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ABS East: Is the RMBS trade over?

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Attendees wonder whether the best performing hedge fund strategy can continue.

   
 

 Tom Capasse of Waterfall (Photo: Alpha)

It's been a blowout year for mortgage backed securities. 
Hedge funds investing in them have led the industry, with such firms as Axonic Capital, Metacapital Management, Pine River Capital Management and Cerberus Capital Management registering industry leading double digit returns. The median manager in the strategy is up 11.42% for the year through September, according to the Absolute Return MBS Index, compared with a 4.96% composite return across strategies.
Investors have noticed and money has poured into the strategy. But is the trade now too