Feel free to chalk this up as an obnoxious victory lap, but I thought this was worth a look. As I pointed out over a year ago Kyle Bass seems to have become victim of the great widow maker macro trade of the century. The exceptional quant team at Nomura, which has produced some of my favorite charts, decided to highlight some problems with the short JGB trade.
The odd thing for a sell side desk is that in the process they chose to flame one of their own clients.
Keep in mind this is based in cash bond investing and not the strategy of rolling derivative short JGBs Hayman has employed, which has produced returns closer to -90% over the past two years.
Moral of the story: macro tourism doesn’t pay.