Quants Are Netting Record Gains in Treasury Rally. It Can’t Last
- Risk parity, trend followers enjoy best first half in decades
- Debt sell-off may hit performance, spark deleveraging: Nomura
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Fast-money quants have scaled record heights riding the bond rally this year. Now they’re in danger of falling back down to Earth.
Risk-parity funds are off to their best start since at least 2004 after ramping up exposure to government debt and levering up, while trend followers in interest rates just notched the strongest half-year in nearly three decades.