In the second part of an interview, Caio Natividade, global head of quantitative investment solutions research, and Sorin Ionescu, head of QIS structuring, talk about market neutral, cross-asset and call overwriting type of structures.
“We saw a dispersion in performance of market neutral types of strategies last year,” says Natividade. “In the equity market there was what has been described now academically as the quant crisis of 2018 to 2020 - when the only strategies that performed well in equity markets were those invested in mega cap stocks. There are forces that have led to that including the stage of the economic cycle we are in which has been very pro-growth - mega cap companies tend to be more and m
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