You cannot eat Relative Performance

In the world of institutional investment management beating the performance benchmark is the holy grail. When a fund loses money it is sufficient to lose less money than peer funds. But as a private investor you cannot be that complacent. You cannot eat relative performance. So the fact that the average 'Quantitative' or 'Systematic' fund is down during the past year is no consolation/. If you were sold on the idea that they offer performance that is not correlated with the big market indices you may well wake up to the fact that there is no surefire way to escape market volatility.
What’s wrong with AQR? - ValueWalk