Roller coaster March puts macro hedge funds in red, others post small gains

By Carolina Mandl and Svea Herbst-Bayliss

NEW YORK (Reuters) -Big market swings in March sparked by a banking crisis hurt some hedge fund returns with global macro firm Rokos Capital Management reporting double digit losses. Firms that concentrate on stocks, however, rode a late month market rally to small gains, according to investors and industry data.

Macro systematic funds, which place their bets based on algorithmic and technical models, fell 6.7% in March, its worst monthly performance in over five years, Bank of America (BofA) said in a note. Trend-following funds, also known as CTAs, lost 2.5% in March.

Many hedge funds are still compiling March and first quarter numbers, but preliminary reports from research firm Hedge Fund Research showed the average hedge fund was off 1% last month and ended the quarter flat.

Some types of funds posted positive numbers.

Tiger Global, which was battered by last year’s reversal in tech stocks, posted at 5.2% gain in March, leaving it up 7.3% in the quarter when large technology companies saw gains.

Relative value arbitrage portfolio managers, who buy and sell different types of securities to benefit from their relative value, gained 1.1%, while fundamental value and equity hedge funds gained 0.9% and 0.8% respectively, BofA said.

London-based hedge fund Rokos Capital Management ended March down roughly 15%, amid a highly volatile month in the bond market, according to a source familiar with the matter, based on preliminary data.

The macro hedge fund is down nearly 9.5% year-to-date through March, the source added. To contain sharp losses in March, Rokos decided to cut the risk, it said in a letter to investors last month. This year’s loss contrasts with last year’s eye-popping 51% gain.

March’s bond market turmoil hurt macro and trend-following hedge funds, as a rapid reversal in expectations for interest rates caught portfolio managers wrong-footed after the collapse of Silicon Valley Bank and Signature Bank.

Big multi-strategy funds that pursue a variety of investment types and tightly control risk like Citadel and Point72 reported gains for March and are up for the year. Citadel’s flagship Wellington fund rose 1.38% in March for a 4.19% gain in the first quarter. Point72 rose 1.33% in March and is up 2.85% for the year.

The Balyasny Atlas Enhanced fund gained 0.8% in March and is up 1% for the year. Verition is down 0.25% for March and up 0.95% for the first quarter and Schonfeld Strategic Partners fund rose 0.3% in March and now is 0.03% in the year.

Representatives for the funds declined to comment.

A Goldman Sachs report, based on returns posted by the bank’s prime brokerage’s clients, showed fundamental long/short funds gained 1.04% in March. The S&P 500 rose 3.5%, the Nasdaq gained 6.7% and the Dow Jones was up 1.9%.

(Reporting by Carolina Mandl and Svea Herbst-Bayliss in New York,Editing by Marguerita Choy and Josie Kao)