Brevan Howard, Europe’s largest hedge fund with $40 billion under management, slid in the red zone in all of its major hedge fund strategies in last month. Brevan Howard posted the largest decline in the EM focused fund, Brevan Howard Emerging Markets Strategies Master Fund, which was down 6.5 percent in the month.

Brevan Howard

Brevan Howard posts largest decline in emerging markets

The emerging markets fund was down in all of its trades, fixed income, equities and forex. This has been Brevan Howard’s worst performing macro strategy of the year, after June’s loss the $2.8 billion EM fund is down -13.3 percent YTD. This easily puts Brevan Howard’s EM fund in the middle order of this year’s worst performing funds.

Brevan Howard Investment Fund Emerging Markets Local Fixed Income Fund which manages $1.7 billion also did poorly, returns were down 0.65 percent in last month, further pushing the yearly loss to -4.2 percent.

The hedge fund was up in its Asian strategy, Brevan Howard Asia Master Fund Limited gained 2.2 percent in June. The best performers for the Asia fund were positions in Korean interest rates and equity volatility trades. Brevan Howard’s $2 billion Asian strategy has been a somewhat consistent gainer through the year so far, the fund is up 7.5 percent YTD.

Brevan Howard’s largest allocation, Brevan Howard Master Fund Limited, also dipped 2.9 percent in last month. The master fund has approximately $28 billion under management and after June’s decline, the fund is up only 4.25 percent for the year. Like several other macro funds, the flagship strategy of Brevan Howard also lost in European rates.

Losses in MBS/ABS strategies

Two of Brevan Howard’s credit focused funds have been on a losing spree after posting good returns through the earlier part of this year and performing on the high end in 2012. Investments in mortagage backed securities have looked bad in the wake of Fed’s repeated indications that it will stem its trillion dollar bond buying program. Securitized credit hedge fund gurus, Steve Kuhn of Pine River Capital and Josh Birnbaum of Tilden Park, have also suffered through a couple of losing months now. 

Brevan Howard Credit Catalysts Master Fund Limited which was up 15 percent last year and had gained 6.2 percent through May, but declined 0.5 percent in June. The fund which manages $4 billion, counted 80 percent of its losses in the MBS/ABS strategies in this period.

The $300 million Credit Value Master Fund took a loss of -2 percent in last month, trimming its year to date performance to +9.8 percent. The Credit Value fund was up 19 percent last year.

Surprisingly BH Commodities Strategies was up 0.65 percent in June, the gain comes after a string of losing months. The Commodities Strategies Master Fund was up in natural gas, oil, coal and gold while losing in other precious metals. The fund is down 2.3 percent for the year.