Some funds' market-neutrality did not shield them from losses, but their balancing of shorts and longs may have helped them avoid the worst of May's turbulence.
Eion Murray, head of quantitative strategies at Old Mutual Asset Managers (OMAM) concedes that, during May, his fund experienced the market's volatility, as did funds in other strategies, though it ended the month flat, a result that should have pleased investors.
"That can be a double-edged sword," says Murray. "Halfway through the mo
The week on Risk.net, December 2–8, 2017Receive this by email