NEW YORK, April 5 (Reuters) - Big market swings in March sparked by a banking crisis hurt some hedge fund returns with global macro firm Rokos Capital Management reporting double digit losses. Firms that concentrate on stocks, however, rode a late month market rally to small gains, investors said and industry data showed.
Macro systematic funds, which place their bets based on algorithmic and technical models, fell 6.7% in March, its worst monthly performance in over five years, Bank of America said in a note. Trend-following funds, also known as CTAs, lost 2.5% in March.
Many hedge funds are still compiling March and first quarter numbers, but preliminary reports from research firm Hedge Fund Research showed the average hedge fund was off 1% last month and ended the quarter flat.
Some types of funds posted positive numbers. Relative value arbitrage portfolio managers, who buy and sell different types of securities to benefit from their relative value, gained 1.1%, while fundamental value and equity hedge funds gained 0.9% and 0.8% respectively, Bank of America said.
London-based hedge fund Rokos Capital Management ended March down roughly 15%, amid a highly volatile month in the bond market, according to a source familiar with the matter, based on preliminary data.
The macro hedge fund is down nearly 9.5% year-to-date through March, the source added. To contain sharp losses in March, Rokos decided to cut the risk, it said in a letter to investors last month. This year's loss contrasts with last year's eye-popping 51% gain.
March's bond market turmoil hurt macro and trend-following hedge funds, as a rapid reversal in expectations for interest rates caught portfolio managers wrong-footed after the collapse of Silicon Valley Bank and Signature Bank.
Big multi-strategy funds that pursue a variety of investment types and tightly control risk like Citadel and Point72 reported gains for March and are up for the year. Citadel's flagship Wellington fund rose 1.38% in March for a 4.19% gain in the first quarter. Point72 rose 1.33% in March and is up 2.85% for the year.
The Balyasny Atlas Enhanced fund gained 0.8% in March and is up 1% for the year. Verition is down 0.25% for March and up 0.95% for the first quarter.
Representatives for the funds declined to comment.
A Goldman Sachs report, based on returns posted by the bank's prime brokerage's clients, showed fundamental long/short funds gained 1.04% in March. The S&P 500 (.SPX) rose 3.5%, the Nasdaq (.IXIC) gained 6.7% and the Dow Jones (.DJI) was up 1.9%.
