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Top-Performing Hedge Fund In 2022 Has This Strategy To Thank: How Much Did It Make Last Year?

Macro trading is an investment strategy that takes into account both domestic and global macroeconomic trends.

Most global macro trading ideas are in essence so simple that even the most inexperienced investor could grasp them. The difficulty comes not from the trades themselves, but from the timing of execution.

What Happened: Macro trading emerged as the prominent strategy among hedge funds in the previous year, according to Bloomberg, with some firms achieving significant returns through investments in macroeconomic events.

These returns were reported to be in the range of double and triple digits in 2022. Conversely, other firms that had a focus on technology stocks experienced substantial losses in the volatile market conditions.

Why It Matters: Rokos Capital, managed by Chris Rokos, traded macro in 2022, gaining 51% on the year. Rokos’ former employer, Brevan Howard Asset Management, gained 20.14% trading macro.

What stocks and indices did Rokos Capital have in its portfolio?

By weight, according to the fund’s most recent 13F-HR at the end of the third quarter, it held:

Issuer Name

Ticker

% of Portfolio

2022 Performance 

Microsoft Corp

MSFT

4.7%

-28.69%

Energy Select Sector SPDR Fund

XLE

4%

+57.60%

Southwestern Energy Company

SWN

3.6%

+25.54%

Financial Select Sector SPDR Fund

XLF

2.6%

-12.2%

EQT Corp

EQT

2.4%

+55.11%

Bank of America Corp

BAC

2.4%

-25.56%

Nvidia Corp

NVDA

1.2%

-50.31%

Apple Inc

AAPL

1.1%

-26.83%

iBoxx $ High Yield 

HYG

1.1%

-15.38%

Salesforce Inc

CRM

0.9%

-47.83%

While the performance of the individual stocks in the above list has been mixed, Rokos Capital has hedged its positions with options. Here’s how much it held in 2022.

Issuer Name

Ticker

% of Portfolio

Call/Put

Financial Select Sector SPDR Fund

XLF

23%

Call

Invesco QQQ Trust Series 1

QQQ

13%

Put

Financial Select Sector SPDR Fund

XLF

3.7%

Put

Pinterest Inc

PINS

2.8%

Call

iShares China Large-Cap ETF

FXI

2.3%

Call

EQT Corp

EQT

2.1%

Put

Taiwan Semiconductor Mfg. 

TSM

2%

Put

Eli Lilly And Co

LLY

1.8%

Put

Salesforce Inc

CRM

1.5%

Call

AbbVie Inc

ABBV

1.4%

Put

Read Next: 2022’s Worst Performing Hedge Fund Saw Negative 56% Returns, Has These Stocks To Blame

Photo: Golden Dayz via Shutterstock

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