Hedge fund firm Rokos posts loss after bond market turmoil

The hedge fund management firm of billionaire trader Chris Rokos plunged to a loss in its most recent financial results after its fund was hit by a sharp sell-off in government bonds, even though its traders have since been able to profit handsomely from a surge in inflation.

Rokos Capital Management, one of the world’s biggest macro hedge fund firms with around $15.5bn in client assets, posted a loss before members’ remuneration of £3.6mn for the 12 months to March 2022, according to a filing with Companies House. That compares with a profit of £914mn for the previous year.

The latest results cover a very difficult period for the media-shy trader, who became one of the highest-profile hedge fund casualties of a vicious sell-off in short-dated bonds during the autumn of 2021. His fund, which had made big gains in the early days of the coronavirus pandemic, finished the 2021 calendar year down around 26 per cent.

However, it has since rebounded strongly, profiting from bets on rising interest rates last year, including during the UK’s market turmoil in the autumn. The fund finished last year up around 51 per cent, with only one month of losses, its strongest calendar year since launching in 2015.

Only a small part of the fund’s gains in 2022 are covered by the management firm’s most recent financial results.

Rokos Capital did not immediately respond to a request for comment.

The firm’s revenues, which are driven by management and performance fees, had been more than £1bn in the year to March 2021, lifted by the fund’s gain of around 44 per cent in calendar year 2020. But revenues tumbled to just £119.7mn in the year to March 2022.

Rokos himself had earned £509mn in the year to March 2021. However, in the most recent results the member with the largest entitlement was paid just £4.2mn.

Although some macro funds were hit hard during the autumn of 2021, when markets began to fret about the prospect of rapid interest rate rises, the sector enjoyed what looks to have been its best year since the global financial crisis during 2022. Macro funds, which trade in global bonds, currencies and other markets, gained 8.8 per cent to the end of November last year, according to data group HFR.

This year they have been able to profit from huge and long-running moves in the bond market, triggered by a sharp pick-up in inflation globally. The yield on the two-year US Treasury note, for instance, has soared from 0.7 per cent to 4.4 per cent, while in the UK the 10-year gilt yield has risen from just under 1 per cent to around 3.7 per cent. Yields rise as prices fall.

Rokos was a star trader at hedge fund firm Brevan Howard, which he co-founded and where he made billions of dollars of profits for investors trading bonds and options, gaining a reputation as one of the world’s most closely watched macro traders.

laurence.fletcher@ft.com