Convex strategies and cross-asset trend following had a good ride in Q1, but market neutral strategies underperformed.
A recent ‘ex-ante sensitivity analysis’ by Deutsche Bank’s QIS team suggests that February, after all, wasn’t a bad month. “Convex strategies had another good ride; our intraday portfolio was up again; our short-term rates momentum strategy was a star; and our cross-asset trend following closed the month in the black, despite the end of month drop,” says Caio Natividade, global head of quantitative investment solutions research, at the German bank. Although some risk control strategies struggl
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