The Trend Macro Fund seeks to identify and capitalize on fundamental trends in currencies, interest rates, and credit and equity indices in both developed and emerging markets. It only trades liquid markets and securities and intends to be able to liquidate the portfolio within 24-48 hours. The fund has no locks or gates. First, a fundamental-based approach is used to identify trends. Second, we attempt to isolate the drivers of these trends via a "deep dive" into the macroeconomic fundamentals. Third, the relevant variables for these trends, which often are unique to each asset class, are quantified by building proprietary models. Fourth, qualitative factors are assessed and incorporated through in-country visits with government and business officials. Fifth, trades are constructed with the goal of maximizing risk/return and building asymmetry into the portfolio. Finally, we attempt to manage risk in three ways - through portfolio construction, hedging, and stress testing.
The Fund primarily trades fixed income, foreign exchange, equity indices, credit indices, sovereign CDS, and related derivatives, across all liquid markets. It does not trade individual equities, individual credits, or physical commodities. Typically, the portfolio is comprised of between 10 to 20 ideas, with an average holding period of 1-3 months. Trades are diversified by geography, by asset type, as well as by "risk on" versus "risk off".