Macro hedge funds posted mixed results in the first quarter.
The eVestment Global Macro index was up slightly in March and just 1.37 percent for the first three months, while the HFRI Macro: Active Trading Index, which does not include the computer-driven CTA crowd, was up about 1 percent in March and 3.48 percent for the quarter.
However, several large, high-profile managers fared better than the indexes, while others lost money for the quarter.
“Global macro funds were well-positioned at the start of the year to gain from fundamental differences between economic zones,” said a new report from Lyxor’s Managed Account Platform Research team, which regularly analyzes hedge fund performance.
Many of these funds were betting against the euro, which has been tumbling for six months or so. “Short euro has been a major theme that stole the show from other trades,” Lyxor stressed.
Macro managers also correctly have been long the U.S. dollar as well as European equities.
Those funds that were hurt had long positions on emerging markets and commodity markets, which were the worst contributors to performance as the U.S dollar surged, Lyxor pointed out. “Losses were concentrated on base metals with precious metals and agricultural being slightly negative, while energy ended flat,” Lyxor added.
In terms of specific macro funds, Louis Bacon’s New York–based Moore Global Investments rose 1.37 percent in March and 5.88 percent for the quarter. Moore Macro Managers Fund rose 0.66 percent last month and 3.08 for the quarter.
Paul Tudor Jones II’s Greenwich, Connecticut–based Tudor BVI Fund rose 2 percent in March and was up 4 percent for the quarter.
Andrew Law’s New York–based Caxton Global Investment was up about 0.4 percent in March and about 4 percent for the quarter. Caxton Global lost about 1.4 percent in 2014.
Alan Howard’s London-based BH Macro, which invests virtually all of its capital in Brevan Howard Master Fund, rose 2.9 percent in the first quarter.
On the other hand, New York–based Fortress Macro Fund and Fortress Macro Onshore Fund each lost 0.22 percent in March and saw their losses for the first quarter hit 4.7 percent. They lost 1.6 percent in 2014.
In addition, Robert Citrone’s South Norwalk, Connecticut–based Discovery Global Opportunity Fund was down about 4.4 percent in the first quarter.
In an April 9 e-mail to clients obtained by Alpha, Citrone told clients he was net long Japanese stocks and is investing in both individual stocks and indexes. “We remain of the view that there are long and short opportunities, and that corporate actions will be a pivotal driver of stock performance this year,” he said.
Citrone has also backed off on his bullish bet on the dollar, telling clients that Discovery has “largely flattened out our long dollar bias in the portfolio.” He said he expected weakness in the near term after a long run over the past year or so, noting near-term headwinds such as poor first-quarter economic data “and potentially disappointing corporate earnings in the U.S.”
Citrone also expressed concern that the Chinese A-share market might be overheating, although he remains long the market. “Margin-loan growth is high,” he said. “The market is likely to have a strong correction as a result, making this a difficult market to navigate.”
Noting that he owns both longs and shorts, Citrone added, “We will monitor this situation closely and manage our net exposure to the Chinese equity market around these risks.”
No doubt clients will be monitoring Discovery to see whether it returns to the black anytime soon.
