Credit Suisse: Long / Short Hedge Fund Dispersion Nears Record

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Mark Melin
Published on
Updated on

A return dispersion in October is making it among the most difficult months for hedge funds, notes a Credit Suisse analyst, with long / short hedge funds being particularly hard hit based on their sector strategy. Sector rotation in part responsible for long / short strategy negative returns It was sector rotation that was responsible for equity long / short hedge fund underperformance in October, as the hot strategy turned in cold performance, as previously noted in ValueWalk. The rotation started with losses from underweight exposure in energy and industrials combined with overweight healthcare and internet which lagged indices. “From this…

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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.