LindenGrove's new global macro hedge fund is positioned for relatively positive outlook

The LindenGrove Capital Master Fund is a fundamental fund launched last month in London, which pursues a combination of directional macro and relative value strategies.

We recently heard about a new London-based firm called LindenGrove Capital when French hedge fund seeder NewAlpha Asset Management announced it had invested in the firm's discretionary global macro hedge fund.

According to the announcement, the LindenGrove Capital Master Fund implements a wide array of discretionary global macro strategies within a multi-strategy, multi-manager framework, similar to the successful model run by the founder while he was at Nomura. The Fund allocates the capital dynamically between separate portfolios employing macro directional, directional relative value and pure relative value strategies on liquid markets and products. A systematic risk management framework is implemented to limit downside risks at both the individual and the fund level. Some of the instruments that are used include futures in rates as well as equity indices, OTC interest rate derivatives (swap or options), government bonds, credit indices, index options and foreign exchange options.

Launched on December 12th 2012, the Fund targets an absolute performance of 10-15% per annum with 8% annual volatility. It returned 0.28% (Class A USD) and 0.23% (Class B EUR) net that month. The primary performance contributors were, according to the fund's monthly report, a long position in FX volatility; long 2-year swap spread position in USD; short position in USD rate duration; and tactical directional trading around the fiscal cliff story both in FX and in equity indices.

Borut Miklavcic, founder and CIO of Linden......................

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This article was published in Opalesque's New Managers a top-down monthly analysis, news and research publication on the global emerging manager space.