
Hedge funds see appeal in inflation anomalies
Market has become less efficient and less self-correcting, funds say

It has been called the “largest arbitrage ever documented” – a 175 basis point spread between US government debt and US Treasury inflation-protected securities (Tips), which emerged after the collapse of Lehman Brothers in 2008.
As panic gripped the markets, investors sought the safety of liquid government bonds, pushing yields lower. At the same time, Lehman Brothers and its counterparties chose to dump Tips posted as collateral in repo trades and derivatives transactions. For a time, dealers
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Hedge funds
Regulation
What lies beneath: Nomura’s iceberg balance sheet
Collateral received by the Japanese bank exceeds its total on-balance-sheet assets – does it matter?
Receive this by email