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Alternative Market Briefing

Unigestion's global macro hedge fund delivers through adaptive approach

Tuesday, August 24, 2021

Salman Baig
B. G., Opalesque Geneva:

The Unigestion Adaptive 10 strategy managed* by Unigestion, an asset manager headquartered in Geneva with $22bn in total AuM, is up 11% YTD after returning 1.5% in July. By comparison, the Eurekahedge Macro Hedge Fund index was down 0.8% in July and up 3.8% YTD; BarclayHedge's Global Macro index was flat and up 7.6% YTD; and the HFRI Macro (total) index was down 0.2% and up 8% YTD.

Unigestion's strategy has annualized over 9% since January 2015* with a volatility of 8%. It manages long and short exposure across and within asset classes, and trades over 60 liquid instruments across global markets. It combines systematic and discretionary macro investing to capture a large set of market drivers. Its approach is flexible and nimble enough to adapt to the prevailing macroeconomic conditions, generating risk-adjusted returns regardless of market conditions.

Portfolio manager Salman Baig will be presenting the fund and his views at the next Small Managers Big Alpha webinar on 7th September.

*From 01.01.2015 to 31.08.2021 figures presented are hypothetical and based on the Unigestion Adaptive 10 strategy. Unigestion has launched the dedicated vehicle following this strategy on August 31, 2021.

Portfolio manager Salman Baig will be presenting the fund and his views at the next Small Managers Big Alpha webinar on 7th September.

Three books

The strategy combines a set of three independent investment approaches, namely:

- Systematic macro allocation (40%), which assesses current macroeconomic conditions using proprietary "nowcasting" and "newscasting" indicators, as well as asset valuations to construct long/short views on global assets.

- Discretionary macro allocation (40%), which aggregates individual, discretionary views of a team of experienced portfolio managers to take long or short exposures across and within asset classes.

- Systematic macro trading (20%), which consists of quantitative signals applied to a diversified set of instruments to capture two main features of markets: momentum and mean reversion.

Adaptability and drivers

"Thanks to its ability to adapt to macro and market environments, the strategy has provided a diversifying returns source during particularly challenging environments, either by boosting returns or reducing risk," says Unigestion in a Market Views report.

"In general, global macro managers can be classified along two axes: systematic vs. discretionary and fundamental vs. technical. While nearly all managers are some combination of systematic and discretionary, it is the balance of the two that matters."

The core of Unigestion's investment approach is the belief that macro fundamentals are the ultimate drivers of financial returns over the medium- to long-term. But other market drivers can dominate over the short-term and ignoring them can destroy capital. So it is critical to assess multiple market drivers and make sure the strategy can adapt itself to almost any environment.

Some drivers are best captured systematically, while others should be handled on a discretionary basis. "From the beginning, our systematic and discretionary engines were viewed as peers with a common investment universe on which to form views that would then be translated to a portfolio using a common risk model."

The managers believe such an approach requires that diversification be embedded into the dimensions of an investment process: diversification across data, horizons, decision frameworks, styles, markets and more.


Next Small Manager Big Alpha webinar

With larger quantities of capital chasing the same alpha strategies and continuing to erode alpha, savvy investors are turning to smaller or emerging managers as they look for alternative sources of return. In the third episode of this ground-breaking webinar series, we present four managers:

- Salman Baig, Unigestion
- Aylon Morley, SAVA Investment Management (see related article here)
- Theron de Ris, Eschler Asset Management
- Daniel Butler, Blue Swan Investors (see related article here)

When: Tuesday, September 7th, 2021, at 10:30 am ET
Free registration here:

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