Chris Rokos's Macro Fund Said to Decline 4.7% in First Quarter

  • Rokos Capital was among last year’s top performers in category
  • Macro funds industrywide are off to a sluggish start in 2017

Rokos Capital Management, one of last year’s best-performing macro hedge funds, lost 4.7 percent in the first quarter as macro funds struggled.

The London-based fund run by billionaire Chris Rokos fell 2.4 percent in March, said a person with knowledge of the matter, marking at least the second month of losses for the fund this year. That compares with an 0.1 percent decline last month for the average fund that wagers on macro-economic themes, according to Hedge Fund Research Inc. In January, Rokos lost 1.4 percent, mainly because of wrong-way bets on the U.S. dollar and equity indexes.

A spokesman for Rokos Capital declined to comment on the latest results.

Macro hedge funds have had a tough start to 2017 as many struggled with a reversal in the dollar’s appreciation against Asian currencies. Expectations of growing divergence in global monetary policies could spell opportunity, but macro managers say the change has only been slight so far. Macro funds were up 0.5 percent in the first quarter, continuing their trend from 2016 as one of the worst-performing strategies, according to HFR.

Brevan Howard Asset Management’s flagship fund ended the latest quarter down 2.4 percent and Caxton Global fell more than 6 percent, Bloomberg News reported last week.

Rokos Capital’s performance is a reversal for the firm, which gained 20 percent in 2016. Earlier this year, the firm raised an additional $2 billion in outside capital.

Rokos, 46, who previously co-founded Brevan Howard Asset Management, started his own firm in 2015.