It is going to be a really, really bad quarter for some U.S. hedge funds that invest in fixed-income securities, and waning market liquidity has a lot to do with it, according to Dan Fuss, vice chairman of Loomis Sayles & Co.

“It is probably going to be the worst quarter in history for a number of the fixed income-oriented hedge funds,” Fuss said at an event in Tokyo on Thursday. “A few are already known but there are some that were wiped out and just wound down.”

Hedge funds that bet on bonds prices falling were caught off guard as individual investors poured money back into junk debt funds in February, according to Fuss. The funds that used borrowed money to short the debt found they couldn’t cover those wagers as institutional holders were unwilling to sell and there were fewer dealers at investment banks to act as market makers, he said.

“The market is going, I think, to stay thin” he said. “Volatility will stay high any time you have a major change like this.”

The pain suffered by hedge funds is a “side effect but an important one” of declining market liquidity, according to Fuss, who has been at Boston-based Loomis Sayles since 1976 and helps lead fixed-income strategy there.

Loomis Sayles had $229.1 billion in assets under management at the end of December, including funds from institutional and mutual fund clients, according to its Web page.