Stenham Asset Management has retained a high allocation to global macro strategies as it expects this strategy will continue to deliver stable returns in this uncertain environment. 

Stenham has invested in global macro since the 1980s and its flagship macro fund of hedge funds, Stenham Trading, achieved an estimated return of +3.4% in Q3 2011 against the HFRX Macro Index which fell -0.85% and the MSCI World Equity Index which dropped -17.05% in the same period. 

“The first half of 2011 was a challenging one for global macro in light of political, economic and market volatility,” said Javier Uribarren, investment director at Stenham. “The rally in the Euro towards the start of the year was at odds with the deteriorating outlook for peripheral countries in the EU. However, in the third quarter, as these countries came under growing pressure to show monetary and fiscal restraint, investable trends developed and the fundamental outlook became more accurately reflected in the pricing of financial assets. This environment is ideal for global macro strategies.”

Stenham generated returns from: short commodities as a proxy for slowing growth; tactical trading in equity markets with a short bias; short the euro and, to a lesser extent, emerging market currencies against the US dollar; Long fixed income in the US and Europe in anticipation of further quantitative easing and negative growth dynamics in these countries. 
 

“Recent weeks have shown the benefits of having an appropriately sized allocation to global macro managers” Sukie Darar, Stenham’s senior research analyst at Stenham said. “In July, many managers turned a pro-cyclical stance to an outright bearish one in a short time to capture the sell-off in risky assets. Furthermore, this has been expressed broadly across many asset classes with managers making profits in interest rates, FX, equities and commodities. This inherent flexibility is unique to this particular hedge fund strategy and underpins our high allocation throughout the cycle."

Global Macro funds have a set of favourable characteristics in this environment: ability to access all markets and asset classes globally; highly liquid portfolios in which exposures can be quickly changed; gisk management and superior trade construction to limit the downside when shorter term moves are not consistent with long-term views; and substantial organisations with outstanding talent pools and operational controls.

Stenham Trading has an 18 year track record and has achieved an annualised compound return of 9.30% since inception with a volatility of 7.27%. Stenham has over $ 1.1 billion invested in global macro hedge funds and has $ 3.2 billion invested in hedge fund strategies overall.