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Alternative Market Briefing

ART Global Macro outperforms in September

Monday, November 01, 2021

Bailey McCann, Opalesque New York for New Managers:

Munich-based global macro fund - ART Global Macro reached its one year anniversary on a high note. The strategy, which was launched in August of last year is up 4.74% year to date through the end of September, according to a recent letter to investors reviewed by Opalesque. The fund was up 5.47% in September following strong performance across all asset classes.

The ART Global Macro fund is managed by ThirdYear Capital, a quantamental shop led by Martin Rossner who was previously with Man Group. ART Global Macro fund invests in liquid and exchange-traded instruments such as equities, government bonds and futures. The strategy was launched together with Agathon Capital and Universal-Investment.

ThirdYear's approach to investing relies on "nowcasting" - using technology to provide short-term forecasts of economic activity - along with fundamental analysis. For the ART fund, ThirdYear processes over 5,000 selected economic and financial time series to predict economic activity for over 20 countries in the near future. The methodology, popular with central banks, uses higher frequency data to determine lower frequency economic data before it is released.

Unlike other macro funds, factors and technical trend signals are deliberately avoided.

In the letter, Rossner notes that a few themes will likely be guiding macro traders ......................

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