Hedge funds build on mortgage gains

By Lawrence Delevingne

Tue Jul 31, 2012

Firms are piling into the MBS market and putting up lofty returns, but risks remain.

  Source: AR research. All figures as of July 1, 2012. Firm and MBS numbers represent capital in hedge fund strategies only. Exception: Cerberus firm AUM figure is comprised primarily of capital in private equity funds that could not easily be separated from hedge fund assets. Figures for Marathon, Angelo Gordon, One William Street, Och-Ziff, York, Hayman, and King Street are estimated.

Cerberus Capital Management, Pine River Capital Management and Canyon Partners are among dozens of firms to earn market-beating returns this year by investing in mortgage backed securities. The MBS strategy they employ has become, almost by default, the most attractive in the hedge fund industry.

Managers have been busy promoting the MBS play all year. "I simply love the mortgage market. It’s the best place to be right now," said Steve Kuhn, Pine River’s mortgage chief, while speaking at the 2012 SALT Conference in May about the...

ISSN: 2151-1845 / CDC10004H

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