Rates rise, curves flatten, hedge funds lose

US -FlatteningThere has been some sudden movements in the global rates recently:

  • Rates rose ~0.50% – 10Y, US, UK, Canada… or caanounced changes in policies,
  • the curves actually flattened rather than steepened, and
  • inflation reappers after 20 years of inexistence.

As a result, hedge funds are raking large losses.

 

A few numbers:

  • Autonomy-AUMAutonomy lost 22.5% year to date, and its assets are down 75% from its 2019 peak.
  • Rokos lost 11% in October. It is now down 20% year-to-date.
  • Alphadyne lost $1.5 bn (10%) in July on rates. It is now down 17% year-to-date.
  • Exodus lost $400m, and October was 2% in the red
  • Millenium is down 0.4% for October and 10.9% for the year.
  • Point72 also took losses in global macro.

 

More bad numbers to come?

 

 

References

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Written by Gontran de Quillacq

Gontran de Quillacq is an expert witness and a legal consultant. He is a recognized authority in options, trading, derivatives, structured products, portfolio management, hedge funds, mathematical finance, quantitative investment, strategy research and financial markets in general.

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