Question About Macro MM HFs (Brevan, Caxton, Bluecrest, etc)???
Hey, all!
I have a question about PM book sizes at these macro funds. For the names listed above, that have adopted the multi-manager-esque model, what do you think the average PM book is and the leverage that they take on?
I noticed that Brevan's master fund has ≈$9b aum, and funds like Caxton, Moore, Tudor, all seem to have single digit billion in their flagship.
That said, Brevan has in excess of 50 PMs for their Master Fund, and Bluecrest has an extreme amount as well. Doing that basic math, there's no way that the average book a PM manages is ≈$200mm, right? This seems awfully low. The same applies to Bluecrest
I read an article about Bluecrest in 2009, and the BCI (Bluecrest Capital International Fund) had $5b in aum but 40 PMs!
Do these macro hfs also lever up 4-5x like the L/S MMs? If not, it seems like there isn't much money going around at these places.
Any color would be appreciated, thx!
200mm at 10% draw (20mm) sounds about right for the average book size
I thought $200mm was more of a starter book at MMs?
The size of the book should be compared to the drawdown and the cut of the PnL for the PM.
In certain cases, you prefer to have smaller books.
MMs (especially the macro side) work off of drawdown limits not off of gross book size. If you are an equity book and targeting a 3% return then yes maybe 200m is a starter book because a good year would be 6m so would imply a drawdown of 5-7m.
No idea about average book size. But do macro HF have leverage ? Yes of course, and a lot !
Bonds and FX have very low volatility compared to equities, so macro HF have to leverage if they want to generate decent returns.
They definitely lever and the average book is definitely larger than $200mm
what's the leverage ratio?
No idea.
I work at one of those firms mentioned. Yes the average book is around ~250mm ish although most firms use vol instead of gross notional. The pods are much leaner (2-3 ppl) vs say Citadel (I was there as well) (~4-5 ppl).
Could you PM me? Currently an analyst in S&T and would love to learn more.
Bluecrest were levered 5.7x-ish when they were managing outside money. This is probably in line with other macro funds, unless you're Coffey @ GLG (10-20x). Platt said the firm would increase leverage 4x when they returned outside money, so I'm guessing they're in the range of 20-25x-ish, but aggressively cut risk when needed (Mar '20). Don't really know how much the firm manages - Bloomberg wealth estimates literally assume he kept his 1.6bn in the fund and isn't taking regular distributions, which I doubt given the increased risk/leverage, but yeah, 100-250m for a book sounds about right
Very informative. Thx
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