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Is Ytd 2019 Performance of ARP Funds a Mirror Image of 2018 or an Altogether Different Story?


After a difficult fourth quarter of 2018 for equity and credit markets, few investors could have imagined such a strong rebound in the first quarter of 2019, LFIS’ analyzes any link to the equity market rebound over the same period and if the factors that penalized the ARP industry in 2018 were behind the 2019 rebound.

The alternative risk premia (ARP) industry delivered robust performance in the first quarter of 2019 (“Q1”), exactly like equity markets. A legitimate question, therefore, is if there is a causal link. Beyond assessing the market neutrality of the ARP industry, it is also interesting to ask if the same factors that penalized the ARP industry in 2018 were drivers of the rebound in Q1. This study is therefore a continuation of the research paper published in Risk.net earlier this year – titled “The common drivers behind alt risk premia’s difficult year”.

Unless otherwise stated, all information and views expressed are those of LFIS as of May 2019 and are subject to change.  There can be no assurance that strategies will perform in line with expectations.  This promotional document is for professional, institutional and/or qualified investors only and does not constitute, on LFIS’ part, an offer, solicitation, invitation to buy or sell, or investment advice regarding any vehicle, which may be managed and/or advised by LFIS and/or any security or financial instrument mentioned herein, or to participate in any investment strategy directly or indirectly.

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