Saturday, February 24, 2024

March crisis showed illiquidity risk to CTAs in alt markets: CFM

CFM chairman Jean-Philippe Bouchaud

  • “Our instinct has been to be wary of illiquidity,” French manager says in note
  • Listen to CFM chairman Jean-Philippe Bouchaud on the AFI podcast. Read the key takeaways here.
  • Sign up to AFI’s free industry briefings. Access our intel package of the 64 largest hedge funds managing $10bn+ here.

Performance losses by so-called “alternative market” CTAs in March have highlighted their illiquidity risk, according to Capital Fund Management (CFM).

The collapse of Silicon Valley Bank (SVB) sparked a rapid reversal in interest rates, breaking trends which had been building profits for CTAs, most notably short fixed-income positions.

Please subscribe to Alternative Fund Insight to continue reading
Alternative Fund Insight provides high-value information, industry analysis, exclusive interviews and business intelligence tools to professionals in hedge funds and private markets.