Hedge Fund Superstars Can’t Master Yield Curves
Billionaire Chris Rokos’s $14.5 billion macro fund lost 11% this month as rates fluctuated wildly. And he’s probably not alone.
Trouble with the curve.
Photographer: Bryan Mitchell/Bloomberg
It has been an absolutely awful year for some of the world’s most well-regarded macro hedge funds.
First, Bloomberg News revealed in early August that Alphadyne Asset Management, which has never had a down year since starting in 2006, was facing losses of about $1.5 billion through the first seven months of 2021 after being caught in wrong-way bets on rising interest rates. Element Capital Management, the $15 billion firm considered with Alphadyne to be among the best in the world at trading rates, tumbled 7% in February as global bond yields jumped and curves steepened. Element, led by its billionaire founder Jeffrey Talpins, began mounting a comeback more recently by simply avoiding wagers on interest rates.