As most of the famous names in the global macro strategy have made big gains through the year, similar luck has not come in the way of smaller macro hedge funds. For example, Omni Macro Fund (AUM $416 million), down 3.7 percent for the year through May, has returned on the positive end only once in February, and the fund lost 2.63 percent last month.
In May the fund lost on short bets in German DAX index and shorts in U.S. equities also underperfomed. The fund won on shorts in EUR/USD and short AUD. In its tactical portfolio, the fund gained from long USD against JPY and NZD and from shorts in US 10 yr treasuries became profitable towards the later part of May.
Global Macro fund, Omni Macro incurred losses as DAX went through one of its longest rallies in May. Later, a better than expected U.S. non-farm payroll data pushed the fund to cut out its short equity positions. The fund also notes in its investor letter that emerging markets sovereign bond and forex markets have plummeted ever since the Fed hinted towards tapering QE and there are good bearish opportunities there.
Hugh Hendry’s Eclectica Fund was also down 2.2 percent in May, bringing the YTD performance to only +1.13 percent. Eclectica also has shorts in AUD, JPY and longs in Nikkei. BlueCrest Emerging Markets Fund and Brevan Howard Emerging Markets Fund were down 0.31 percent and 1.38 percent respectively last month.
Performance Of Global Macro Hedge Funds:
Another global macro fund, C12 Helix Liquid Opportunities is down 3.21 percent YTD after detracting another 2.78 percent in May. C12 fund manages $922 million. The fund was caught off guard by the Fed’s tapering talk and strong payroll numbers. Due to the heightened volatility in last month, C12 exited its short positions in Japan’s Topix and 10 year government bonds. C12 also benefited from shorting EUR against USD. Basing on similar theme as Omni Macro, C12 detracted in short S&P 500 positions. Longs in Eurostoxx 50 and German 10 year bonds did better. C12 has held a short in six EM currencies: Indian rupee, Turkish lira, Korean won, Mexican peso, Brazilian real and Polish zloty against the USD. This position must be paying off as peso, lira and rupee are hitting new lows.
Data sources: Latest Hedge Weekly, Shareholder letters