Dario Brandolini
“The JPM Highbridge quantitative strategy has been downgraded and consequently the portfolio weight has been reduced. Two aspects underlie this decision. First, the strategy proved to be too much correlated with other quant strategies, then subject to crowded trades problems. Although Highbridge declares to have done improvements in this sense after the August crisis, the correlation with quant funds, including hedge funds, is still considered a negative. Second, the fund in August exhibits an unexpected level of volatility; therefore its weight into the portfolios has been reconsidered according to this higher level of risk.”
Amount (E) Fund
6,000 AXA WF Euro Bond 1-3
6,000 IXIS Loomis US Large Cap Growth
6,000 PF Absolute Return Global Diversified P EUR
5,000 Deka-Euro RentenPlus TF
5,000 INVESCO Sterling Bond
5,000 JB Commodity Fund B EUR
5,000 JB US Leading
5,000 Mellon Evolution Alpha Global Fund
5,000 MELLON Glob Currency Option C EUR
4,500 AMEX-GEMAR AEH?
4,500 Morgan Stanley FX RC 800
4,000 JPM Euro Dynamic MEGACAP
4,000 Legg Mason US Growth
4,000 MLIIF European Growth
4,000 Vitruvius European Equity
3,000 AMEX World Energy
3,000 CS Global Telecom
3,000 Deka Xtension CF EUR
3,000 IXIS AMA Pacific Rim Equities
3,000 IXIS Oakmark Global Value
3,000 JPM Highbridge Statistical Mkt Neutral EUR
3,000 M&G Global Leaders
3,000 Vitruvius Growth Opportunities
3,000 Vitruvius Japanese Eq.
