Navigating the Return of Volatility

BRI Global Market Neutral Index

February 2018 (MTD) Update

So far, the month of February has proven a difficult one for global equity markets. ThroughFriday, the S&P 500 Index was down 7.24% as volatility exploded to the upside causing losses for many active managers relying on a short-volatility bias as a preferred source of return (not to mention the catastrophic losses for short VIX-related exchange traded products).
The BRI Global Market Neutral Index (BRIGMN) seeks to isolate the compensated factor premium, on a market neutral basis, across global equity markets. The result is a long volatility profile with a negative correlation to global equities during drawdowns.
This has been especially true this month, with the BRIGMN Index up +0.35% the month (through Friday) while the MSCI All Country World Index was down -7.3%:
Unfortunately, many of the hedge strategies that investors have expected to demonstrate these characteristics in periods of market turbulence have failed to do so this month:
Equally of interest, the BRI Tail Risk Indicator had its first signal in over a year on Tuesday(pre-market) and remains moderately elevated:
Please contact us if you would like to discuss or review any additional information.

About BRI Partners, LLC

BRI Partners, LLC, was originally founded in 2001 as a hedge fund seeding company. After divesting of the hedge fund companies in its portfolio in 2013 the original BRI Partners ended its seeding business. In 2016 the company was reformed, re-establishing itself as a creator and licensor of investible beta hedge fund indexes. BRI also specializes in research focused on quantifying, analyzing and demystifying the risk and alpha in alternative strategies. BRI strives to be intellectually honest, transparent and focused on quality. BRI is committed to acting with equanimity and engaging in collaborative, open-minded relationships with our clients and our partners to create true value for all.

For more information about BRI Partners, please visit

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