Brevan Howard AS Macro Fund Has Worst Month Ever Amid Bond Chaos

(Bloomberg) -- Brevan Howard Asset Management’s AS Macro Fund tumbled 4.3% in October amid last week’s bond-market upheaval, according to people with knowledge of the matter, the worst monthly performance since its 2017 debut.

That brings the year-to-date loss for the fund run by portfolio manager Alfredo Saitta to 5.7%, one of the people said. Brevan Howard’s flagship Master Fund eked out a 0.2% gain for the month after losing money last week and is up 1.7% this year, another person said.

A spokesman for London-based Brevan Howard, with $20 billion under management, declined to comment. 

Several macro funds that had been positioned for an increase in the premium of longer-end interest rates over the shorter end -- a so-called steepening of the yield curve -- were caught in wrong-way bets as the bond market quickly moved against them. 

Front-end yields from Canada to Australia last week jumped the most since the 1990s as policy makers shifted gears to move more firmly against inflation once seen as likely to be transitory. At the same time, long-term rates slid -- a signal that aggressive policy moves are likely to slow the pace of economic growth.

In the U.S., traders ratcheted up expectations for tightening and were pricing in two quarter-point rate hikes for 2022 as a certainty at one stage. That’s been dialed back slightly after a decision by the Bank of England not to lift rates weighed on bond yields globally, although traders continue to price in a decent chance of such a boost to rates.

Rokos Capital Management, Alphadyne Asset Management and ExodusPoint Capital Management were among the top shops that incurred losses last month. Portfolio managers at some firms, including BlueCrest Capital Management and Balyasny Asset Management, halted trading to contain the damage. 

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