Mariner’s CRO on avoiding predictable surprises
Buy-side risk survey: relative value specialist builds shocks into investment strategy
This is the fourth in a series of articles connected to our buy-side risk survey. Click here to read the rest of the series.
Friday the 13th of March was a real horror show for relative value hedge funds. After stocks crashed the previous day, investors began dumping bonds in a desperate dash for cash. Dealers struggled to absorb the selling. Spreads widened and the usual correlations between bonds and futures broke down, setting off a massive unwinding of basis trades. That morning, yields on
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