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Komfie Manalo, Opalesque Asia: Midway market neutral hedge fund gains 10.59% YTD
The Midway Market Neutral Fund, managed by New York based fixed income
hedge fund manager The Midway Group returned an estimated 0.33% in
November. The fund's 2014 year-to-date estimated performance is 10.59%,
compared to 5.87% for the Barclays Aggregate, 13.98% for the S&P 500
(Total Return), and 3.73% for the HFR Hedge Fund Index.
In his monthly report to investors, Midway Group Managing Director John
K. E. Morris said that in November, the ten-year swap rates declined
18bps. Thirty-year primary mortgage rates, as measured by the Freddie
Mac survey, fell 1bp month-over-month to a closing rate of 3.97% and on
average were 4.00%, 4bps lower than the average in October. Implied
interest rate volatility inched lower across maturities: 3m10y normal
ATM (at-the-money) vol dropped 4bps from 74bps to 70bps, and 5y10y
normal ATM vol decreased 2bps from 86bps to 84bps.
He added, "Corporate credit spreads tightened in November, with 5yr IG
CDX 2bps tighter at 62bps and 5yr HY CDX decreasing 8bps from 343bps to
335bps. IO spreads were relatively wider on light monthly trading
volumes. FINRA reported trading volume in IOs and POs in November was
about $8.5bn current face, an estimated $75m market value per day, and
trades reported by broker-dealers as 'Customer Buys' were $4bn greater
in current face than...................... To view our full article Click here
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