A return dispersion in October is making it among the most difficult months for hedge funds, notes a Credit Suisse analyst, with long / short hedge funds being particularly hard hit based on their sector strategy.
Sector rotation in part responsible for long / short strategy negative returns
It was sector rotation that was responsible for equity long / short hedge fund underperformance in October, as the hot strategy turned in cold performance, as previously noted in ValueWalk.
The rotation started with losses from underweight exposure in energy and industrials combined with overweight healthcare and internet which lagged indices. “From this performance hole, earnings and...
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