CLASSREVIEW: Violation of Neutrality

Market-neutral strategies are supposed to enable a hedge fund to deliver positive returns in any market, but many managers — and investors — have found that this implicit promise has been broken.

Market-neutral strategies are supposed to enable a hedge fund to deliver positive returns in any market, but many managers — and investors — have found that this implicit promise has been broken. The HFRI equity market-neutral index slumped 2.24 percent in the 12 months ended in September, according to Chicago-based Hedge Fund Research.

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