From the FT:
Japan’s surprise intervention in currency markets has caught some of the world’s largest hedge funds by surprise, with big names suffering sharp reversals as the yen tumbled.
London-based hedge funds such as AHL, the $21bn fund run by the FTSE 100-listed Man Group, the $5bn Winton Capital Futures fund and the $1bn Aspect Diversified fund all suffered on their bullish yen positions, according to people familiar with the funds’ performances.
All three funds use computer models to automatically spot and ride market trends, making them vulnerable to unexpected events including surprise action by governments and central banks. Other funds understood to have been hit by the intervention include several large global macro hedge funds and currency trading specialists.
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