J.P.Morgan: US & EU Active Mutual Fund Managers Likely Added Duration

J.P.Morgan note that "the 21-day rolling betas for the 20 largest active US and Euro bond mutual funds relative to US and Euro Agg bond index returns. They suggest both US and Euro active bond mutual funds were short duration relative to their benchmarks in mid-February, but have likely taken advantage of the rise in yields by adding duration. There appears to be some corroboration to this from our US Treasury Client Survey, which suggested this week that clients that were net long outnumbered those that were net short. This suggests a vulnerability in that a further sell-off could force these positions to be unwound."