The recent bond market turmoil triggered by the collapse of Silicon Valley Bank, Signature Bank and Credit Suisse, caught out many macro and trend-following hedge funds, according to a report by the Financial Times, with monthly losses among the worst seen since the Dotcom bust.
The recent bond market turmoil triggered by the collapse of Silicon Valley Bank, Signature Bank and Credit Suisse, caught out many macro and trend-following hedge funds, according to a report by the Financial Times, with monthly losses among the worst seen since the Dotcom bust.
CTA funds, which manage around $200 billion in assets and use algorithms to detect and profit from trends in global futures markets, were caught off guard by the reversal in US global treasuries following SVB’s failure. SocGen’s CTA Index, which tracks the performance of 20 of the largest CTAs, fell 6% in there two days following the bank’s collapses and has since slid further, ending the month down 6.4%, according to the FT, its worst monthly performance since November 2001.
Funds manage by Man Group, Aspect Capital and Systematic Investment were all reportedly among those caught out by the sudden rush into safe US government debt, which sent bond yields plummeting, losing 19.8%, 13.1% and 7.6% in March, respectively, according to a data from HSBC.
