Rokos cuts risk after bond losses
London-based hedge fund Rokos Capital Management has taken the decision to de-risk after racking up double-digit losses so far this month, according to a report by Bloomberg, citing a letter sent by the firm to investors on Saturday.
“We have de-risked following this month’s market price action, and P&L volatility has declined substantially as a result,” the $15.5 billion firm firm told clients in a letter on Saturday, a copy of which was seen by Bloomberg, adding that cash remains "at healthy levels" and that counterparties have not requested additional margin.
On Friday, the Financial Times reported that SEC chair Gary Gensler had discussed Rokos with the UK's Financial Conduct Authority (FCA) after a big bet on US government bonds went awry. In the letter Rokos told investors that it had played no part in any discussions and that it continues to have normal interactions with the regulators.
Up to 17 March, Rokos had lost 15.3% and is down 9.8% so far this year, having recorded a 51% gain in 2022.