Rokos Capital Management, the hedge fund founded by Chris Rokos, saw its macro strategy suffer one of its steepest monthly declines in August as global market volatility spiked on concerns of a potential US recession, according to a report by Bloomberg,
The reports cites an unnamed source familiar with the matter as revealing that the fund fell by 5.2% last month, reducing its year-to-date gains to just over 14%, marking its worst performance since March 2023 and only the fourth instance of a 5% or greater monthly decline since its inception in 2015.
Rokos Capital Management, which managed nearly $18bn before the loss, declined to comment on the situation.
Hedge funds were hit by significant market swings over the summer, from Tokyo to New York, fuelled by the rapid unwinding of the yen carry trade and uncertainty around the US economy. Wall Street’s “fear gauge,” the VIX, spiked to an unprecedented level during a selloff in early August.
Although markets recovered later in the month, the turbulent conditions prompted firms like Millennium Management, Balyasny Asset Management, and BlueCrest Capital Management to liquidate positions or close trading units.
On average, macro hedge funds are up 5.6% in the first eight months of the year, but they suffered a 1.6% loss over the three months leading up to August, according to data compiled by Bloomberg.
