Many market-neutral funds did exactly what they said on the tin in summer, achieving true market neutrality when much of the industry was displaying beta correlation in August, defying markets that fell and took hedge returns down with them.
Augustus Capital's Augustus MJK Fund was just one such example. It is beta-neutral and trades global equities long and short, predominantly utilising a quantitative process.
Since its launch in January, 2005, the S&P 500 index has had nine negative months
The week on Risk.net, July 14–20, 2017Receive this by email