Our Process | Global Macro

We know that markets are highly complex, adaptive systems comprised of interconnected relationships—and that simply relying on historical drivers of performance may not deliver future excess returns. Part art, part science, our disciplined process allows us to make investment decisions that combine intellectual rigor with robust, quantitative models that are developed, tuned and continually refined by our team.

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Alpha Models

The core of our process is the identification of fundamental factors that have proven to be indicators of positive investment returns. We favor markets with positive exposure to three concepts: Economic Fundamentals, Catalysts, and Price. Each concept is composed of fundamental factors with future investment merit. Using the combination of these concepts, we generate a return forecast for each of the 27 futures contracts that we trade.

Risk Control

Our goal is to maximize alpha while achieving an equal risk contribution from all asset classes in the portfolio in the long run. All else being equal, positions in less risky assets are scaled-up while positions in more risky assets are scaled-down proportionately.

Portfolio Construction

Position limits help control drawdowns by constraining the exposures we will take in any market. These limits help control drawdowns by constraining the exposures we will take in any market.