GRAHAM MACRO UCITS D GBP

Investment Process

The fund is built around an in-house, multi-manager concept focusing on macro trading. Its underlying strategies are differentiated across market sectors, time frame and implementation, trading across the global currency, fixed income, commodity, and equity sectors. This leads to holdings from approximately 80 markets, all of which are liquid. Discretionary managers trade within their own respective limits, but the GCM Investment Committee will impose some restrictions by stress test, factor, style, and sector. This is aimed at achieving a minimum level of diversification, managing instrument exposure and or event risk. Portfolio allocation and oversight is provided by independent investment and risk committees, consisting of senior management / investment professionals. Portfolio managers are excluded from these committees. The quant macro element of the portfolio is a systematic strategy designed to perform in rising as well as falling markets and offer diversification versus the discretionary macro traders. The portfolio is built around four recognised macro models: macro fundamental (follow leading market indicators, such as supply and demand), value (determines when price movements have gone too far), carry (which track interest differentials in different markets) and momentum (identify ongoing market trends in either direction). The fund takes directional, long, or short positions in a broad range of liquid markets, including global interest rates, foreign exchange, stock indices and commodities. The average holding period for underlying positions is 8-10 weeks. Position sizing by sector and security is determined by a variety of indicators including price, volatility, and systematic analysis of fundamental data.