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.”