Monthly QIS Review - April 2025

Executive Summary

In April 2025, QIS delivered a modest +0.4 % aggregate gain on average, yet dispersion surged: the spread between the best and worst composite exceeded 13 percentage points, the widest in two years. Equity factor models and liquidity harvesters thrived, while momentum and commodity value sleeves struggled.

Market Environment

A tariff‑fueled sell‑off early in April and an equally violent mid‑month rebound left global equities roughly unchanged. Credit spreads and yields whipsawed, the dollar logged its worst month in two years, oil collapsed, and gold briefly topped $3,500/oz. This roller‑coaster created fertile ground for mean‑reversion and liquidity strategies but punished intraday momentum and carry trades tied to growth expectations.

Top & bottom five composites

• Top performers:

  1. Equities / Factor – Mean Reversion: +6.5 % — best month since 2022 as single‑name reversals spiked.

  2. Equities / Factor – Liquidity: +4.5 % — mid‑cap breadth rally.

  3. Equities / Factor – ESG: +4.2 % — rotation into quality / sustainability names.

  4. FX / Carry – Correlation: +2.6 % — steady cross‑asset vol rewarded pairs.

  5. Equities / Factor – Event: +2.5 % — rich corporate‑actions pipeline.

• Largest detractors:

  1. FX / Momentum – Intraday: ‑6.9 % — worst month on record; whipsaws erased trends.

  2. Commodities / Value: ‑4.1 % — term‑structure carry hurt by oil rout.

  3. Equities / Factor – Intraday Momentum: ‑3.8 % — reversal‑heavy tape.

  4. Commodities / Momentum – Intraday: ‑2.4 % — copper and energy chop.

  5. Credit / Carry – Short Vol: ‑2.3 % — early‑month spread blow‑out pinched short‑gamma books.

Compared with Q1, the winning cohort averaged +3.8 % (vs +0.6 % previously), while the losing cohort averaged ‑4.3 % (vs ‑1.7 %), highlighting April’s amplified tailwinds and headwinds.

Bucket performance insights

• Factor (+1.5 %) posted its strongest month since late‑2023, benefiting from the VIX spike to 52 and the subsequent mean‑reversion wave.

• Liquidity (+0.5 %) also prospered as bid/ask spreads widened in the sell‑off and compressed during the rebound, generating a round‑trip harvest.

• Hedging (‑0.2 %) was a mild drag, yet markedly better than its ‑0.9 % Q1 run‑rate, as long‑vol sleeves gave back early gains when panic faded.

• Carry (‑0.3 %) was mixed: correlation‑carry in rates and FX offset energy‑related pain.

• Momentum (‑1.9 %) remained under pressure but drew down less than in Q1 as models recalibrated.

• Value (‑0.8 %) flipped negative versus a small Q1 gain, hurt by commodity and FX value screens caught long crude and long the dollar.

Relative to historic medians (2019‑24), April’s dispersion was in the 90th percentile for Factor and Liquidity, but only in the 40th percentile for Hedging and Carry—underscoring where active risk paid off.

Asset‑class view

• Equities (+1.2 %) enjoyed their best absolute month since November 2024, far outpacing the MSCI World’s flat print, thanks to breadth and event catalysts.

• Rates (+0.2 %) swung with the U.S. 10‑year (3.9 → 4.5 → 4.16 %)—long‑vol hedges lagged, but correlation‑carry and term‑premium harvesters profited.

• Credit (‑0.8 %) was dented by the early spread blow‑out, yet clawed back roughly half of intra‑month losses as sentiment normalized.

• FX (‑0.7 %) suffered from dollar weakness that undermined long‑USD carry, though correlation‑carry strategies cushioned the blow.

• Commodities (‑1.5 %) were the only asset class to worsen vs Q1; oil’s plunge and early copper sell‑off overpowered gains from precious‑metals hedges.

Conclusion

April highlighted three broad themes across the systematic‑strategy universe:

1. Dispersion and factor resurgence. Heightened intra‑month volatility and violent price reversals re‑energised equity factor models—especially mean‑reversion, liquidity, and ESG tilts—pushing bucket‑level returns to their strongest reading in more than a year.

2. Momentum under strain, carry mixed. Intraday momentum engines faced their sharpest whipsaws since 2022, and momentum as a whole remained the weakest bucket. Carry strategies proved bifurcated: correlation‑carry in rates and FX held up, while commodity and credit carry struggled amid oil’s collapse and an early spread blow‑out.

3. Commodity headwinds despite safe‑haven bids. Energy‑linked value and momentum screens sustained losses as crude fell to three‑and‑a‑half‑year lows; gains in precious‑metals hedges were not enough to offset the drag, leaving commodities the sole asset class to deteriorate versus the first quarter.

Overall, the QIS landscape in April was characterised by record‑wide dispersion, factor‑led out‑performance, and continued pressure on short‑term trend‑following—all unfolding against a backdrop of sharp macro swings in rates, spreads and the dollar. These conditions underscored both the opportunity set for adaptive, multi‑bucket frameworks and the ongoing challenge for strategies reliant on directional momentum in choppy markets.