A Wrong-Way Bet on Bond Yields Triggered Rokos, Alphadyne Losses
- Firms got burned when yield curves got flatter not steeper
- Industry had wagered massively on 2- to 10-year U.S. steepener
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A rapid convergence in key global bond yields is behind losses for some of the biggest macro hedge funds.
Chris Rokos’s hedge fund has sunk 11% in October, in part because of wagers that the difference between short- and long-term U.K. and U.S. government bond yields would widen, according to people familiar with the matter. Instead, they’ve tightened.