In unprecedented market conditions, wide dispersion between managers within strategies and sub-strategies creates exceptions to any generalization, and could prompt a rethink of risk models. Directional strategies have generally done better than relative value approaches, partly due to liquidity issues. The fact that bid offer spreads blew out to 10 times their normal level could have a massive impact on some convertible arbitrage managers or a leveraged emerging market strategy that prices longs at the bid and shorts at the offer. But there are relative value traders – such as an agricultural arbitrageur we will profile in the next issue – who have had their best ever month in March 2020. 

Within the directional quant space, faster models have mostly outperformed slower models, which is perhaps unsurprising given the Covid-19 crash was many times faster than even the climax of the 2008 crash. CTAs trading on technical price data have, on average, outperformed systematic macro funds using fundamental data; yet a few systematic macro funds have really shined.