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 percent since June. Hedge fund underperformance is not a new issue, a commonality in the recent quantitative easing period…
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- Hedge fund underperformance is not a new issue, a commonality in the recent quantitative easing period
- Deutsche Bank says hedge fund underperformance triggered by volatility factor, which is different than VIX volatility
- The Deutsche Bank "volatility factor" is a ratio of high risk to low risk stocks with a correlation factor
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