Given the recent extreme moves in US Treasury yields, the team at PivotalPath analyzed managed futures funds and their exposure to Treasuries to help understand and put into context potential implications.
As you may know, in the span of eight trading days between March 8th and March 17th, 2023, there were massive moves across the US Treasury yield curve including in the US 2-Year Treasury, which rose an unprecedented 2.4% (while the yield fell from 5.0% to 3.8%) – the largest move in a single calendar month going back to 1998, when our data began.
The swift rally across the curve would clearly have a large negative impact on funds that are short Treasuries, including managed futures funds/CTAs.