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 Global indices

Composite
Index Composite
GlobalJan 12YTD%
Composite1.30%1.30%39%
Emerging Market Debt1.08%1.08%26%
Emerging Market Equity3.20%3.20%27%
Equity2.34%2.34%34%
Event Driven3.24%3.24%40%
Macro0.70%0.70%44%
Managed Futures0.23%0.23%54%
Single Manager African0.77%0.77%20%

More indices

There is no thrift in either the public or private spheres

Theodore Malloch, Spiritual Capital Initiative