Sustained volatility in the mortgage sector has been a big help to for the fixed-income-focused MKP Partners strategy and its offshore companion, which have gained roughly 4.1% year-to-date through May. A cautious long exposure in the mortgage market helped as lower coupon 'pass throughs' sped ahead of treasury hedges in May.
MKP, like many fixed-income funds that tap mortgage markets, has seen stronger performance of late although liquidity issues within mortgage derivatives have dampened returns for some otherwise similar strategies. And mortgage indices failed to buzz past treasuries on a duration-adjusted basis in May.
Still, in both May