Systematic strife

摘要

Systematic indices were hailed as the big investment story of 2013, but it turned out to be a tough year for many rules-based strategies that failed to live up to impressive backtests. Dynamic volatility, carry, and strategies linked to risk parity all suffered as markets reacted wildly to the Fed's QE tapering discussions. "Most vol strategies are relying on trend patterns as signals, but QE and tapering has changed those patterns," said Stephane Mattatia, head of global equity flow at SG. "Since the long-lasting put began to fade, we've seen a succession of short-lived crises that have been bad for carry-based income strategies, but weren't enough to create value for hedging strategies."