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Quant hedge funds gain as global government bonds sell off
The US 10-year Treasury yield rose from about 4% at the end of February to above 5.2%, reaching 5.342% on Oct. 1.
Systematic hedge funds have benefited from a sharp sell-off in government bonds this year, with trend-following strategies taking advantage of sustained increases in yields as inflation concerns intensify, according to a Financial Times report summarized by Hedgeweek.
The outlet said computer-driven funds built sizeable positions against fixed income as the war involving Iran, higher energy prices, and resilient US economic data supported expectations that inflation and interest rates would stay elevated.
Hedgeweek cited moves in market benchmarks, including the US 10-year Treasury yield climbing from around 4% at the end of February to above 5.2%, and reaching 5.342% on Oct. 1, its highest level since 2002.
Among quantitative managers highlighted, Graham Capital’s Tactical Trend fund was up more than 31% for the year at the time of the latest figures, including a 3.3% gain in September, while Winton’s Diversified Macro fund gained 17.5% over the year through late September, according to people familiar with the performance.