Rokos Capital Management's Macro Fund Said To Gain ~20% in 2016

Jan 11 2017 | 9:52pm ET

The flagship hedge fund at Chris Rokos’ Rokos Capital Management reportedly gained approximately 20% last year, with about half the return generated in final three months.

The $4 billion fund, a macro vehicle aimed at investing in broad economic trends through equities, bonds, currencies and commodities, was launched by Rokos in September 2015 and quickly became one of the largest launches in recent memory. Rokos, a co-founder of well-known European hedge fund manager Brevan Howard, reopened the fund in late 2016 with the goal of raising an additional $2 billion.

The fund benefitted from volatility in bond yields and currency markets following Donald Trump’s unexpected victory in the November U.S. presidential election, according to a Bloomberg article citing unidentified individuals familiar with the matter. 

Macro hedge fund managers have faced rough seas for much of the past two years, as rock-bottom yields and ZIRP/NIRP monetary policies made it difficult to generate consistently attractive returns. Indeed, macro funds were among the worst-performing hedge fund segments last year, according to Hedge Fund Research, whose HFRI Macro (Total) Index gained only 1.49% compared to the return of the average hedge fund, as measured by HFR’s HFRI Fund Weighted Composite Index, of 5.57%. 

That said, the final two months of last year lifted some of the segment’s malaise, Bloomberg reported. Brevan Howard’s main macro hedge fund, for instance, notched a +3% gain for 2016 largely on the strength of post-election gains, after losing -1.96% in 2015 and -0.79% in 2014. 

Rokos co-founded Brevan Howard with Alan Howard in 2002, and famously made around $4 billion for the firm trading macro themes between 2004 and 2012. 

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