{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,25]],"date-time":"2026-10-25T21:33:18Z","timestamp":1792963998919,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":47,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>This paper shows that the leveraged positioning of hedge funds amplifies the response of sovereign bond yields to shocks, leading to temporary overshooting. Combining granular regulatory data on repo positions with high-frequency monetary policy surprises, I study this amplification at the individual bond level. Four results emerge. First, even among comparable bonds, hedge funds add excess volatility on shock days, because their positioning raises the sensitivity of yields to the surprise. Second, this additional sensitivity accounts for more than a quarter of the total yield movement these surprises generate and scales with position intensity. Third, the amplification is two-sided and operates whether a shock moves prices in favor of a position or against it, consistent with leveraged investors rebalancing toward their desired exposure. Finally, it is concentrated among bonds held in directional books and essentially absent when the book offsets its long and short positions.<\/jats:p>","DOI":"10.2139\/ssrn.7506360","type":"posted-content","created":{"date-parts":[[2026,9,23]],"date-time":"2026-09-23T15:20:02Z","timestamp":1790176802000},"source":"Crossref","is-referenced-by-count":0,"title":["Hedge Fund Trading and Sovereign Bond Yield Sensitivity&amp;nbsp;"],"prefix":"10.2139","author":[{"given":"Felix","family":"Hermes","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"key":"ref1","doi-asserted-by":"crossref","first-page":"418","DOI":"10.1016\/j.jfi.2008.12.002","article-title":"Liquidity and leverage","volume":"19","author":"T Adrian","year":"2010","journal-title":"Journal of Financial Intermediation"},{"key":"ref2","doi-asserted-by":"crossref","first-page":"373","DOI":"10.1093\/rfs\/hht068","article-title":"Procyclical leverage and value-at-risk","volume":"27","author":"T Adrian","year":"2014","journal-title":"The Review of Financial Studies"},{"key":"ref3","author":"L Alfaro","year":"2024"},{"key":"ref4","doi-asserted-by":"crossref","first-page":"162","DOI":"10.1016\/j.jmoneco.2019.08.016","article-title":"Measuring euro area monetary policy","volume":"108","author":"C Altavilla","year":"2019","journal-title":"Journal of Monetary Economics"},{"key":"ref5","author":"P Anaya","year":"2025","journal-title":"Investment funds and euro disaster risk"},{"key":"ref6","doi-asserted-by":"crossref","first-page":"102","DOI":"10.1016\/j.jfineco.2011.02.020","article-title":"Hedge fund leverage","volume":"102","author":"A Ang","year":"2011","journal-title":"Journal of Financial Economics"},{"key":"ref7","author":"S Aramonte","year":"2023","journal-title":"Non-bank financial intermediaries and financial stability"},{"key":"ref8","doi-asserted-by":"crossref","first-page":"929","DOI":"10.1111\/jofi.12021","article-title":"Value and momentum everywhere","volume":"68","author":"C S Asness","year":"2013","journal-title":"The Journal of Finance"},{"key":"ref9","article-title":"Margin leverage and vulnerabilities in US Treasury futures","author":"F Avalos","year":"2023","journal-title":"BIS Quarterly Review"},{"key":"ref10","author":"J Barone","year":"2020","journal-title":"The global dash for cash: Why sovereign bond market functioning varied across jurisdictions in March"},{"key":"ref11","doi-asserted-by":"crossref","DOI":"10.17016\/2380-7172.3939","article-title":"The cross-border trail of the Treasury basis trade","author":"D Barth","year":"2025"},{"key":"ref12","article-title":"Hedge funds and the Treasury cash-futures basis trade","author":"D Barth","year":"2025","journal-title":"Journal of Monetary Economics"},{"key":"ref13","author":"C Bittner","year":"2025","journal-title":"Lending to hedge funds: Does competition erode bank risk management? 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