SVB turmoil hits quant and macro hedge funds
Market turmoil triggered by the collapse of Silicon Valley Bank and Signature Bank saw computer-driven hedge funds suffer their worst ever day of losses on Monday, according to a report by Bloomberg, while at least two of last year's macro star performers were also hit by losses.
Data compiled by Bloomberg reveals that the Schroder GAIA BlueTrend lost 7.4% on Monday, Aspect Diversified Trends Fund fell 5.9%, while Lynx UCITS Fund declined by 6.9% to record their worst ever days since beginning trading on the back of big swings in the bond markets as traders pulled bets on further interest rate increases.
The SG Trend Index, which measures returns of some of the largest quants in the world run by firms such as Winton, Systematica Investments and AQR Capital Management, fell by more than 5.6% on Monday to record its second-worst daily decline on record.
According to unnamed Bloomberg sources, the $15.5 billion macro fund run by Chris Rokos was down just over 2% this month through Friday, while Brevan Howard Asset Management’s flagship money pool lost 1.2%. Both funds were up on 3 March, indicating that they suffered due to the SVB collapse, according to Bloomberg.