June 2016 could go down as one of the most significant months for hedge fund performance during the quantitative easing era. Of course the August market sell-off – a flash crash that was predicted for the first time in known history – was significant. Then the “V” shaped price sell-off and rebound in the first quarter 2016 was interesting as a benchmark. But compare it all with the “V” shaped Brexit drawdown-recovery pattern, and one may realize why June 2016 and the “Brexit V” crash and recovery might be most interesting. To benchmark the situation, consider the Morgan Stanley June 8,…
On This Page
- Morgan Stanley identifies long end of relative value ratio management as causation of pain
- Analyzing various probability paths as to why long / short once again faltered
- Ratio management could be one source of causation for long / short under-performance along with volatility triggers in portfolio scaling
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