Former Brevan Howard Asset Management star trader Chris Rokos has narrowly beaten the performance of his old firm, in a strong year for hedge funds that bet on bonds and currencies.
Mr Rokos, who co-founded Brevan Howard before leaving the firm in 2012 following a dispute over pay, chalked up a gain of 9.3 per cent last year at his London-based firm, Rokos Capital Management, according to a person who had seen the numbers.
That compares with an 8.4 per cent gain at Brevan’s flagship Master fund, said a person familiar with its performance. Rokos and Brevan Howard declined to comment.
Mr Rokos and Brevan Howard co-founder Alan Howard are two of the biggest names in so-called global macro trading, and their performance is closely watched by the rest of the hedge fund industry.
Last year Brevan Howard was among funds to benefit from bets on rising bond prices, as 10-year US Treasury yields dropped from 2.69 per cent at the start of the year to below 1.5 per cent in early September. Bond yields fall as prices rise. Macro hedge funds gained 6.2 per cent on average last year, according to the data provider Hedge Fund Research, their best return since 2010. This figure was behind the 10.4 per cent average gain for the wider industry, HFR said.
Mr Rokos, who is the “R” in the Brevan acronym, generated billions of dollars of trading profit and was paid about $900m during his time at the firm, working closely with Mr Howard.
However, after leaving the firm he lodged a legal case in 2014 to try to overturn a five-year non-compete clause. His lawyers argued that “the public . . . will be deprived of [Mr Rokos’s] skills and hard work”. The dispute threatened to spill over into a high-profile court case. Avoiding that, a settlement was reached in early 2015, allowing Mr Rokos to start his own firm. Brevan Howard took an unspecified financial stake in the business and provided support to set it up.
Mr Rokos’s fund posted a bumper 20 per cent return in 2016 before lacklustre returns in the following two years. In October Mr Rokos shook up the way his firm manages its money in order to improve returns.
Brevan Howard was once one of the world’s biggest hedge funds, managing about $40bn, before assets slumped to mid-single-digit billions following a run of mediocre returns and investor withdrawals.
However, it has turned around performance in recent years, gaining more than 12 per cent in its main fund in 2018. That was helped by bets against Italian bonds, which yielded big gains in May 2018 when concerns grew that Italy would loosen ties with the European Union and increase its debt pile.
A smaller fund run by another Brevan Howard alumnus outperformed both Mr Rokos and his previous firm in 2019. Light Sky Macro, a $1bn New York-based hedge fund run by former Brevan Howard partner Ben Melkman, gained 17.6 per cent gain last year, according to investors.
Meanwhile, another Brevan Howard alumnus, David Gorton, who manages around $1bn in his DG Partners macro hedge fund, ended the year up about 8 per cent after several lacklustre years.