Wed, Sep 2, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Opalesque Futures Intelligence

Insider Talk: Insight from Abbey Capital regarding global macro strategies and liquidity.

Monday, September 14, 2009


Macro Liquidity

Investors became much more concerned about their ability to redeem since many funds imposed gates or froze withdrawals in the crisis of 2008. Even those with long time horizons, like endowments and foundations, are careful about committing to long-dated assets after experiencing cash flow problems last year. Even now, certain hard-to-sell assets remain frozen in hedge funds.

As a result, this issue is playing a greater role as investors consider different strategies. Man Group's RMF Global Emerging Managers arm, for instance, chose to seed an Asian macro fund in part because it trades only liquid instruments (see News in this issue).

Dublin-based Abbey Capital, an allocator to managed futures and macro funds, recently moved to weekly liquidity for its multi-manager global macro fund, which offers an eight-manager portfolio. We asked Mick Swift, director of research at Abbey, to discuss the liquidity of global macro strategies.

The firm oversees about $1.7 billion in assets. A wide-ranging discussion of managed futures by Abbey chief executive Tony Gannon can be found in our May 5, 2009, issue.

Opalesque Futures Intelligence: What's your policy regarding redemptions?
Mick Swift: We always try to give the best possible liquidity that we could. The macro fund moved to all managed accounts in the past couple of months, which gives us better liquidity. We're passing that on to our clients. Our flagship ACL Alternative Fund, a portfolio of commodity trading advisors, is almost unique in giving investors daily liquidity. It also provides full transparency of positions. The change to weekly liquidity brings the Macro Fund more in line with ACL.

OFI: Which macro styles allow frequent redemptions?
MS: Much of the trading in global macro is done in futures and foreign exchange, which are marked to market daily and are extremely liquid. However, certain trading styles may involve long holding periods. What we try to do is to invest in those macro styles that capture big macro moves but do so primarily through futures and FX. That gives you a better liquidity profile.

OFI: Does that mean the fund has limited diversity?
MS: The macro fund combines a diverse blend of trading styles and gives exposure to a wide range of sectors and markets. While most of the managers have a discretionary approach, the fund does include some systematic macro strategies as well. Global macro trading aims to exploit cyclical and fundamental market movements. Like managed futures, macro trading has a very diverse universe of markets that includes many asset classes and geographies.

OFI: Can global macro and managed futures be substituted for each other?
MS: We don't see global macro and managed futures as substitutes. They can be complementary. Both work well in a diversified portfolio. Our macro fund has a low correlation with our main fund, probably around 0.3 or 0.4. On the whole the macro fund is more fundamental and discretionary than the CTA portfolio. Mostly the macro styles reflect how the manager feels about, say, the FX marketplace. Even systematic macro captures a different return stream in the market than traditional trend following. Managed futures tends to perform particularly well in equity bear markets. Global macro has done better this year.

OFI: Why did macro do better this year?
MS: The fundamental viewpoint is probably better suited to this year's market environment. Macro teams using a discretionary approach may have caught the equity market trend or the weakening dollar trade, for instance. They try to figure out what's going on in the world and determine their trades on that basis. There is a lot of uncertainty in the world right now. Our managers have long market experience, which can help them discern good trades before others do.



 
This article was published in Opalesque Futures Intelligence.
Opalesque Futures Intelligence
Opalesque Futures Intelligence
Opalesque Futures Intelligence
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Cliff Asness attracts $360 million as liquid alternative funds hold up[more]

    From Bloomberg.com: As U.S. stocks suffered their worst month in more than three years in August, Clifford Asness’s managed futures fund was able to profit. Investors are taking notice. The $9.12 billion AQR Managed Futures Strategy Fund pulled in an estimated $360 million in net subscriptions last

  2. Activist News - Carl Icahn has snapped up a huge stake in Freeport-McMoRan, and the stock is ripping, Meet Europe's best activist investor[more]

    Carl Icahn has snapped up a huge stake in Freeport-McMoRan, and the stock is ripping From Businessinsider.com: Carl Icahn has picked his next target: Freeport-McMoRan. Icahn and a group of other investors have snapped up an 8.46% stake in mining company Freeport-McMoRan, according to a j

  3. North America - Hedge fund manager Ray Dalio’s challenge to the Fed[more]

    From Newyorker.com: For some reason, Janet Yellen, the chair of the Federal Reserve, decided to skip this year’s annual Fed conference in Jackson Hole, where monetary policymakers from the United States and abroad get together with some prominent academics to discuss the big issues of the moment. Th

  4. Performance - Einhorn and Loeb's hedge funds both decline 5% in August, Some target-date funds miss in the market turmoil[more]

    Einhorn and Loeb's hedge funds both decline 5% in August From Reuters.com: Hedge fund billionaires David Einhorn and Daniel Loeb saw their main funds lose roughly 5 percent in August during a dramatic market sell off, two people familiar with their returns said on Monday. Einhorn's

  5. Opalesque Exclusive: Foundation returns slide, but commitment to alternatives remains[more]

    Bailey McCann, Opalesque New York: Private and community foundations posted returns of 6.1 percent for the 2014 fiscal year (January 1 – December 31, 2014), down from the 15.6 percent return reported for FY2013, according to the latest Council on Foundations–Commonfund Study of Investment of End

banner