Funds that have relative value fixed-income strategies suffered losses mid-March that investors are not used to seeing. Capula, for example, has had no down months since February 2018, and January 2018 was down a mere 0.04%. WSJ reported that “Capula… lost 5.2% for the month through Friday (March 20) in its $11bn relative value fund”.
However, Capula announced to investors yesterday that its USD share class was up 1.32% in March, and YTD 2.94%. To put this in context, this represents a 6.5% intra-month move for a fund which has not seen a 2% monthly move since 2011.