A failed bet that US interest rates would fall left Brevan Howard’s flagship fund with an estimated 3.2% loss in February, making it one of the worst months since the firm started trading in 2002, according to a report by Bloomberg.
The report cites people familiar with the matter and data reviewed by Bloomberg as revealing the decline for the Channel Islands-based firm’s Master Fund, which takes year-to-date losses to about 3%.
The fund, which currently accounts for roughly $12.4bn of Brevan Howard’s total assets, lost 1.9% in 2023 after chalking up a 22% gain in the previous year.
According to one of Bloomberg’s sources, traders at the firm miscalculated both the timing and the size of potential interest rate cuts by the US Federal Reserve. The bet backfired when US government bond yields climbed during the month after Fed officials, including Chairman Jerome Powell indicated that they would not lower rates until there is certainty that inflation is under control.
