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 and Schonfeld Strategic Partners fund rose 0.3% in March and now is 0.03% in the year.
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 rose 3.5%, the
Nasdaq gained 6.7% and the Dow Jones was up 1.9%.
(Reporting by Carolina Mandl and Svea Herbst-Bayliss in New
York,
Editing by Marguerita Choy and Josie Kao)
