Buy side targets leverage cap in SEC derivatives plans

AQR says its managed futures fund could suffer larger drawdowns under new rule

us-sec
Asset managers say proposed blocks on leverage will push firms towards riskier strategies

Asset managers have sharply criticised the Securities and Exchange Commission's (SEC's) proposed investment fund shake-up, speaking out against the regulator's idea of setting two fund leverage caps, at 150% and 300% of total assets, which would limit funds' derivatives use.

Under plans announced in December 2015, a fund's gross asset exposure, which includes synthetic exposure through derivatives, reverse repos and shorting, would be capped at 150% of assets, or 300% of assets if a value-at-ris

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