Low-volatility funds look set to be big losers during the reflation trade, with $11.5 billion leaching from the sector in the second half of 2016, according to research house Bernstein.
A common view is investors are taking flight from the strategy’s oft-cited sensitivity to rising rates. Yet the exodus – which started mid-last year and gained steam after the US election – has fired up a debate about how marked that sensitivity really is.
Michael Hunstad, head of quant research at Northern Tru
The week on Risk.net, April 7–13, 2018Receive this by email