'Dangerous spike' in value minus growth
Is value minus growth driving the hedge fund downturn and when will the rotation end?
Hedge fund performance over the past few months can at best be described as disappointing, with many funds anecdotally reporting real pain. Over the same time period, the S&P 500 has remained relatively flat, adding to investor concern and simultaneously deflating any claims that systemic risk is to blame.
Within the equity long/short sector, however, a subtle and dangerous rotation has occurred: a spike in the value minus growth (VMG) factor with accompanying characteristics that have not been
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