Hedge funds see big gains on dividend curve trades
A popular relative value strategy delivered unexpected profits when companies axed payouts
A dividend arbitrage strategy popular with hedge funds saw gains of up to 10% last week as companies cancelled or deferred shareholder payouts, causing the Eurostoxx 50 dividend futures curve to invert.
Hedge funds that trade the dividend curve typically short the second-year contract and go long four- or five-year instruments. In normal markets, the front-year contracts barely move as they represent announced dividends, or payouts relating to current cashflows. That changed last week as
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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net 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 info@risk.net
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 info@risk.net
More on Derivatives
Asset managers offer tailored LDI to smaller pension schemes
Minimum AUM for customised hedging slashed from around £400m to £75m
US mutual funds piled into call-selling strategies in Q1
Counterparty Radar: BlackRock, Franklin Templeton and T Rowe Price among the managers who added to single-stock positions
Like your CSA dirty? It’ll cost more
Buy-side firms have to pay up if they want to post corporate bonds to their dealers, but prices vary
Pimco powers BNP Paribas to top of repo rankings
Counterparty Radar: French dealer grew its repurchase book by 65% in first quarter
US retail funds continue to ditch inflation hedges
Counterparty Radar: Aggregate notional drops 27% in Q1 as Pimco unwinds more swaps
John Hancock Life loads on inflation hedges
Counterparty Radar: US life insurer inflation swaps market doubles in Q1 on back of Manulife-owned firm’s expansion
Meet the sharks, stroke the rays in hidden OTC ecosystem
Dealer Rankings 2023: Analysis of millions of trades reveals big fish – and small ones – in 10 derivatives instruments
Same instrument, different market
Dealer Rankings 2023: For buy-side firms, the list of banks you can trade with depends on who you are
