R.G. Niederhoffer Capital Management had a positive March thanks to the collapse of Silicon Valley Bank and its peers.
The New York-based quantitative hedge fund was able to capitalize on volatility in the face of a "dramatic shift in expectations" among traders concerning the direction and interest rates for the rest of the year.
According to a copy of its March investor update, which Hedge Fund Alpha has been able to review, the fund's short-term long, volatility portfolio captured "some of the initial rally in fixed income" as fixed-income markets flipped overnight, particularly at the shorter end.
The fund started the month short US fixed income but was able to "flip long" as a "tsunami" of buy orders entered the market following SVB's...
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