January 21, 2015 / 12:46 PM / 5 years ago

UPDATE 1-Fortress loses in torrid week for macro funds after Swiss franc move

(Adds details, background)

By Nishant Kumar

LONDON, Jan 21 (Reuters) - Fortress Investment Group LLC’s macro hedge fund lost 7.64 percent last week, the latest in a series of funds to suffer after the Swiss National Bank (SNB) removed a cap on the franc, sending the currency soaring.

The Fortress Macro Fund, managed by Michael Novogratz and Jeff Feig, did not give a reason for the loss in the letter sent to investors on Wednesday. This raises the loss for the fund to 7.9 percent so far this year, the letter obtained by Reuters showed.

The SNB shocked markets last Thursday by removing a three-year-old cap on the currency, inflicting deep portfolio losses for macro hedge funds that focus on major economic trends and bet anywhere they see value, including stocks, currencies, bonds, commodities and derivatives markets. [ID: nL6N0UU2CQ]

The move sent the safe-haven franc soaring against the euro and the U.S. dollar at a time when more than $3.5 billion was betting on franc weakness, the largest such position in more than a year and a half.

Fortress joins other macro fund managers such as COMAC Capital and Everest Capital which suffered losses last week, further damaging a popular strategy for an industry nursing wounds from nearly four years of mediocre performance.

While Miami-based Everest has decided to shutter its $830 million flagship global fund, COMAC’s $1.2 billion hedge fund is returning capital to investors.

The Fortress Macro Fund, combined with several other funds from the firm, managed $3.3 billion at the end of September last year. The fund lost 1.6 percent in 2014, when peers as measured by the Eurekahedge Macro Hedge Fund Index gained 3.7 percent.

Macro hedge funds as a group saw net outflows worth about $28 billion last year, data from HFR showed, compared with $76.4 billion in net inflows for the global industry.

The franc surged as much as 40 percent to a high of 0.85 to the euro on Thursday.

Fortress managed $66 billion across a range of investment products at the end of September 2014.

The currency move also benefited some hedge funds.

The winners include Sunny Dhonsi, a former JP Morgan trader who left in 2014 to set up Govardhan, and the $550 million Omni Macro Fund, which profited from tactical trades last Thursday.

Swiss money manager Quaesta Capital’s v-Pro fund that aim to benefit from swings in forex markets, has gained 14.5 percent so far this year. Another version of the fund is up 28 percent. The two funds manage about 100 million euros ($115.7 million). ($1 = 0.8640 euros) (Reporting by Nishant Kumar; Editing by Carolyn Cohn and Keith Weir)

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