(Bloomberg) -- Chris Rokos’s hedge fund suffered one of its worst ever losses last month as global markets whipsawed over the chances of a US recession.

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His macro trading strategy slumped 5.2% in August, paring his gains for this year to just over 14%, according to a person with knowledge of the matter. The loss was the worst since March 2023 and only the fourth time the fund declined 5% or more in a month since its launch in 2015, the person said, asking not to be identified because the details are private.

A representative for London-based Rokos Capital Management, which managed close to $18 billion before the loss, declined to comment.

Hedge funds faced wild swings in markets from Tokyo to New York this summer, triggered by a rapid unwinding of the yen carry trade and jitters over the US economy. Wall Street’s “fear gauge,” the VIX, spiked to an unprecedented level during a selloff in early August.

While markets bounced back later in the month, the tough trading conditions spurred Millennium Management, Balyasny Asset Management and BlueCrest Capital Management to liquidate some positions or even close trading pods.

Macro hedge funds are up 5.6% on average in the first eight months of the year, according to data compiled by Bloomberg. In the three months through August they lost an average of 1.6%.

Richard Tang, an executive at Rokos’s hedge fund, said in May that the Federal Reserve was unlikely to loosen monetary policy this year because the path of inflation has become very difficult to forecast, particularly in the context of a presidential election later this year. This view went against others in the markets who have spent the year anticipating cuts, though it’s unclear whether Rokos still takes this stance.

Bond traders are expecting the Fed to cut at least 25 basis points from rates on Wednesday and mark the start of a broader unwinding.

Rokos, whose net worth is estimated at $1.8 billion by the Bloomberg Billionaires Index, runs one of the biggest macro hedge funds in the world. He co-founded Brevan Howard Asset Management in 2002 before leaving to start his own operation.

(Updates with macro fund returns, detail on rates outlook from sixth paragraph.)

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