Photographer: Chris Ratcliffe/Bloomberg

Brevan Howard’s Hedge Fund Suffers Biggest Annual Loss in 2017

Brevan Howard Asset Management’s flagship macro hedge fund lost 5.4 percent last year, recording its worst annual performance since starting in 2003, according to an investor letter.

The Brevan Howard Master Fund, which managed $5.5 billion at the end of November, was flat last month, the letter showed. The full-year loss reverses the money pool’s 3 percent gain in 2016. A spokesman for the Jersey-based investment firm run by billionaire Alan Howard declined to comment.

Some of the largest hedge funds betting on economic trends in developed markets continued their poor performance in 2017 as a lack of volatility and central-bank interventions made it difficult for them to make money. Macro hedge funds returned an average of 3.8 percent on an asset-weighted basis during the first 11 months of last year, making them the worst-performing strategy of the year, according to Hedge Fund Research Inc.

Brevan Howard, which has seen its total assets drop by three quarters from a peak of $40 billion, is adapting to reverse an investor exodus. In a bid to turn things around, the money manager started a fund run by Howard last year and allowed his top managers to run their own pools again in a strategy u-turn. The firm is also experimenting with artificial intelligence and is planning a fund-services business.

Below is a summary of returns for Brevan Howard and other firms:

Fund2017 Return2016 Return
BlueCrest Capital Management#*54%50%
Horseman European Select39.5-38.5
Adar Macro35.233.5
Pharo Gaia*27.414.2
Pharo Macro*16.67.5
MW Eureka*131.3
MW Global Opportunities*12.9-0.3
Lansdowne Developed Markets9.7-15
Winton Fund*7.9-3
Brevan Howard Master Fund-5.43

Sources: Investor letters, company information, * people familiar, # private investment firm

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