Citadel’s Global Fixed Income drawdown

Citadel’s Global Fixed Income fund fell 8.2% in March, its steepest drop among the firm’s main strategies during a month of war-driven market swings. (bloomberg.com) Reuters reported on April 2 that the fund was down 5.5% for 2026 through March, while Citadel’s Tactical Trading fund gained 1.8% in March and its Equities fund rose 0.7%. Citadel’s flagship Wellington fund lost 1.9% in March but remained up about 1% for the year. (money.usnews.com) The March selloff hit more than one firm. Bloomberg reported Millennium Management lost about $1.5 billion in the week through March 6, while Point72 Asset Management and Balyasny Asset Management also posted losses as markets convulsed after United States and Israeli strikes on Iran. (bloomberg.com) A fixed-income hedge fund trades government bonds, interest-rate futures, currencies and related derivatives. Those positions are often built on small price gaps, so funds borrow heavily to make modest moves large enough to matter. (federalreserve.gov) One version is the Treasury cash-futures basis trade: a fund buys a Treasury bond, shorts a related futures contract and finances the bond through the repurchase, or repo, market. The Federal Reserve said the trade depends on the cash and futures prices converging and on continued access to short-term financing. (federalreserve.gov) When volatility jumps, that structure can break down quickly. The Office of Financial Research said stress in March 2020 put Treasury basis trades under pressure, and the New York Federal Reserve said emergency repo operations and bond purchases were used that month to ease strains in funding markets. (financialresearch.gov) (newyorkfed.org) Goldman Sachs told clients on April 1 that hedge funds had just suffered their worst monthly drawdown since January 2022. Reuters said prime brokers saw forced de-risking across strategies as the Iran war battered stocks and raised volatility across bonds, energy and currencies. (kelo.com) (money.usnews.com) Regulators have been trying to make that part of the market less fragile. The Securities and Exchange Commission said its Treasury clearing rules are meant to expand central clearing in the United States Treasury market, with repo clearing implementation still underway in 2026. (sec.gov) Citadel’s March loss did not threaten the firm as a whole, but it showed how fast a leveraged bond book can turn when financing, futures and cash bonds all move at once. The same month left some of the industry’s biggest multi-manager funds cutting risk instead of compounding it. (money.usnews.com) (bloomberg.com)