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...