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Bailey McCann, Opalesque New York for New Managers: 2024 has been a positive year for systematic global macro fund Gnomon Alpha. The Gnomon Alpha Fund Global Macro and Global Macro Enhanced share classes returned +1.1% and +1.5%, respectively, in November, and are up +7.7% and +10.4% net for 2024 through the end of November.
Gnomon's funds run on three proprietary trading models: Vega, RR, and the Engle model which use measures of market volatility and risk appetite to add stability and consistency to Gnomon's portfolio. These models are meant to be valuable in times of crisis by either being "short" equity or "long" fixed income, or both. The models work in concert depending on how markets are behaving at any given time. Individual models may turn on or off based on market signals.
The strategy is the outgrowth of Jay Feuerstein's work in systematic trading. Prior to launching Gnomon, Feuerstein was the founder and CEO of systematic fund Xenon Capital Management, which returned +43% during the '08 crisis. Xenon was later sold to Manning and Napier where Feuerstein became head of alternatives. Feuerstein started his career at Drexel Burnham Lambert, where he was known for his work constructing the RJR Nabisco hedge in the late 1980s. From there he moved on to roles at Lehman Brothers, Bear Sterns, Commodities Corporation, and Goldman Sachs Asset Management.
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