Wednesday, June 12, 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
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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.

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