Key Takeaways
- • Ellington Management Group's Ellington Mortgage Recovery Fund II returned about 24% from the start of 2023 through January 2024, according to a person with knowledge of the matter.
- • The fund, along with other sidecars, manages roughly $300 million in assets.
- • The gains came as the Federal Reserve's rate-hiking cycle appeared to be ending, a period in which the fund bought residential mortgage debt.
- • The fund's prior iteration returned more than 28% over its lifespan from 2020 to mid-2022, and that vehicle returned its capital to investors.
Summary
An Ellington Management Group fund designed to buy residential mortgage debt returned about 24% from the start of 2023 through January, according to a person with knowledge of the matter. The gains were generated through the Ellington Mortgage Recovery Fund II, which, together with other sidecars, manages about $300 million, the person said.
The return was achieved as the Federal Reserve's hiking cycle comes to an end, a backdrop that has been favorable for residential mortgage strategies positioned to benefit from shifting rate expectations. The source did not provide further detail on the specific positioning or the drivers of the fund's performance.
The fund's predecessor vehicle returned more than 28% over its lifespan, between 2020 and mid-2022, the person said. That prior iteration returned capital to investors upon its conclusion.
The figures are based on information from a single person familiar with the matter and have not been independently verified in the source material.
The return was achieved as the Federal Reserve's hiking cycle comes to an end, a backdrop that has been favorable for residential mortgage strategies positioned to benefit from shifting rate expectations. The source did not provide further detail on the specific positioning or the drivers of the fund's performance.
The fund's predecessor vehicle returned more than 28% over its lifespan, between 2020 and mid-2022, the person said. That prior iteration returned capital to investors upon its conclusion.
The figures are based on information from a single person familiar with the matter and have not been independently verified in the source material.
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