Hedge funds see appeal in inflation anomalies

Market has become less efficient and less self-correcting, funds say

benoit-chriqui-2012
Benoit Chriqui, Barclays

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 copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: