Stenham Asset Management, the USD2 billion hedge fund investment firm, has launched a UCITS-compliant macro fund of funds portfolio.
The new Stenham UCITS Macro Fund will draw on more than two decades of the group’s experience and expertise in macro fund investing, with Stenham launching its first strategy in this space in 1993. This is the second UCITS vehicle for the group, after the unveiling of the Stenham Equity UCITS Fund in November 2013.
Launched last month, the weekly-dealing Stenham UCITS Macro Fund will hold a high conviction portfolio of up to 10 funds within the rapidly-expanding macro UCITS universe. Akshay Krishnan, Stenham’s Head of Global Macro Strategies, will oversee the new portfolio – alongside Chief Investment Officer Kevin Arenson.
The UCITS Macro Fund will use the same flexible and dynamic asset allocation approach the group has successfully employed for its offshore Stenham Trading macro strategy.
Stenham Trading has delivered annualised returns of 8% since its inception in December 1993, with correlations to the MSCI World and JPMorgan Global Govt Bond indices of just 0.21 and 0.15 respectively.
Highlighting its ability to deliver uncorrelated returns, in the 10 worst calendar months for global equities since the strategy’s inception, Stenham Trading delivered a positive absolute performance in seven of those months. In the 10 worst months for government bonds over the same period, Stenham Trading was again able to deliver positive absolute returns on seven occasions.
Additionally, due to its uncorrelated nature, Stenham Trading has only suffered negative returns in two out of 21 calendar years. The portfolio has also been able to deliver positive absolute returns in a number of the most severe periods for investors – including the tech bubble and the global financial crisis.
The Stenham team currently has a bias towards discretionary global macro managers – many of which have built successful long-term offshore track records, but are relatively new entrants to the UCITS space.
“Launching a UCITS strategy is a natural progression for Stenham. Up until about 18 months ago we felt the macro UCITS universe did not offer enough depth for a fund of funds product, but we are now increasingly seeing top quality managers making the move into UCITS. There is no doubt the pool of investment talent on offer has developed substantially in the few years.
“We also believe now is an opportune time in the market to launch this strategy. It is no secret a number of macro managers have struggled to excel in the low volatility environment we have experienced over the past few years, as market volatility has been suppressed by central bank intervention. However, this began to change for the first time in a number of years during the latter part of 2014. We believe we are seeing nascent signs of an improving opportunity set for discretionary macro trading as foreign exchange and interest market volatility has picked up in recent months.
“Monetary policy divergence is a key determinant for foreign exchange and interest trading opportunities. Numerous idiosyncratic opportunities have arisen over the last six months as monetary policy around the world has become differentiated, e.g. NZ rate hike and pause, India rate cuts, Russia FX crisis, Peru rate cut, SNB surprise action, Mexico rate cut, Canada rate cut, Sweden rate cut, Brazil rate hike etc. Macro performance has rebounded strongly in the last few months as the trading environment has become increasingly fertile.
“In addition, we continue to believe discretionary macro as an asset-class remains compelling as a hedge against equity and bond market sell-offs and a potential spike in volatility, especially given current valuations in other asset classes.”