Nomura Quant Warns Trend Followers May Ditch All Treasury Longs
- CTAs exiting U.S. bonds; macro, risk parity still long: Nomura
- Retail investors are behind the rush into TIPS, Takada says
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Quant investors who typically ride the momentum of markets around the world are ditching Treasuries, raising the risk of another spike in yields on the world’s benchmark bond.
After liquidating 65% of long Treasury bets since August, systematic players known as Commodity Trading Advisors will dump bullish exposures “en masse” if the 10-year yield climbs above 1.02%, according to Nomura Holdings.