No Rebound for Dymon Macro Hedge Fund After First Annual Loss

  • Macro fund gained 0.5% in March, lost 0.1% in first quarter
  • The March return was helped by bet on Korean won, Asian bonds

Dymon Asia Capital (Singapore), which has pledged to return performance fees unless its main hedge fund can recoup losses from bets on the Swiss franc in January 2015, failed to make progress toward that goal in the first quarter.

The $3.2 billion Dymon Asia Macro Fund, which established itself as one of Asia’s top funds after beating rivals in 2013 and 2014, fell 10.3 percent in 2015 for its first annual drop and was largely unchanged in the three months ended March, according to a newsletter obtained by Bloomberg News.

Dymon Asia’s macro hedge fund took the unusual step of offering a fee rebate to investors after it was caught wrong-footed by Switzerland’s surprise decision in January 2015 to let the franc trade freely. Rebounding from those declines is crucial for the firm, which told investors it would return some of the performance fees earned in 2014 if it fails to recoup the January 2015 loss of 10.5 percent within two years.

The fund suffered eight monthly declines in 2015, its first year of negative returns since inception in 2008. A 0.5 percent gain in March, helped by a bet that the Korean won would appreciate against the dollar, couldn’t offset losses earlier in the year, according to the newsletter. Representatives at Dymon did not returns calls or e-mails seeking comment.

Market Selloff

Macro funds, which bet on economic developments across all asset classes, have struggled to prosper as violent market swings, a selloff in commodities and diverging monetary policies have undermined some trades. Funds using the strategy on average fell 0.1 percent in the first quarter, after they eked out a 1.4 percent gain last year, according to Singapore-based data provider Eurekahedge Pte. Rare outliers that have beaten markets include the PruLev Global Macro Fund, which posted a 7.9 percent gain in March to extend this year’s return to 21 percent.

Investors pulled $2.9 billion from Asia-based hedge funds in the first quarter, the highest outflows in seven years, according to data from eVestment. Hedge funds worldwide have suffered redemptions as as many of the top managers have failed to protect investors from losses. Investors withdrew a net $15 billion from hedge funds between January and March, according to Chicago-based Hedge Fund Research Inc., with those following macroeconomic trends suffering $7.3 billion in outflows

The Dymon hedge fund’s decline last year followed gains of 19 percent in 2014 and 5.2 percent in 2013, beating the 4.8 percent and 4.1 percent for the macro strategy tracked by Eurekahedge, respectively.

Won Wager

Dymon Asia’s wager on gains in the won versus the dollar was “based on both fundamental and tactical factors,” it said in the newsletter, adding that the country’s current account surplus is “constructive” for the won.

Investors were short the won as a proxy to a bearish view on the Chinese renminbi and the fund took a position “contrary to market consensus,” Dymon Asia wrote in the newsletter. South Korea’s currency became Asia’s best performer in March as commodities rebounded and China, the nation’s biggest overseas market, said there was no need to devalue the yuan.

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