The two major movers in February for Global Macro hedge funds were the unexpected appreciation in Japanese yen against U.S. dollar and the decline in euro after an unexpected result in the recent Italian elections. Yen gained 0.66 percent against the dollar (USD) last month while the Euro (EUR) declined 3.2 percent against the dollar.
These situations put hedge funds with major exposure in short yen trades and long euro positions in a tight spot. The decline in euro also led to losses in European debt positions as bond yields spiked. After January was particularly profitable for most of the Macro funds, February brought marginal returns or losses for these funds.
Mangrove Partners had its worst month for shorts ever
Nathaniel August's Mangrove Partners was down 0.5% in May and 6.8% in April, bringing its quarter-to-date return for the second quarter to -7.2% and its year-to-date return for the first five months of the year to -35%. At the end of May, the fund's gross exposure was 194%, while its net exposure was 7%. Q2 Read More
Examples of such variation in returns would be Argonaut Capital’s -1.2 percent detraction in Feb as opposed to a gain of +4.3 percent in January. The hedge fund lost in its short yen positions and longs in European debt. Similarly, Roundtable’s Global Macro strategy lost 1.12 percent in last month after returning in excess of 4.7 percent in January.
More funds who lost in February were Pharo Macro Fund, up 4.8 percent in January but lost 0.72 percent in February. The fund has short yen positions and long positions in Italian, Spanish and Greek government bonds. Moore Capital’s Moore Macro Managers was down 0.21 percent last month after gaining more than 3 percent in Jan.
In contrast to the above trends, Omni Macro Fund gained 1.8 percent in February, thanks to its short Euro positions. However the fund was down 1.3 percent in January so it mirrors the returns of other macro funds.
Tiger Cub, Robert Citrone’s Discovery Global Macro Fund was up 8 percent in January but slowed down in last month when it reported a net gain of 2 percent. Paul Tudor’s Tudor BVI Global Macro (AUM $8.86 billion) gained only 0.85 percent last month after posting a return of +4.4 percent in January. Rubicon Global was up 6.5 percent in January but gained barely 1 percent in February. Caxton Global was up only 0.59 percent in February after gaining 2.9 percent at the start of the year.
The paper losses in February have not deterred the Macro funds from their losing positions. Most of the the above mentioned funds have been gaining pretty big numbers as March kicked in. The Euro is pressured once again due to uncertainty in Italy and now in Cyprus which led to increased short exposure in the currency. Japanese Yen has declined from 93.61 to 95.38 against the dollar month to date, while Euro is down from 1.308 to 1.294 against the dollar.