LibreMax Partners returned 1.81% for the third quarter for a year-to-date return of 8.23%. Meanwhile, the S&P 500 Total Return Index gained 5.89%, while the HFRI Fund Weighted Composite Index returned 2.95%. The HFRI RV Fixed Income Asset backed Index was up 2.69% for the quarter, and the Merrill Lynch High Yield Cash Pay Index rose 5.27%.
Year to date, the S&P 500 is up 22.08%. The two HFRI indexes and the Merrill Lunch Index have all returned between 7% and 8% year to date.
Asset-backed securities
In his third-quarter letter to investors, which was obtained by Hedge Fund Alpha, Greg Lippmann who was featured in Michael Lewis' "The Big Short" said new issue volume in asset-backed securities is still on track to surpass the $249 billion record set in 2021 — even though it moderated to $83 billion during the third quarter.
He noted that spreads approached their tightest levels of the year amid some volatility on the back of softer data from the labor market. In response to the situation, Lippmann cut the hedge fund's exposure to cyclical consumer credit profiles, instead rotating into profiles with lower correlation to macro credit risk.
LibreMax was active in the primary markets, with Q3 purchases mostly focused on "more esoteric stories with potential for spread tightening." In particular, the fund invested in fiber asset-backed securities, which saw meaningful tightening after acquisition news from T-Mobile and Verizon.
