March was a strong month for quantitative investing. Sable and positive equity retums, folowed by orderly weakness in Treasury and commodity markets, kept global risk appetite stable and allowed our strategies-especially the market neutral ones-to perform in line with expectations. Markets were stable but not dull- there was enough volatiity to allow our(costle ntraday porfolio to outpeform again. and for our convexity portfolio to also post strong gains.

The COVD nsk factor is slowy ting from equity markets. and with it comes the end of the previous dichotomy between pandemic winners-momentum. Cualty and Low Beta- and pandemic losers-3 k.. Equity Value. Even Momentum is now rotating out of the COVID trade. as per our Factor Focus on p. 10 The Value rally alludes to the expected degree of economic recovery. but the Cuality and Low Beta rallies show us that markets are also cautious Twenty six out of twenty nine of our retum streams posted positive retums in March and the outlook remains benign as we relate porfolio sensitivities from p 16 with the De Macro House View going into 02. as per p5 Other than that. we have a few other highlights: 

In Equities. weve aunched a new series of fundamental cash factors-cur Owner Senes-on Bloomberg See p7 for details.

In intraday CTA markets, we introduce a new"gap nsk premium" The concept orginally idented as part of our research on unconditional seasonalities, shows promising results across asset classes. See more of that on p. 11 

We reiterate our bullish view on Equity Value, initiated in our January GFM eport, as per p 0.