Managed Futures
Hedgeweek: Quant Macro Specialist ThirdYear Capital Unveils Systematic Global Macro Strategy
Citation:
"The ART Global Macro Fund uses near-term economic forecasts to identify trading opportunities in fundamental financial trends as well as turning points in capital markets.
The fund, which launched last month with EUR20 million (USD23.6 million) in seed capital, trades a range of liquid and exchange-traded instruments including equities, government bond, inflation and currency futures, and can use derivatives to build short positions.
ThirdYear’s absolute return “quantamental” model processes more than 5,000 economic and financial high frequency inputs to predict economic activity for over 20 countries in the near future. This aims to produce ongoing indicators that can then flag up cause-and-effect relationships in economic data and identify cycle phases, which in turn can better forecast potential returns in each asset class traded in the portfolio.
The strategy aims to curb equity beta through risk weighting, and avoids trading on certain factor-based and technical trend signals.
The launch comes at a testing time for computer-based macro hedge fund strategies, which initially notched up positive returns during March’s historic coronavirus-driven market shock before seeing performance trail off during the summer. [...]"