Onslow profits from a nimble approach to macro volatility

July 22, 2010  

Running a portfolio of option-like trades with an asymmetric risk profile has been key to the success of Nicolas Galperin and his experienced trading team

Macro is never an easy strategy for investors to time or to pick - and so it is proving again in the current market environment.

 
Nicolas Galperin and Filippo Nencioni

Despite high levels of uncertainty, volatility and dislocation across virtually all markets and asset classes that should, in theory, be providing exceptional opportunities for macro traders to exploit, the dispersion of returns in recent months from both discretionary and systematic macro funds has been enormous...

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Data

Indices January 2012 European regional fund

Composite
Index Composite
EuroHedgeJan 12YTD%
Composite1.16%1.16%40%
Convertible & Equity Arbitrage EUR3.67%3.67%36%
Convertible & Equity Arbitrage USD2.86%2.86%42%
Credit EUR2.58%2.58%28%
Credit USD0.51%0.51%18%
Currency0.72%0.72%54%
Emerging Market Debt USD0.07%0.07%28%
Emerging Market Equity USD1.74%1.74%18%
Equity Market Neutral & Quantitative Strategies EUR0.33%0.33%52%
Equity Market Neutral & Quantitative Strategies USD0.87%0.87%39%
European Equity EUR1.39%1.39%34%
European Equity GBP4.51%4.51%14%
European Equity Nordic1.95%1.95%58%
European Equity USD1.95%1.95%31%
Event Driven EUR3.18%3.18%38%
Event Driven USD2.23%2.23%45%
Fixed Income EUR0.19%0.19%48%
Fixed Income USD0.13%0.13%54%
Global Equity EUR2.89%2.89%49%
Global Equity USD2.31%2.31%39%
Macro EUR1.18%1.18%56%
Macro USD0.20%0.20%42%
Managed Futures EUR0.96%0.96%65%
Managed Futures USD0.88%0.88%69%
Mixed Arbitrage & Multi-Strategy USD0.60%0.60%52%

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