Macro hedge funds posted mixed results in May, a month when the global stock markets continued to rise sharply.
May performance mostly ranged from low single-digit gains to small losses.
For example, Andrew Law’s Caxton Global Investment is well on its way to its best-ever year after gaining another 2.6 percent in May. It is now up 17.8 percent for the first five months, according to a document from investment bank HSBC that reports hedge fund performance.
Last year the macro fund gained 19.4 percent, marking Law’s best year since taking control of Caxton Associates at the end of 2011. In early March Institutional Investor reported that Caxton had been assuming a global pandemic as its base case for several weeks already.
Paul Tudor Jones II’s Tudor BVI Global gained 0.30 percent, or 30 basis points, in May. It is up 6.3 percent for the year, according to HSBC. The legendary hedge fund manager had posted low-teens gains in each of the two previous years.
Tudor Momentum Fund, a computer-driven trend-following fund, was down a similar amount in May and is down 6.8 percent for the year to date, according to a private database.
MKP Opportunity, meanwhile, gained 0.70 percent in May and is now up 1.20 percent for the first five months, according to an investor. MKP Enhanced Opportunity gained 0.98 percent last month and is up 2.64 percent for the year, according to the investor.
In May the firm made money in U.S. equities, U.S. duration and developed and emerging-market currencies, and agency mortgages, according to an investor familiar with the returns. For the year to date, the firm has made money from U.S. and non U.S. rates, U.S. and non U.S. equities, and developed and emerging market currencies.
II also earlier reported that Bridgewater Associates’ Pure Alpha funds essentially broke even in May. Even so they are still down by double-digit rates for the year.
On the other hand, two of Brevan Howard’s main macro funds fell slightly in May. But they are still up sharply for the year. The Brevan Howard Master Fund lost 0.89 percent last month but is still up 22.08 percent in 2020, according to a person familiar with the results.
Brevan Howard Multi-Strategy Fund Limited lost 0.65 percent last month but is still up 14.61 percent for the year, according to the person. It is not publicly known which strategies made money and lost money in May.
In April, the multi-strategy fund made money from commodity trading, with gains from long positioning in gold as well as from short positioning in oil, according to a monthly report from BH Global Limited, a closed-ended investment company registered in Guernsey that invests all its assets in the Brevan Howard Multi-Strategy Master Fund.
In April the fund also made money from directional trading of European, U.K. and emerging market interest rates as well as from interest rate volatility, according to the report. Other gains came from long positions in U.S. and emerging market sovereign and quasi-sovereign bonds.
On the other hand it lost money from U.S. LIBOR basis relative-value trading and developed market foreign exchange trading, as well as from tactical short positioning in U.S. equity indices.
II also earlier reported that Haidar Jupiter Fund posted an estimated 4.75 percent net loss last month. It is still up an estimated 53.44 percent for the year, according to a Haidar communication with investors.
