These trades acutely tied to the business cycle may have more room to run as COVID-19 cases fall and fresh U.S. stimulus kicks in.
While the Treasury rout may be inflicting fear and loathing across Wall Street, it’s been a boon for Quantica as the firm profits from one of the biggest bond shorts in its 16-year history.Article content “Rising inflation environments are good for CTAs,” said Kathryn Kaminski, chief research strategist at quant firm AlphaSimplex. “You have a lot more movement and it’s relatively disruptive.”
After last week’s historic rout, Treasury bears just had their best run since 2016. CTAs are the most bearish on long-dated bonds since at least May 2019, data provided by Dynamic Beta as of Thursday show.
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