Louis Bacon, head of $15bn Moore Capital, told investors in a letter on Wednesday that uncertain and illiquid markets meant his flagship hedge fund had become too large to be able to match past returns. To make the fund more nimble he plans to return some $2bn to investors.

The $8bn Moore Global Investments fund returned a disappointing 0.35 per cent in the first half of the year, according to a letter sent out to investors in the fund.

â??Disaster Economics, where assets are valued based on their ability to withstand a lurking disaster as opposed to what they may yield or earn, is now the prism through which investors are pricing markets,â?� Mr Bacon added in the letter.

The letter also stated that markets had become â??trickier and less liquidâ?� as his fund has grown in size in recent years.

Other large macro funds have struggled as well in 2012. The $25bn Brevan Howard, which also returned $2bn to investors in 2011, is down 3.6 per cent so far this year, according to investors. Bridgewater, the worldâ??s largest hedge fund run by Ray Dalio, has lost 3.9 per cent to the end of June in its flagship fund. <p>The Morgan Hedge Global Macro Index shows a small loss of 0.06 pct for the first half of the year.