Rokos Hedge Fund on Track for Worst Year With 18% October Plunge
(Bloomberg) -- Chris Rokos’s hedge fund tumbled about 18% last month amid recent bond-market upheaval, putting it on track for its worst year ever, according to a person familiar with the matter.
Rokos Capital Management is now down more than 26% in 2021, the person said. A spokesman for the London-based firm declined to comment.
It’s one of several hedge funds hurt by last week’s unexpected bond-market volatility, prompted by growing speculation that central banks will raise rates faster than expected in order to contain inflation. Funds at Brevan Howard Asset Management, Alphadyne Asset Management and ExodusPoint Capital Management also lost money last month.
Rokos, which had already sunk 11% through the first 22 days of October, was dealt another blow on Oct. 27 as the difference between two- and 10-year Treasury yields flattened in one of the biggest daily moves in the yield curve of the past two decades, according to Cornerstone Macro estimates.
The hedge fund had wagered that the difference between short- and long-term U.K. and U.S. government bond yields would widen.
This week, the Bank of England’s surprise decision not to lift rates spurred steep declines for U.K. yields that infected most government bond markets globally. U.S. yields fell further Friday despite strong U.S. jobs data for October.
Rokos’s October performance was reported earlier by the Financial Times.
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