Mortgage-Backed Hedge Funds Hit In June

Jul 27 2011 | 11:51am ET

Hedge funds investing in mortgage-backed securities had a tough time in June, as those bonds took a hit to close out the first half.

Several prominent players in the space, including CQS, LibreMax Capital and MKP Capital Management dropped significantly—if broadly in line with the average hedge fund—last month, Bloomberg News reports.

LibreMax, launched in October by former Deutsche Bank proprietary trader Greg Lippmann, dropped 2.6% in June, cutting its year-to-date gain to 3.2%. Last month was the first losing month of the year for LibreMax, as well as for CQS and Seer Capital Management.

The former's $1.6 billion asset-backed securities fund lost 1% last month and is up 3.55% on the year. Seer, which manages $428 million, fell 1.42% last month but remains up 8.4% on the year.

Another MBS investor, Tricadia Capital Management's $2.2 billion Mariner-Tricadia Credit Strategies Fund, shed 0.33% in June and is up 5.7% year-to-date.

Others are not so lucky. MKP Capital Management's $2.8 billion credit fund lost only 1.03%, in line with several of its aforementioned peers. But the fund was down 4.8% in the first half.


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