The performance of Episode, the long-running $2.5 billion
global macro strategy run by Dave Fishwick and Eric Lonergan at
UK insurer Prudential's M&G asset management subsidiary,
illustrates just how challenging an environment 2010 turned out
to present for many macro managers.
Episode ended the year up 4.83% after a topsy-turvy and very
volatile year that saw huge dispersion in returns from macro
funds amid a persistently changing 'risk on/risk off' sentiment
among investors and market participants.
The Episode strategy is an unusual one, aiming to exploit
the 'emotional' aspects of markets and asset classes in terms
of their periodic mis-pricings and relying on human behavioural
analysis and market/investor psychology as well as a
quantitative multi-asset-class valuation framework.
And its progress last year embodied a year where it was very
difficult for both discretionary and systematic macro managers
to generate sustained positive...