Deutsche Bank Quants Explain Hedge Fund UnderperformanceMark Melin
The market environment for hedge funds in 2015 has been “marked by an acute and prolonged de-risking episode,” a recent quant piece from Deutsche Bank notes. In fact the bank’s “volatility factor,” a measure that approximates high risk and low risk equity performance, reveals the most recent 2015 episode of de-risking was “deeper than that during (second half of) 2014, and its impact on fundamental equity managers was severe,” with its model hedge fund portfolio underperforming the general market by -4.8 . . .
This content is exclusively for paying members.
If you are subscribed and having an account error please clear cache and cookies if that does not work email [email protected] or click Chat.