The US quantitative risk model at AllianceBernstein was in neutral for months, but jumped several levels right into high risk immediately following the Brexit vote. Their forward-looking global risk management model is showing signs of potential increased volatility ahead. In this investing environment recognizing crowded trades and the relative importance regarding stock selection can be the key, the report advocates. Brexit “divorce” will need time to play out, “be choosy” says Bernstein Macro considerations are likely to dominate markets in an environment as a wait and see attitude relative to the Brexit “divorce” needs to play itself out. In a…
Crowded Trades Delivering Hedge Fund Pain
Mark Melin
Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.