-images/AlphaBot-2023-01-09-A.png" width="512" height="212" loading="lazy" /></span></span></span></em></span></span></span></span></p> <p> </p> <p><span><span><span><span><span><span><span>In addition to the high losses, the correlations between the coins have spiked up too, indicating that what we are seeing is structural in nature and it affects the assumptions behind the overall crypto concept, not just a particular exchange, fund, or a coin.</span></span></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Figure 2: Statistics of top cryptos in 2022</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><em><span><span><span><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="775447c9-a7d0-4828-aac7-70f504668b7c" src="/sites/default/files/inline-images/AlphaBot-2023-01-09-B.png" width="512" height="107" loading="lazy" /></span></span></span></em></span></span></span></span></p> <p> </p> <p><span><span><span><span><em><span><span><span>Figure 3: Correlations of top cryptos in 2022</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><em><span><span><span><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="c6da1b60-e29c-4c46-a88b-9275b3e7f3e3" src="/sites/default/files/inline-images/AlphaBot-2023-01-09-C.png" width="512" height="132" loading="lazy" /></span></span></span></em></span></span></span></span></p> <p> </p> <p><span><span><span><span><span><span><span>We will have to wait and see but for now it seems that there are more questions than answers on what exactly happened at FTX. And the cracks seem to continue growing (now this year Silvergate is starting to shake), adding fuel to the fire of debate whether crypto is just a lot of hot air, artificially pumped up, or if the space can recover and become healthier as a result of going through the rust shake off phase.</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>We will keep an eye out for the space and update our readers as more events take place in 2023, so stay tuned!</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>**********</span></span></span></span></span></span></span></p> <p><span><span><span><span><strong><em><span><span><span>Dmitri Alexeev</span></span></span></em></strong><em><span><span><span> is Founder and CEO of </span></span></span></em><span><a href="https://alphabot.net/homepage"><strong><em><span><span><span>AlphaBot</span></span></span></em></strong></a></span><em><span><span><span>, a collaborative platform for alternative investment research</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>***</span></span></span></em></span></span></span></span></p> <p><em>The views expressed in this article are those of the author and do not necessarily reflect the views of AlphaWeek or its publisher, The Sortino Group</em></p></div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-tags--features.html.twig * field--node--field-tags.html.twig * field--node--features.html.twig * field--field-tags.html.twig * field--entity-reference.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-field-tags field--type-entity-reference field--label-hidden field__items"> <div class="field__item"><a href="/hedge-funds-guest-articles" hreflang="en">Hedge Funds Guest Articles</a></div> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <drupal-render-placeholder callback="flag.link_builder:build" arguments="0=node&amp;1=10725&amp;2=bookmark" token="McVydCZhNypO6-yoRDq6CzMBpZA-Tw4pHkqJvfjI7qU"></drupal-render-placeholder> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-author--features.html.twig * field--node--field-author.html.twig * field--node--features.html.twig x field--field-author.html.twig * field--entity-reference.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field--field-author.html.twig' --> <a href="/author/dmitri-alexeev" hreflang="en">Dmitri Alexeev</a> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field--field-author.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-content-role--features.html.twig * field--node--field-content-role.html.twig * field--node--features.html.twig * field--field-content-role.html.twig * field--list-string.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-field-content-role field--type-list-string field--label-above"> <div class="field__label">Content role</div> <div class="field__item">Public</div> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> Mon, 09 Jan 2023 08:05:31 +0000 AlphaWeek Staff 10725 at https://www.alpha-week.com Alphabot’s Crypto Portfolio Update https://www.alpha-week.com/alphabots-crypto-portfolio-update <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--title--features.html.twig x field--node--title.html.twig * field--node--features.html.twig * field--title.html.twig * field--string.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'core/modules/node/templates/field--node--title.html.twig' --> <span>Alphabot’s Crypto Portfolio Update</span> <!-- END OUTPUT from 'core/modules/node/templates/field--node--title.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--created--features.html.twig x field--node--created.html.twig * field--node--features.html.twig * field--created.html.twig * field--created.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'core/modules/node/templates/field--node--created.html.twig' --> <span>Mon, 10/10/2022 - 08:13</span> <!-- END OUTPUT from 'core/modules/node/templates/field--node--created.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--body--features.html.twig * field--node--body.html.twig * field--node--features.html.twig * field--body.html.twig * field--text-with-summary.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-body field--type-text-with-summary field--label-hidden field__item"><p><span><span><span><span><span><span><span>In April we created an index-like portfolio of major cryptocurrencies; it was constructed using the five coins with the highest market cap each year (measured by year-end and then held for one year). This approach has shown interesting results over more than seven years of analysis, basically doubling the return of Bitcoin alone and outperforming equities.</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>Given the continued challenges facing risk assets in 2022, we wanted to check in and see how our crypto index is doing year to date, and so far the results seem to be in line with our expectations, at least with respect to comparison to a single coin investment. While all three instruments have lost money so far this year, and both crypto instruments have fared worse than public equities, the Top 5 Portfolio has demonstrated lower volatility and a smaller drawdown. The effect has lasted since the beginning of June, although earlier in the year, the results have been mixed. </span></span></span></span></span></span></span></p> <p><span><span><span><span><strong><span><span><span>Figure 1: YTD VAMI Chart of AlphaBot’s Top 5 Crypto “Index” vs Bitcoin, S&amp;P 500</span></span></span></strong></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="fd7c7ca3-d69a-456b-8d6e-9e3c88af1cda" src="/sites/default/files/inline-images/AlphaBot-2022-10-10-A.png" width="550" height="299" loading="lazy" /></p> <p><span><span><span><span><em><span><span><span>Source: AlphaBot</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><strong><span><span><span>Figure 2: YTD Performance Statistics of AlphaBot’s Top 5 Crypto “Index” vs Bitcoin, S&amp;P 500</span></span></span></strong></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="b85bcb0a-e694-4564-b26c-27b54316059c" src="/sites/default/files/inline-images/AlphaBot-2022-10-10-B.png" width="550" height="332" loading="lazy" /></p> <p><span><span><span><span><em><span><span><span>Source: AlphaBot</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><span><span><span>It is worth noting that volatility in the crypto space is much higher than that of equities (with our instruments, close to double), so relative performance (or under-performance) should be taken from a point of view that takes volatility into consideration. If we look at a normalized volatility chart (set to 15% annualized), the outperformance of equities becomes much less obvious, and also shrinks to only about 3 months, again from the middle of June.</span></span></span></span></span></span></span></p> <p><span><span><span><span><strong><span><span><span>Figure 3: Volatility-adjusted YTD performance of Top 5 Crypto “index” vs Bitcoin and S&amp;P 500</span></span></span></strong></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="bb137ca3-8819-4140-92a7-3044a91a789a" src="/sites/default/files/inline-images/AlphaBot-2022-10-10-C.png" width="550" height="300" loading="lazy" /></p> <p><span><span><span><span><em><span><span><span>Source: AlphaBot</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><span><span><span>Normalizing the volatility also makes the distinction between our portfolio and Bitcoin less pronounced. Of course, a few months of returns can exhibit all kinds of effects, and it is the longer time frame that is needed to evaluate a particular approach. So, we will keep monitoring this construct and come back to it in a few more months. Stay tuned!</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>**********</span></span></span></span></span></span></span></p> <p><span><span><span><span><strong><em><span><span><span>Dmitri Alexeev</span></span></span></em></strong><em><span><span><span> is Founder and CEO of </span></span></span></em><span><a href="https://alphabot.net/homepage"><strong><em><span><span><span>AlphaBot</span></span></span></em></strong></a></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>***</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>The views expressed in this article are those of the author and do not necessarily reflect the views of AlphaWeek or its publisher, The Sortino Group</span></span></span></em></span></span></span></span></p></div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-tags--features.html.twig * field--node--field-tags.html.twig * field--node--features.html.twig * field--field-tags.html.twig * field--entity-reference.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-field-tags field--type-entity-reference field--label-hidden field__items"> <div class="field__item"><a href="/hedge-funds-guest-articles" hreflang="en">Hedge Funds Guest Articles</a></div> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <drupal-render-placeholder callback="flag.link_builder:build" arguments="0=node&amp;1=10727&amp;2=bookmark" token="guW2xGFqtIkBV_GmuzhW6WvNBzsbFgCtMMPZDs5lIpU"></drupal-render-placeholder> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-author--features.html.twig * field--node--field-author.html.twig * field--node--features.html.twig x field--field-author.html.twig * field--entity-reference.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field--field-author.html.twig' --> <a href="/author/dmitri-alexeev" hreflang="en">Dmitri Alexeev</a> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field--field-author.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-content-role--features.html.twig * field--node--field-content-role.html.twig * field--node--features.html.twig * field--field-content-role.html.twig * field--list-string.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-field-content-role field--type-list-string field--label-above"> <div class="field__label">Content role</div> <div class="field__item">Public</div> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> Mon, 10 Oct 2022 07:13:27 +0000 AlphaWeek Staff 10727 at https://www.alpha-week.com Private Equity Chart of the Month: Refinitiv Private Equity Buyout Index vs S&P 500 https://www.alpha-week.com/private-equity-chart-month-refinitiv-private-equity-buyout-index-vs-sp-500 <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--title--features.html.twig x field--node--title.html.twig * field--node--features.html.twig * field--title.html.twig * field--string.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'core/modules/node/templates/field--node--title.html.twig' --> <span>Private Equity Chart of the Month: Refinitiv Private Equity Buyout Index vs S&amp;P 500</span> <!-- END OUTPUT from 'core/modules/node/templates/field--node--title.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--created--features.html.twig x field--node--created.html.twig * field--node--features.html.twig * field--created.html.twig * field--created.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'core/modules/node/templates/field--node--created.html.twig' --> <span>Mon, 09/12/2022 - 08:04</span> <!-- END OUTPUT from 'core/modules/node/templates/field--node--created.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--body--features.html.twig * field--node--body.html.twig * field--node--features.html.twig * field--body.html.twig * field--text-with-summary.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-body field--type-text-with-summary field--label-hidden field__item"><p><span><span><span><span><span><span><span>Much has been written about the merits of a private equity allocation. Dissenters say that it’s just not worth it – the alleged ‘illiquidity premium’ that private equity claims to offer either doesn’t exist at all or isn’t enough to justify locking your money up for a decade (or more).</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>That said, it’s a decades-old, multi-trillion dollar industry, managing money for some of the world’s largest, most sophisticated investors, so someone’s doing something right. Either way, for our private equity chart of the month this month, we figured we’d have a look at some data to see what’s going on.</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>DSC Quantitative Group in Chicago partnered with Refinitiv a good few years ago now to produce a buyout index product; the index, called the Refinitiv Private Equity Buyout Index, uses public market equivalents to attempt to replicate the Refinitiv Buyout <em>Benchmark</em> Index, which uses private company valuations in the United States to show the performance of the private equity industry in the United States. We plugged the data into AlphaBot to see what’s what.</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>There’s good news and bad news for private equity bulls. The good news is that since the index’s inception in 2014, the private equity folks have been largely outperforming the S&amp;P 500, with the lone exception of February / March 2020, until April this year. The bad news is that the private equity index has underperformed equities since the start of 2014, at the inception of the Refinitiv index. Sharpe and Sortino ratios are both worse for the buyout index. PE has a larger maximum drawdown, lower annual returns and lower volatility (something the PE folks claim is a reason to allocate to the asset class).</span></span></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Figure 1: Refinitiv Private Equity Buyout Index vs S&amp;P 500, 01/2014 through 08/2022, VAMI</span></span></span></em></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="25c77248-69c8-4568-b3bb-af905862242c" src="/sites/default/files/inline-images/AlphaBot-2022-09-12-A.png" width="550" height="216" loading="lazy" /></p> <p><span><span><span><span><em><span><span><span>Figure 1a: Refinitiv Private Equity Buyout Index vs S&amp;P 500, 01/2014 through 08/2022, General Stats</span></span></span></em></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="16ef8b6b-594a-48f2-a119-b026620561dd" src="/sites/default/files/inline-images/AlphaBot-2022-09-12-B.png" width="550" height="316" loading="lazy" /></p> <p><span><span><span><span><em><span><span><span>Source: AlphaBot</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><span><span><span>If this chart was published in early April, with data through the end of March, it would have been very different. The Buyout index was delivering an annual return of 15% then, although the Sharpe and Sortino ratios were still better in the S&amp;P 500.</span></span></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Figure 2: Refinitiv Private Equity Buyout Index vs S&amp;P 500, 01/2014 through 03/2022, VAMI</span></span></span></em></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="4dc4e055-9d1e-4f51-a3b1-5617d2af7f08" src="/sites/default/files/inline-images/AlphaBot-2022-09-12-C.png" width="550" height="220" loading="lazy" /></p> <p><span><span><span><span><em><span><span><span>Figure 2a: Refinitiv Private Equity Buyout Index vs S&amp;P 500, 01/2014 through 03/2022, General Stats</span></span></span></em></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="57f4cc52-6c0b-49ef-874a-4ac616847b69" src="/sites/default/files/inline-images/AlphaBot-2022-09-12-D.png" width="550" height="323" loading="lazy" /></p> <p><span><span><span><span><em><span><span><span>Source: AlphaBot</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><span><span><span>Using an index like this for comparative purposes can hardly be described as ‘real life’ – no LP has exposure to the entire US private equity industry. But it’s interesting to see how a market benchmark performs. It’s been a bumpy year for investors in all asset classes and until the past six months, U.S. private equity has been outperforming its large cap public cousins. Whether this recent under performance will persist, or whether U.S. private equity can resume it’s previous sustained higher performance, remains to be seen.</span></span></span></span></span></span></span></p> <p>**********</p> <p><em><strong>Dmitri Alexeev</strong> is Founder and CEO of <strong><a href="https://alphabot.net/homepage">AlphaBot</a></strong>, a collaborative platform for alternative investment research</em></p> <p><em>***</em></p> <p><em>The views expressed in this article are those of the author, and do not necessarily reflect the views of AlphaWeek or its publisher, The Sortino Group Ltd.</em></p></div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-tags--features.html.twig * field--node--field-tags.html.twig * field--node--features.html.twig * field--field-tags.html.twig * field--entity-reference.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-field-tags field--type-entity-reference field--label-hidden field__items"> <div class="field__item"><a href="/hedge-funds-guest-articles" hreflang="en">Hedge Funds Guest Articles</a></div> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <drupal-render-placeholder callback="flag.link_builder:build" arguments="0=node&amp;1=10724&amp;2=bookmark" token="PE9hxJxE6yEEY9w3hMVePg5ITy7xrb0wekFkwkEZMmc"></drupal-render-placeholder> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-author--features.html.twig * field--node--field-author.html.twig * field--node--features.html.twig x field--field-author.html.twig * field--entity-reference.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field--field-author.html.twig' --> <a href="/author/dmitri-alexeev" hreflang="en">Dmitri Alexeev</a> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field--field-author.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-content-role--features.html.twig * field--node--field-content-role.html.twig * field--node--features.html.twig * field--field-content-role.html.twig * field--list-string.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-field-content-role field--type-list-string field--label-above"> <div class="field__label">Content role</div> <div class="field__item">Public</div> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> Mon, 12 Sep 2022 07:04:05 +0000 AlphaWeek Staff 10724 at https://www.alpha-week.com Goldman Sachs Hedge Fund VIP ETF Update https://www.alpha-week.com/goldman-sachs-hedge-fund-vip-etf-update <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--title--features.html.twig x field--node--title.html.twig * field--node--features.html.twig * field--title.html.twig * field--string.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'core/modules/node/templates/field--node--title.html.twig' --> <span>Goldman Sachs Hedge Fund VIP ETF Update</span> <!-- END OUTPUT from 'core/modules/node/templates/field--node--title.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--created--features.html.twig x field--node--created.html.twig * field--node--features.html.twig * field--created.html.twig * field--created.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'core/modules/node/templates/field--node--created.html.twig' --> <span>Mon, 09/05/2022 - 10:59</span> <!-- END OUTPUT from 'core/modules/node/templates/field--node--created.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--body--features.html.twig * field--node--body.html.twig * field--node--features.html.twig * field--body.html.twig * field--text-with-summary.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-body field--type-text-with-summary field--label-hidden field__item"><p><span><span><span><span><span><span><span>We have reviewed performance of a 13-F based ETF, the Goldman Sachs Hedge Industry VIP ETF (GVIP) a couple times before, wondering if such a strategy can create a robust source of value added vs general equity market industry tracking. The results have been somewhat mixed depending on the timeframe: in our November 2021 analysis the ETF strongly outperformed the S&amp;P 500, then in February 2022 we saw it fall back to match the index overall. And now in September 2022, it seems the hedge fund industry darlings have not been able to keep up; the GS ETF continues to underperform the general index, generating more losses through the end of August than the other stocks on average. To make the comparison more fair, we included the Russell 2000 index, as GVIP includes some smaller cap stocks.</span></span></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Figure 1: Performance chart for GVIP, Russel 200 and S&amp;P 500 in 2022 (through August)</span></span></span></em></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="f7508949-b94b-4b1e-9b8f-c17b9bf5d4a2" src="/sites/default/files/inline-images/AlphaBot-2022-09-05-A.png" width="550" height="312" loading="lazy" /></p> <p><span><span><span><span><span><span><span>The exact YTD stats through the end of August show the ETF is behind both indices by almost 10%, with this figure pretty stable ever since the middle of June - the point of the worst drawdown for the markets this year.</span></span></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Figure 2: Statistics for GVIP, Russel 200 and S&amp;P 500 (max drawdown reached in mid-June) in 2022 (through August)</span></span></span></em></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="f6993a6e-54e4-4a42-bcbb-d03a0ac38df2" src="/sites/default/files/inline-images/AlphaBot-2022-09-05-B.png" width="550" height="330" loading="lazy" /></p> <p><span><span><span><span><span><span><span>If we look at a longer time horizon going back to 2016 (the inception year of the GVIP), we can see that the ETF has outperformed the Russell pretty consistently, and had gained a significant advantage over S&amp;P for about 6 months in 2020 (and later gave it all up).</span></span></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Figure 3: Performance chart for GVIP, Russel 200 and S&amp;P 500 from 2016 through August 2022</span></span></span></em></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="ad25cfdd-2b0a-4652-a557-f71db43da3b6" src="/sites/default/files/inline-images/AlphaBot-2022-09-05-C.png" width="550" height="312" loading="lazy" /></p> <p><span><span><span><span><span><span><span>It is notable that most of the outperformance is stemming from the 2020 return, and without that exceptional year the ETF would really not have much to show for it.</span></span></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Figure 4: Annual returns of GVIP vs benchmarks 2016 through August 2022</span></span></span></em></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="2d264a89-6e9b-4544-8cbf-80c8091dec48" src="/sites/default/files/inline-images/AlphaBot-2022-09-05-D.png" width="550" height="91" loading="lazy" /></p> <p><span><span><span><span><span><span><span>Such a performance pattern adds more weight to the passive investment argument - it is quite difficult to find (or create) an actively managed product that provides sustainable alpha and beats broad market indices consistently over an extended period of time. There is success here and there, from time to time, but with a long enough timeline, it seems to vanish and revert back to the average. </span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>To conclude our quick review, here are the stats for the entire 2016-2022 period. The highlighted row shows the volatility of GVIP vs the benchmarks, and it is notable that it is right in the middle of the 3, and such are the risk adjusted stats as well.</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="ff4c0ed9-88bf-4577-9e17-3ebed56f53c9" src="/sites/default/files/inline-images/AlphaBot-2022-09-05-E.png" width="550" height="249" loading="lazy" /></span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>Stay tuned to our blog for updates on the GVIP and other market observations - and thank you for reading!</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>**********</span></span></span></span></span></span></span></p> <p><span><span><span><span><strong><em><span><span><span>Dmitri Alexeev</span></span></span></em></strong><em><span><span><span> is Founder and CEO of </span></span></span></em><span><a href="https://alphabot.net/homepage"><strong><em><span><span><span>AlphaBot</span></span></span></em></strong></a></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>***</span></span></span></em></span></span></span></span></p> <p><em>The views expressed in this article are those of the author and do not necessarily reflect the views of AlphaWeek or its publisher, The Sortino Group</em></p></div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-tags--features.html.twig * field--node--field-tags.html.twig * field--node--features.html.twig * field--field-tags.html.twig * field--entity-reference.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-field-tags field--type-entity-reference field--label-hidden field__items"> <div class="field__item"><a href="/hedge-funds-guest-articles" hreflang="en">Hedge Funds Guest Articles</a></div> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <drupal-render-placeholder callback="flag.link_builder:build" arguments="0=node&amp;1=10723&amp;2=bookmark" token="NZ1OpJmrH2gmLdkFXt22p6bK_YM3USPluh_-wV2BZC4"></drupal-render-placeholder> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-author--features.html.twig * field--node--field-author.html.twig * field--node--features.html.twig x field--field-author.html.twig * field--entity-reference.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field--field-author.html.twig' --> <a href="/author/dmitri-alexeev" hreflang="en">Dmitri Alexeev</a> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field--field-author.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-content-role--features.html.twig * field--node--field-content-role.html.twig * field--node--features.html.twig * field--field-content-role.html.twig * field--list-string.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-field-content-role field--type-list-string field--label-above"> <div class="field__label">Content role</div> <div class="field__item">Public</div> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> Mon, 05 Sep 2022 09:59:17 +0000 AlphaWeek Staff 10723 at https://www.alpha-week.com An Index-Like Approach To CryptoCurrency Investing https://www.alpha-week.com/index-approach-cryptocurrency-investing <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--title--features.html.twig x field--node--title.html.twig * field--node--features.html.twig * field--title.html.twig * field--string.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'core/modules/node/templates/field--node--title.html.twig' --> <span>An Index-Like Approach To CryptoCurrency Investing</span> <!-- END OUTPUT from 'core/modules/node/templates/field--node--title.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--created--features.html.twig x field--node--created.html.twig * field--node--features.html.twig * field--created.html.twig * field--created.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'core/modules/node/templates/field--node--created.html.twig' --> <span>Mon, 04/18/2022 - 16:54</span> <!-- END OUTPUT from 'core/modules/node/templates/field--node--created.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--body--features.html.twig * field--node--body.html.twig * field--node--features.html.twig * field--body.html.twig * field--text-with-summary.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-body field--type-text-with-summary field--label-hidden field__item"><p><span><span><span><span><span><span><span>The world of cryptocurrency investing continues to evolve. There are many factors supporting increasing attention to the space, from geo-political instability forcing people to look for ways to protect and transfer their assets, to central banks activities in creating blockchain versions of their national currencies. As time has passed, the crypto space that was totally new just a few short years ago has adopted traditional investment tools and techniques as indexing, trend-following (and systematic trending in general), and risk management.</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>In this post we take a look at the potential benefits of using an index-like portfolio construction mechanism to control risk and produce a more stable portfolio than, say, allocating to a single crypto-currency. Due to the large number of crypto currencies available, we’ve used a pretty standard approach that we’ve taken from the world of equities, where we’ve focused on a few top performers only. </span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>Since those change quite often (with the exception of Bitcoin, that has maintained market cap dominance over the years as a de-facto staple of the space), we have created our portfolio by picking the five largest cryptos at the beginning of each year from 2015 through 2022, using historical data from Coinmarketcap.com and allocating equal weights to each of them. Then we held this portfolio until the first business day of the next year and so on. We’ve ended up with 14 coins total and the following selection matrix (number inside is the weight, 20% each):</span></span></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Figure 1: Crypto “index” starting weight matrix. </span></span></span></em></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="37fef529-0a44-4354-b238-77737f41b5e8" src="/sites/default/files/inline-images/AlphaBot-2022-04-18-A.png" width="550" height="198" loading="lazy" /></p> <p><span><span><span><span><em><span><span><span>Source: AlphaBot</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><span><span><span>On the right we also included the count of how many times a particular coin has been used in this process with the total max of 8 periods. Clearly Bitcoin has been there from the start, but the rest of selections is not so obvious and represents yet another reminder of the dynamic nature of the space where winners and losers change quite often.</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>Despite allocating 20% to each of the coins at the beginning of each year, the volatility of the space makes the weightings fluctuate significantly due to the relative performance of the coins. The resulting weight chart seems like a cut of some geological layer with a lot of volcanic activity, and it is no surprise as the price action of cryptos is, quite often, explosive.</span></span></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Figure 2: Historic portfolio weights. </span></span></span></em></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="ef9fb2be-3757-4fc9-b32f-ba36c28656e5" src="/sites/default/files/inline-images/AlphaBot-2022-04-18-B.png" width="550" height="291" loading="lazy" /></p> <p><span><span><span><span><em><span><span><span>Source: AlphaBot</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><span><span><span>So, with this approach, what do the results look like? First, we look at the overall portfolio performance vs. the individual ingredients, and notice that it does tend to stay in the upper half of the pack (which is good). To make the VAMI chart easier to read, we have vol-adjusted it to 15% annualized volatility, otherwise due to the triple-digit volatility of coins, it all lumps together. Check the dashed green line below if you can spot it:</span></span></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Figure 3: Relative performance of selected coins and “index” portfolio. </span></span></span></em></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="4614f668-e545-4f20-9a36-c9f78e1e91ed" src="/sites/default/files/inline-images/AlphaBot-2022-04-18-C.png" width="550" height="217" loading="lazy" /></p> <p><span><span><span><span><em><span><span><span>Source: AlphaBot</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><span><span><span>Ok, but besides looking pretty cool, what does all this mental gymnastics give us? Excellent question! Let’s take a look at one more chart that will put this into perspective. First, our little portfolio exercise allowed us to actually outperform Bitcoin!</span></span></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Figure 4: Performance of “index” portfolio, Bitcoin and S&amp;P500. </span></span></span></em></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="23ac00d3-ddd1-4c7c-9040-1b12f6a76de4" src="/sites/default/files/inline-images/AlphaBot-2022-04-18-D.png" width="550" height="323" loading="lazy" /></p> <p><span><span><span><span><em><span><span><span>Source: AlphaBot</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><span><span><span>The stats are correlating with the visuals for the chart above:</span></span></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Figure 5: Performance Statistics</span></span></span></em></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="acba0f97-77ac-42e0-8cbd-118249a8b076" src="/sites/default/files/inline-images/AlphaBot-2022-04-18-E.png" width="550" height="296" loading="lazy" /></p> <p><em><span><span><span><span><span><span><span>Source: AlphaBot</span></span></span></span></span></span></span></em></p> <p><span><span><span><span><span><span><span>This portfolio, created in an index-like fashion, has beaten Bitcoin, an industry leader, by approximately 23% a year, *doubling* the overall performance vs Bitcoin. The outperformance is also almost double the annual S&amp;P500 rate of return in itself, and by any historical standard, a 13% annualized return over the course of seven years is a very decent result. Considering that portfolio volatility has increased only by a third, this approach really makes us think that there is something behind classic index-like investing in cryptos. For the price of periodic rebalancing, it reduces reliance of the investor on a single coin, can reduce risk of loss if any particular one goes “bust” (and we had just a case like that in our portfolio with the Solo coin) and creates opportunity to benefit from other competing coins in this supercharged space.</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>What is not to like? Share your ideas, I will be happy to discuss! And we’ll be checking back in later in the year to see how our current portfolio is doing.</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>**********</span></span></span></span></span></span></span></p> <p><span><span><span><span><strong><em><span><span><span>Dmitri Alexeev</span></span></span></em></strong><em><span><span><span> is Founder and CEO of </span></span></span></em><span><a href="https://alphabot.net/homepage"><strong><em><span><span><span>AlphaBot</span></span></span></em></strong></a></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>***</span></span></span></em></span></span></span></span></p> <p><em>The views expressed in this article are those of the author and do not necessarily reflect the views of AlphaWeek or its publisher, The Sortino Group</em></p></div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-tags--features.html.twig * field--node--field-tags.html.twig * field--node--features.html.twig * field--field-tags.html.twig * field--entity-reference.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-field-tags field--type-entity-reference field--label-hidden field__items"> <div class="field__item"><a href="/hedge-funds-guest-articles" hreflang="en">Hedge Funds Guest Articles</a></div> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <drupal-render-placeholder callback="flag.link_builder:build" arguments="0=node&amp;1=10722&amp;2=bookmark" token="hp7-jeiexLfBty5zAkK7pHiZ67P1Wf-bT1a6TzfHolc"></drupal-render-placeholder> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-author--features.html.twig * field--node--field-author.html.twig * field--node--features.html.twig x field--field-author.html.twig * field--entity-reference.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field--field-author.html.twig' --> <a href="/author/dmitri-alexeev" hreflang="en">Dmitri Alexeev</a> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field--field-author.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-content-role--features.html.twig * field--node--field-content-role.html.twig * field--node--features.html.twig * field--field-content-role.html.twig * field--list-string.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-field-content-role field--type-list-string field--label-above"> <div class="field__label">Content role</div> <div class="field__item">Public</div> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> Mon, 18 Apr 2022 15:54:27 +0000 AlphaWeek Staff 10722 at https://www.alpha-week.com Goldman Sachs Hedge Industry VIP ETF Update https://www.alpha-week.com/goldman-sachs-hedge-industry-vip-etf-update <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--title--features.html.twig x field--node--title.html.twig * field--node--features.html.twig * field--title.html.twig * field--string.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'core/modules/node/templates/field--node--title.html.twig' --> <span>Goldman Sachs Hedge Industry VIP ETF Update</span> <!-- END OUTPUT from 'core/modules/node/templates/field--node--title.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--created--features.html.twig x field--node--created.html.twig * field--node--features.html.twig * field--created.html.twig * field--created.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'core/modules/node/templates/field--node--created.html.twig' --> <span>Wed, 02/16/2022 - 13:39</span> <!-- END OUTPUT from 'core/modules/node/templates/field--node--created.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--body--features.html.twig * field--node--body.html.twig * field--node--features.html.twig * field--body.html.twig * field--text-with-summary.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-body field--type-text-with-summary field--label-hidden field__item"><p><span><span><span><span><span><span><span>Last November, ahead of the quarterly wave of 13F filings in the United States, we took a look at the Goldman Sachs Hedge Industry VIP ETF, which tracks the GS Hedge Fund VIP Index, to see how it was performing versus a broader equity index.</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>It’s time to do it again. As a reminder for those who missed the original post, Goldman Sachs publishes its ‘Goldman Sachs Hedge Fund VIP Index’, which, according to the </span></span></span><span><a href="https://www.gsam.com/content/dam/gsam/pdfs/us/en/ETF/Goldman-Sachs-Hedge-Fund-VIP-Index-Methodology.pdf?sa=n&amp;rd=n"><span><span><span>index methodology</span></span></span></a></span><span><span><span>, “consists of fundamentally driven hedge fund managers’ “Very-Important-Positions,” which appear most frequently among their top 10 long equity holdings.” The ETF tracks this index.</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>In November, we noted that the performance of the ETF appeared to be split into two distinct parts - prior to March 2020, when the world’s markets experienced a large and sudden drawdown at the outbreak of the COVID-19 pandemic and related lock-downs, and immediately after it.</span></span></span></span></span></span></span></p> <p><span><span><span><span><strong><em><span><span><span>Figure 1: GS Hedge Fund Industry VIP ETF vs. S&amp;P 500, Nov 2016 to Feb 2022</span></span></span></em></strong></span></span></span></span></p> <p><span><span><span><span><span><span><span><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="33c8eda2-b148-4950-8c1d-66036077a9c5" src="/sites/default/files/inline-images/AlphaBot-2022-02-16-A.png" width="550" height="316" loading="lazy" /></span></span></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Source: AlphaBot, Goldman Sachs, S&amp;P</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><span><span><span>Prior to the drawdown, the ETF did not really do much different from the general market index. It was a little better at times, and sometimes a little worse, but those fluctuations basically washed each other out resulting in some steady oscillations around the general market. However, something changed going into April 2020 when the EFT literally exploded, and continued to outperform U.S. equities through mid-2021 (and that is on top of already strong equity market performance driven by global stimulus efforts). In the second half of 2021, the outperformance appeared to have exhausted itself, and the ETF’s performance reverted to something close to the mean. </span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>Has anything changed in the past three months? As of February 11, 2022, it appears that the outperformance of the past two years has completely reversed back to the performance of the broader market, with performance metrics for almost a year being nearly identical (figures 2 and 3 below). In fact, the S&amp;P 500 shows better risk adjusted metrics because it did not suffer as much of a decline in January as the VIP set that got crushed pretty hard. </span></span></span></span></span></span></span></p> <p><span><span><span><span><strong><em><span><span><span>Figure 2: GS Hedge Fund Industry VIP ETF vs. S&amp;P 500, March 2020 - February 2022</span></span></span></em></strong></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="b6a46f48-ca91-41ea-940d-84ac222b5839" src="/sites/default/files/inline-images/AlphaBot-2022-02-16-B.png" width="550" height="313" loading="lazy" /></p> <p><span><span><span><span><em><span><span><span>Source: AlphaBot, Goldman Sachs, S&amp;P</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><strong><span><span><span>Figure 3: Return metrics</span></span></span></strong></span></span></span></span></p> <p><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="15d01f18-0ac8-49d9-bdc3-9611385a0929" src="/sites/default/files/inline-images/AlphaBot-2022-02-16-C.png" width="500" height="432" loading="lazy" /></p> <p><span><span><span><span><em><span><span><span>Source: AlphaBot</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><span><span><span>I guess this is just more proof of the old “what goes up must come down” adage, as well as yet another case illustrating that market timing is both the most influential but difficult component to factor into one’s portfolio; missing entry and exit points by just a few weeks can completely change performance from outsized gains into outsized losses. Additionally, the data provides fuel for both those who believe that active management doesn’t outperform in the long term and those who think that hedge fund managers need to stay away from crowded trades in order to generate persistent alpha.</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>At the time of writing, we were expecting the new glut of 13F filings to be submitted to the SEC. We’ll revisit the Goldman Sachs Hedge Industry ETF in future to see if the hedge fund set can start beating the market again, as well as highlight some interesting portfolio construction techniques in our future posts, so stay tuned!</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>**********</span></span></span></span></span></span></span></p> <p><span><span><span><span><strong><em><span><span><span>Dmitri Alexeev</span></span></span></em></strong><em><span><span><span> is Founder of </span></span></span></em><span><a href="https://alphabot.net/"><strong><em><span><span><span>AlphaBot</span></span></span></em></strong></a></span></span></span></span></span></p> <p>***</p> <p><em>The views expressed in this article are those of the author and do not necessarily reflect the views of AlphaWeek or its publisher, The Sortino Group</em></p></div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-tags--features.html.twig * field--node--field-tags.html.twig * field--node--features.html.twig * field--field-tags.html.twig * field--entity-reference.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-field-tags field--type-entity-reference field--label-hidden field__items"> <div class="field__item"><a href="/hedge-funds-guest-articles" hreflang="en">Hedge Funds Guest Articles</a></div> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <drupal-render-placeholder callback="flag.link_builder:build" arguments="0=node&amp;1=10721&amp;2=bookmark" token="B2h_PCY97pvDawuTQvTkbom6bxZhPH8X9PoqO7IX1qg"></drupal-render-placeholder> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-author--features.html.twig * field--node--field-author.html.twig * field--node--features.html.twig x field--field-author.html.twig * field--entity-reference.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field--field-author.html.twig' --> <a href="/author/dmitri-alexeev" hreflang="en">Dmitri Alexeev</a> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field--field-author.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-content-role--features.html.twig * field--node--field-content-role.html.twig * field--node--features.html.twig * field--field-content-role.html.twig * field--list-string.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-field-content-role field--type-list-string field--label-above"> <div class="field__label">Content role</div> <div class="field__item">Public</div> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> Wed, 16 Feb 2022 13:39:10 +0000 AlphaWeek Staff 10721 at https://www.alpha-week.com Goldman Sachs Hedge Fund Industry VIP ETF Outperforming Since Pandemic https://www.alpha-week.com/goldman-sachs-hedge-fund-industry-vip-etf-outperforming-pandemic <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--title--features.html.twig x field--node--title.html.twig * field--node--features.html.twig * field--title.html.twig * field--string.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'core/modules/node/templates/field--node--title.html.twig' --> <span>Goldman Sachs Hedge Fund Industry VIP ETF Outperforming Since Pandemic</span> <!-- END OUTPUT from 'core/modules/node/templates/field--node--title.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--created--features.html.twig x field--node--created.html.twig * field--node--features.html.twig * field--created.html.twig * field--created.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'core/modules/node/templates/field--node--created.html.twig' --> <span>Mon, 11/08/2021 - 14:20</span> <!-- END OUTPUT from 'core/modules/node/templates/field--node--created.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--body--features.html.twig * field--node--body.html.twig * field--node--features.html.twig * field--body.html.twig * field--text-with-summary.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-body field--type-text-with-summary field--label-hidden field__item"><p><span><span><span><span><span><span><span>It’s mid-November, and that means that hedge fund managers will shortly report their long public equity positions to the SEC for the quarter ending September 2021. </span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>Goldman Sachs publishes its ‘Goldman Sachs Hedge Fund VIP Index’, which, according to the </span></span></span><span><a href="https://www.gsam.com/content/dam/gsam/pdfs/us/en/ETF/Goldman-Sachs-Hedge-Fund-VIP-Index-Methodology.pdf?sa=n&amp;rd=n"><span><span><span>index methodology</span></span></span></a></span><span><span><span>, “consists of hedge fund managers’ “Very-Important-Positions,” or the US-listed stocks whose performance is expected to influence the long portfolios of hedge funds. Those stocks are defined as the positions that appear most frequently among the top 10 long equity holdings within the portfolios of fundamentally-driven hedge fund managers.”</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>Goldman Sachs also has an ETF that tracks this index, The Goldman Sachs Hedge Fund Industry VIP ETF, so this week we wanted to see how it’s doing ahead of the new data that will be coming out in the next couple of weeks.</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>The result is interesting, and performance of the ETF appears to be split into two distinct parts - prior to March 2020, when the world’s markets experienced a large and sudden drawdown at the outbreak of the COVID-19 pandemic and related lock-downs, and immediately after it.</span></span></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Figure 1: GS Hedge Fund Industry VIP ETF vs. S&amp;P 500 Since November 2016</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><em><span><span><span><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="5317ceef-a216-415c-a275-e87e5ec023ef" src="/sites/default/files/inline-images/AlphaBot-2021-11-08-A.png" width="550" height="333" loading="lazy" /></span></span></span></em></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Source: AlphaBot, Goldman Sachs, S&amp;P</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><span><span><span>Prior to the drawdown, the ETF did not really do much different from the general market index. It was a little better at times and sometimes a little worse, but those fluctuations basically washed each other out resulting in some steady oscillations around the general market. However, something changed going into April 2020 when the EFT literally exploded, and continued to outperform U.S. equities through mid-2021 (and that is on top of already strong equity market performance driven by global stimulus efforts). In the second half of 2021, the outperformance appeared to have exhausted itself, and the ETF simply continued to ride on the earlier gains.</span></span></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Figure 2: GS Hedge Fund Industry VIP ETF vs. S&amp;P 500 Since March 2020</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><em><span><span><span><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="673fbfb3-6ac6-434b-8a15-d5996966f91a" src="/sites/default/files/inline-images/AlphaBot-2021-11-08-B.png" width="550" height="330" loading="lazy" /></span></span></span></em></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Source: AlphaBot, Goldman Sachs, S&amp;P</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><em><span><span><span><img alt="AlphaBot" data-entity-type="file" data-entity-uuid="7940bdac-fa0d-4a91-93cd-04733160c5ca" src="/sites/default/files/inline-images/AlphaBot-2021-11-08-C.png" width="550" height="496" loading="lazy" /></span></span></span></em></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>Source: AlphaBot</span></span></span></em></span></span></span></span></p> <p><span><span><span><span><span><span><span>Starting from March 20, 2020 the S&amp;P has basically doubled itself (as of the time of writing), and GS ETF has managed to put almost 20% on top of that. </span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>The real interesting question is whether this product will be able to continue to consistently outperform the U.S. public equity market going forward, or whether this was a one time “lucky guess”. Referring to publications and sources analyzing the 13-F filings by hedge funds (the source of the top equity position information) can help inquiring readers to answer that question and decide if they want to play the 13-F game or simply hold an equity index. In any case, good luck, and we’ll be keeping an eye on this to see if performance does normalise or whether the Goldman ETF - and, indirectly, the hedge funds - can maintain the current gap.</span></span></span></span></span></span></span></p> <p><span><span><span><span><span><span><span>**********</span></span></span></span></span></span></span></p> <p><span><span><span><span><strong><em><span><span><span>Dmitri Alexeev</span></span></span></em></strong><em><span><span><span> is Founder and CEO of </span></span></span></em><span><a href="https://alphabot.net/homepage"><strong><em><span><span><span>AlphaBot</span></span></span></em></strong></a></span></span></span></span></span></p> <p><span><span><span><span><span><em><span><span><span>***</span></span></span></em></span></span></span></span></span></p> <p><span><span><span><span><em><span><span><span>The views expressed in this article are those of the author, and do not necessarily reflect the views of AlphaWeek or its publisher, The Sortino Group Ltd.</span></span></span></em></span></span></span></span></p></div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-tags--features.html.twig * field--node--field-tags.html.twig * field--node--features.html.twig * field--field-tags.html.twig * field--entity-reference.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-field-tags field--type-entity-reference field--label-hidden field__items"> <div class="field__item"><a href="/hedge-funds-guest-articles" hreflang="en">Hedge Funds Guest Articles</a></div> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <drupal-render-placeholder callback="flag.link_builder:build" arguments="0=node&amp;1=10720&amp;2=bookmark" token="qliFWtChOHiYQBlmklsvRDVywM6MyvfKQB86IqK66WA"></drupal-render-placeholder> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-author--features.html.twig * field--node--field-author.html.twig * field--node--features.html.twig x field--field-author.html.twig * field--entity-reference.html.twig * field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field--field-author.html.twig' --> <a href="/author/dmitri-alexeev" hreflang="en">Dmitri Alexeev</a> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field--field-author.html.twig' --> <!-- THEME DEBUG --> <!-- THEME HOOK: 'field' --> <!-- FILE NAME SUGGESTIONS: * field--node--field-content-role--features.html.twig * field--node--field-content-role.html.twig * field--node--features.html.twig * field--field-content-role.html.twig * field--list-string.html.twig x field.html.twig --> <!-- BEGIN OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> <div class="field field--name-field-content-role field--type-list-string field--label-above"> <div class="field__label">Content role</div> <div class="field__item">Public</div> </div> <!-- END OUTPUT from 'themes/gavias_vinor/templates/fields/field.html.twig' --> Mon, 08 Nov 2021 14:20:12 +0000 AlphaWeek Staff 10720 at https://www.alpha-week.com