Quant Funds Exit Japanese Bonds in Worst Sell-off Since 2013
- Ten-year JGB futures have been leading the sovereign sell-off
- Yields, volume, flow analysis suggest CTA funds behind move
Mount Fuji stands beyond buildings in Tokyo, Japan.
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Quantitative hedge funds are being blamed for the worst sell-off in Japanese government bonds since 2013 and the evidence is stacking up against them.
Data comprising of open interest positions, fund flow and yields suggest that so-called Commodity Trading Advisors -- funds synonymous with trend-following quant strategies -- could have been cutting their large long positions in Japanese 10-year bond futures.