Talk about volatility.
Haidar Jupiter Fund lost an estimated 19.78 percent in November, according to an e-mail communication with investors seen by Institutional Investor. Even so, the macro fund is still up about 194 percent for the year.
To put Haidar’s performance into perspective, its November monthly loss exceeded the amount that virtually every profitable hedge fund is up for all of 2022.
The exact reason for the firm’s sharp loss last month is unknown. However, commodities and interest rates have been driving returns all year.
For example, through October, fixed income kicked in 242 percentage points to gross gains, while commodities accounted for more than 101 percent of gains, according to the October monthly report sent by Haidar to clients last week and obtained by II. Equities and foreign exchange provided small gains to performance, according to the report.
Last month, oil prices and other commodities were falling in price, while interest rates reversed course and came down somewhat. And keep in mind that Haidar is fairly leveraged.
In the recent letter, Haidar noted that fixed income now accounts for 40 percent of its risk-based allocation, up from 38 percent the prior month, while commodities account for 23 percent, versus 27 percent the prior month. “Markets appear increasingly focused on a policy pivot that would be supportive of risk assets and fixed-income markets,” Haidar told clients in the late November letter. “Incoming data will provide clarity on whether these expectations are supported.”
Haidar isn’t the only macro fund that lost money in November. Bridgewater Associates also suffered its second consecutive sharp monthly decline.
Pure Alpha II, or PA 18 Percent, lost 12 percent last month and is now up 8 percent for the year. It had been up 34.55 percent at the end of September.
Pure Alpha I, or PA 12 Percent, a less leveraged version, lost 8.14 percent last month and is up 6 percent for the year. It was up 22.2 percent at the end of September.
All Weather 12 Percent, meanwhile, surged 9.36 percent in November, cutting its loss for the year to 18.62 percent. The beta fund generally moves in the opposite direction of Pure Alpha.
The impetus behind Bridgewater’s second straight month of sharp losses is unclear. But Institutional Investor reported last month that in a recent interview with Marketwatch.com, Greg Jensen, co-chief investment officer with Robert Prince, said his firm was expecting “a much bigger recession than the markets are expecting.” He said that stocks are likely to drop at least another 20 percent.
“You might go way past that, but I think it would be about another 20 percent to get to equilibrium levels, given where real interest rates are and where growth in earnings are likely to net out,” he added. Stocks rallied sharply in November, however. In addition to interest rates and many commodity prices falling, last month also saw the ferocious rally in the dollar reverse course slightly.
Bridgewater tells investors that it has anticipated many of the large macro pressures on the global markets and the wild performance swings that come with it, and says that it has engineered its portfolios accordingly, according to a person familiar with the firm. While it expects big moves like this to continue over the short term, it is well positioned to weather this economic environment over the long term, especially as the fundamentals driving the volatility are revealed, according to the source.
Elsewhere, Brevan Howard’s BH Global suffered a much smaller loss in November, finishing down just 1.11 percent for the month. According to the firm, it is still up 18.76 percent for the year. Through October, rates accounted for the bulk of the fund’s gains, while foreign exchange kicked in most of the rest, according to the fund’s most recent monthly report.
