Trend-following and macro hedge funds have been badly wrong-footed in a week of wild market gyrations and are selling stocks to make up for souring bets on higher interest rates, banks and traders say.
Commodity trading advisers - funds that try to profit by buying or selling when there is a clear direction in markets - slumped 4.3% in the three days to Monday, according to analysis from UBS.
British macro hedge fund manager Crispin Odey's main fund posted a minus 4.7% February performance and is down 3% so far this year, said a note from his hedge fund to clients. But the hedge fund manager remained upbeat about market conditions. "Markets will seesaw between believing that the tightening cycle is over, to finding out that it has barely begun. This is a choice of evils and lies behind a trading market that is probably trending down," he said. Odey's fund returned over 150% in 2022, said another letter seen by Reuters.The Graticule Asia Macro fund as of March 10 was down for the month by 3.7% and a Fulcrum Diversified Absolute Return fund was down for the month by 2.6% as of March 14, the research showed.
"Most of the pain came from bonds and equities although all asset classes contributed negatively," UBS analysts said in a report on CTAs. "As a response, CTAs have significantly reduced their long positions in equities, selling $25 -$30 billion worth of stocks since the announcement of the SVB collapse."
France Dernières Nouvelles, France Actualités
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