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Hedge fund Rokos cuts risk after losses – letter


Hedge fund Rokos cuts risk after losses – letter By Reuters

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Economy 5 hours ago (Mar 25, 2023 16:45)

© Reuters.

By Carolina Mandl

NEW YORK (Reuters) – London-based hedge fund Rokos Capital Management told investors in a letter on Saturday that it has decided to de-risk, following double-digit losses this month.

“We have de-risked following this month’s market price action,” the hedge fund said in the letter which was seen by Reuters. It added that cash remains “at healthy levels” and that counterparties have not requested additional margin.

Rokos lost 15.3% this month through March 17 and has lost 9.8% so far this year.

Many hedge funds have been badly wrong-footed by high volatility in the bond market. Investors had been extremely bearish on U.S. Treasuries, but the rapid collapse of Silicon Valley Bank forced traders to reverse their bets on higher rates.

Rokos, which manages roughly $15.5 billion, also told investors that it played no part in discussions about recent losses with bets on U.S. government bonds between the U.S. Securities and Exchange Commission and the UK Financial Conduct Authority.

On Friday, the Financial Times reported that SEC Chair Gary Gensler brought up Rokos in calls with UK regulators, following its losses.

The hedge fund told investors it continues to have normal interactions with regulators and that they have not expressed any concern specific to the firm.

News of the letter was first reported by Bloomberg.

Hedge fund Rokos cuts risk after losses – letter

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