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New Managers April 2018

PROFILES: Inyo Capital Management, Yield Solutions

 

A new take on global macro launches as investors take a second look at the strategy

Market volatility is back and some managers are taking advantage. New York-based Inyo Capital says now is the ideal time to launch its global macro strategy, as recent swings in the market have created new opportunities

Inyo CIO Stephen Morton, a veteran of Salomon Brothers, Blackstone and Natixis, first started building the strategy in 2000 with Wei Peng, Inyo's portfolio manager and head of quantitative research. "What we wanted to do was focus on building the next generation of global macro," Morton tells Opalesque New Managers. "We've been able to put more consistency and precision into our process so we have better data about what's going on in the market and that in turn gives us the ability to make more informed investment decisions.

Since then the team has been running its strategy in-house, only recently opening it to outside investors

Inyo's strategy trades rates, equity indices, currencies, and commodities primarily relying on futures for all asset classes. The portfolio typically has about 30 positions, each with a horizon of 1-2 months. According to Morton, the strategy is effectively a quantitative take on global macro. Morton and Peng identify pricing dislocations using quantitative methodologies and create portfolios accordingly. The portfolios are also designed with diversification in mind, which Morton says sets the fund apart from traditional global macro. "A lot of what I would call 'classical' global macro traders have really been trading momentum and what you've seen in the returns is that diversification really isn't there," he explains.

Inyo's total investible universe is approximately 60 instruments. By maintaining approxima......................

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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.
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