First Quadrant Global Diversified Macro Achieving A Milestone

It felt as though a full year of market events happened in March 2020. A pandemic, a massive spike in spot volatility, an oil price war, a broad lockdown, and an end to the unprecedented bull market. Though most of these issues are persisting into April, it was a small relief just to turn the calendar and begin a new month. For us at First Quadrant, April 1st, 2020, was a day we have long had circled in our calendars, as it marked the three-year anniversary of our Global Diversified Macro strategy.

For products as well as people, age in some sense is just a number. But an anniversary can also be an invitation to pause and reflect, to recall lessons learned and celebrations earned, and to plan for the future. We are proud of and excited about the results that Global Diversified Macro has achieved over its three-year history: From April 2017 through March 2020, the composite has delivered on its objective of double-digit returns, with zero to negative correlation to nearly everything, including most major asset classes as well as other alternatives. Moreover, as depicted in Figures 1 and 2, it has realized positive performance in a variety of market environments, with notable gains during market volatility in February 2018, Q4 2018, and Q1 2020.

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