While such pairings may seem natural for hedge funds, there are three exceptions to this rule: For equity market neutral, global macro, and long/short equity, the higher volatility state has higher expected returns.
Therefore, the interpretation of the low-mean state for convertible arbitrage may be quite different than the interpretation of the low-mean state for equity market neutral.
That the graveyard database also contains successful funds is supported by the fact that in some categories, the average mean return in the graveyard database is the same as or higher than in the live database--for example, convertible arbitrage, equity market neutral, and dedicated short-seller.
Equity Market Neutral
(EMN) funds have been generally successful in profiting from a variety of environments and have provided an effective counterbalance in diversified portfolios during periods of market volatility, such as following the Lehman Brothers bankruptcy in September 2008.
UBS Global Asset Management is also launching the US Fundamental Equity Market Neutral Plus MSCI World Equity strategy, as well.
We believe that the US Fundamental Equity Market Neutral strategy is differentiated from most other strategies in the market neutral space as our fundamental, forward-looking estimates contrast with the multi-factor techniques employed by quantitative managers.
13% Equity Market Neutral
< < < < < < < < < 2.
The Equity Market Neutral
sector experienced the largest asset inflows on a percentage basis, with inflows in June equal to 1.
today said its latest industry research signals a rebound for Equity Market Neutral hedge funds that use statistical arbitrage techniques.
Extreme market turmoil during the first two weeks of August led to a technical sell-off, sudden spike in volatility and a subsequent drop in performance for equity market neutral funds" according to Oliver Schupp, president, Credit Suisse Index Co.
The Multi-Strategy and Equity Market Neutral
sectors experienced the largest asset inflows on a percentage basis, with inflows in January equal to 0.