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By Benedicte Gravrand, Opalesque London: The managers of a new systematic global macro fund, which uses a combination of mathematical modelling and macro-economic views, foresaw recession in Europe and expect currencies to suffer.

Constellation Global Macro Fund Switzerland-based C Capital Ltd’s Constellation Global Macro Fund is an offshore fund using a systematic global macro strategy. The fund combines a systematic approach with a discretionary overlay and invests only in liquid instruments (forwards and futures). The strategy has no biases and looks at long or short positions in any of the foreign exchange, commodity, equity and bond markets globally. The managers do not attempt to hedge any single exposure.

The fund manages $29m – including $6.9m placed in November’08. It was incepted in May 2008 and has delivered a cumulative positive net performance of 13.82% since (including 2.62% in November). The managers have recently reduced risk and mitigated the volatility of their investment strategy while still realizing positive returns. In November, a significant portion of the performance was achieved via shorting commodities, particularly oil and gas. Currencies were also a substantial contributor with US$ further strengthening against other major currencies while the EUR recovered against other leading European currencies.

“We have a mathematical model which we combine with a macro element,” said Philippe G. Pillonel, managing partner a......................

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