Thames River bond duo hedge long-dated treasuries

Thames River Capital's Peter Geikie-Cobb has begun hedging long-duration treasuries held in his £770m Sterling Global Bond fund, in the view the Federal Reserve may tighten monetary policy.

Co-managers Geikie-Cobb and Paul Thursby have cut the average duration of treasury holdings to 6.1 years since the start of April, using five-year futures as a hedge. Long- and short-dated treasuries as a whole comprise 38% of the fund. Geikie-Cobb says: “The market has been quite complacent that the US tightening cycle will happen further out. The surprise could come if the Fed prepares the market earlier than expected. “We feel the yield curve is too steep at present. If the pick up in US economic growth we experienced early this year continues, we would anticipate the Fed beginning...