Is there still life in the low-vol bet?

Quant analysts disagree on rate sensitivity of $150 billion strategy

Banks braced for volatility after Euro Stoxx rally
The exodus from low vol is gaining speed

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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: