Key Takeaways
- • Brevan Howard Asset Management terminated its relationship with US hedge fund firm Commonwealth Asset Management after a $1 billion separately managed account it advised suffered losses, according to Bloomberg.
- • The losses followed a series of bets on short-term interest rates that went wrong, causing a steep drop in the account's macro trading money pool.
- • A separate Commonwealth hedge fund following a similar strategy lost about 17% in March and has recouped most of those losses this month, per a Bloomberg source.
- • Brevan Howard's master fund posted a record monthly decline in March, when macro traders were hit hard by volatility triggered by the collapse of Silicon Valley Bank.
Summary
Brevan Howard Asset Management, the Jersey-based macro manager, has ended its relationship with US hedge fund firm Commonwealth Asset Management following losses at a $1 billion separately managed account (SMA) that Commonwealth advised, according to a report by Bloomberg. The report, citing unnamed sources familiar with the matter, said Brevan Howard terminated the arrangement after a series of bets on short-term interest rates went awry, resulting in a steep drop in the macro trading money pool.
The Bloomberg report also notes that a separate Commonwealth hedge fund pursuing a similar strategy to the Brevan Howard account lost about 17% in March. According to a Bloomberg source, that fund has since recouped the majority of those losses in the current month. The article presents the March losses in the context of the market turmoil that followed the collapse of Silicon Valley Bank.
The episode also highlights the pressure on Brevan Howard's own flagship strategy. Its master fund posted a record monthly decline in March, as macro traders were hit hard by the volatility that accompanied the Silicon Valley Bank failure. For allocators to multi-manager and macro strategies, the case underscores the risks of concentrated rate positioning within externally advised accounts and the importance of manager oversight when mandates underperform.
The Bloomberg report also notes that a separate Commonwealth hedge fund pursuing a similar strategy to the Brevan Howard account lost about 17% in March. According to a Bloomberg source, that fund has since recouped the majority of those losses in the current month. The article presents the March losses in the context of the market turmoil that followed the collapse of Silicon Valley Bank.
The episode also highlights the pressure on Brevan Howard's own flagship strategy. Its master fund posted a record monthly decline in March, as macro traders were hit hard by the volatility that accompanied the Silicon Valley Bank failure. For allocators to multi-manager and macro strategies, the case underscores the risks of concentrated rate positioning within externally advised accounts and the importance of manager oversight when mandates underperform.
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