ThirdYear’s ‘quantamental’ macro fund doubles assets amid burgeoning opportunity set

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ThirdYear Capital’s ART Global Macro Fund, a macro hedge fund strategy which fuses quantitative and fundamental investing, has doubled its assets less than a year after launching, with the firm looking to capitalise on prevailing high valuations and interest rate and inflation risks. 

The absolute return macro fund, which was launched by ThirdYear alongside distribution partner Agathon Capital in August 2020, has seen assets rise to EUR47 million (USD56.2 million) within its first 10 months. 

The strategy uses short-term economic forecasts to identify historical cause-and-effect chains in real time, and anticipate their impact on financial markets. 

Specifically, it trades a range of liquid and exchange-traded instruments – including stocks, government bonds and futures – using a “quantamental” approach that fuses quantitative and fundamental factors to build opportunities stemming from both fundamental trends and turning points across capital markets. 

The fund is positioned to generate a differentiated performance across a range of different market conditions, targeting absolute returns and a competitive Sharpe ratio, an approach described by Martin Rossner, managing director at ThirdYear Capital, as “a risk-controlled alternative in the current low-interest environment.” 

Looking ahead to the second half of the year, Kai Mösmang, global macro analyst at ThirdYear, said global macro strategies are “well suited” to generate absolute returns through a broad selection of instruments and opportunities, against a backdrop of high valuations and interest rate and inflation risks. 

“An added value is the broad real-time application of the system across different countries and asset classes,” said Mösmang. 

“Our proprietary global macro strategy uses a risk-weighted and flexible portfolio to benefit from strengthening fundamental trends and divergences with moderate equity market beta.”