Soros Fund Management LLC is said to be reducing its efforts in fixed-income arbitrage and, as a result, mortgage-backed securities portfolio manager Leslie Falconio has left the fund. Falconio was brought over from OppenheimerFunds a little over one year ago. Falconio, reached at her residence, confirmed her departure but declined to elaborate on the reasons why. She says she "is currently in the process of considering her options." Alan Boyce, the fund's manager of fixed-income arbitrage, did not return a phone call seeking comment.
The move struck several dealer MBS pros as odd, since, as one strips trader who traded with her puts it, "she had to be up pretty decently for the year." Indeed, an individual with knowledge of the situation argues that Falconio was having a good year, but declined to speculate on her performance levels.