The PivotalPath Credit Index was down -8.9% in March. Sub-strategies such as relative value fared best, returning -1.7%, while funds focused on structured credit and mortgage-backed securities came in last at -15.0%.
CEO Jon Caplis sat down with Julie Segal at Institutional Investor to share more about what we’re seeing in the space. Importantly, “net asset values are missing for a big portion of credit hedge funds, especially those that invest in structured products like mortgage-backed securities.”