Hedge Funds Lost 3.1% in Worst Month Since 2020
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- HFR's flagship hedge fund performance index fell 3.1% in March, the steepest monthly drop since a 9.1% plunge in March 2020 when Covid lockdowns hit.
- Oil prices surged above $110 a barrel as Iran closed the Strait of Hormuz, then tumbled below $95 after Trump announced a 14-day ceasefire, underscoring the volatility hedge funds had to navigate.
- Citadel lost 1.9% in its flagship fund for March, while Millennium Management fell 1.2% and Balyasny dropped 4.3%, according to people familiar with the returns.
- Caxton's macro fund suffered the deepest loss at 15% through March 20, with Brevan Howard's master fund down 6.6%, ExodusPoint off 4.5%, and Citadel's GFI fixed income fund down 8.2%.
- The bulk of the damage came from steepener trades on bonds — bets that shorter-dated debt would outperform longer-dated paper — as markets abruptly repriced from expecting rate cuts to pricing in rate increases.
- HFR president Kenneth Heinz said many large funds actually profited from oil wagers but lost more on positions tied to the 'dovish interest rate and positive growth scenario' they had priced in for 2026.
Why it matters: The March 2026 rout exposed how vulnerable even the largest hedge funds were to a geopolitical shock that inverted their 2026 thesis — from rate cuts to rate hikes. With Caxton's macro fund down 15% and Citadel's GFI off 8.2%, the episode shows concentrated bond bets, not oil positions, drove the bulk of the pain.
