CICC Hong Kong scrutinises quant strategies after sector's woes
Asset manager strives to understand better what drives its risk premia returns
Barely a year after it started live trading in its alternative risk premia strategy, and as it plans to open the fund to outside investors, CICC Hong Kong Asset Management is scrutinising the drivers of return behind individual strategies after quant funds globally were battered last year.
Qilong Zhang, who manages CICC’s global risk premia strategy, says it pays to look at the maximum drawdowns, diversification characteristics, alpha contribution to the portfolio and factor interactions of
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