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
© 2024 Benzinga.com. Benzinga does not provide investment advice. All rights reserved.
Trade confidently with insights and alerts from analyst ratings, free reports and breaking news that affects the stocks you care about.
