Quant macro specialist ThirdYear and Agathon Capital unveil systematic global macro strategy

Global finance

ThirdYear Capital, a Munich-based quantitative macro specialist, has paired up with Cologne-based fund initiator Agathon Capital to unveil a new systematic global macro hedge fund strategy which targets opportunities stemming from short-term economic data trends.

The ART Global Macro Fund uses near-term economic forecasts to identify trading opportunities in fundamental financial trends as well as turning points in capital markets.

The fund, which launched last month with EUR20 million (USD23.6 million) in seed capital, trades a range of liquid and exchange-traded instruments including equities, government bond, inflation and currency futures, and can use derivatives to build short positions.

ThirdYear’s absolute return “quantamental” model processes more than 5,000 economic and financial high frequency inputs to predict economic activity for over 20 countries in the near future. This aims to produce ongoing indicators that can then flag up cause-and-effect relationships in economic data and identify cycle phases, which in turn can better forecast potential returns in each asset class traded in the portfolio.

The strategy aims to curb equity beta through risk weighting, and avoids trading on certain factor-based and technical trend signals.

The launch comes at a testing time for computer-based macro hedge fund strategies, which initially notched up positive returns during March’s historic coronavirus-driven market shock before seeing performance trail off during the summer.

Hedge Fund Research’s Macro Systematic Diversified Index is largely flat year-to-date, at -0.39 per cent. By comparison, HFR’s overall Macro benchmark is up 2.31 per cent in 2020, while Macro Discretionary Thematic index has gained almost 8 per cent over the same period.

“A prerequisite for successful quantitative investing is the improved availability and quality of economic data, especially in economies with enormously increased economic weight such as China,” said Kai Mösmang, global macro analyst at ThirdYear Capital.

Universal-Investment, the German fund platform provider which has some EUR528 billion in assets under administration, is onboard as fund administrator.