Is there still life in the low-vol bet?
Quant analysts disagree on rate sensitivity of $150 billion strategy
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
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