Another Strategy That’s Struggling in the Covid-19 Era? Risk Premia.
AQR, Two Sigma, and GAM’s risk premia funds are down this year.
Quant-based risk premia funds are having a difficult time recovering from the Covid-19 pandemic.
After falling sharply earlier in the year, the risk premia funds managed by major hedge fund purveyors — AQR Capital Management, Two Sigma and GAM — are still in negative territory this year.