This category includes commodity trading advisors (CTAs), global macro, multi-strategy hedge funds, fund-of-hedge-fund products, agribusiness, commodities, private equity and other strategies. That is, this is a broad strategy class. CTAs refer to a style that is not driven by fundamental factors but rather strategies predominantly seeking out price momentum. During times of market stress there tends to be a high correlation across fundamentally driven, traditional asset classes. CTAs are agnostic regarding market direction, but the issue for CTAs is that they require a trend. Difficult markets for CTAs are sideways and whip-sawing markets, which have particularly been the case this year and in 2012. Global macro includes quantitative and discretionary investment styles with mandates that generally allow long and short positions to be taken across foreign exchange, bonds, equities and commodities markets. Over the period since the GFC, investors have looked to quality global macro funds for market guidance. Fund-of-hedge-fund (FoHF) products have suffered a significant fall from grace since the GFC. Most of the criticism levelled at them concerned the necessity to “gate” due to gating in underlying funds as a result of redemptions in sizes that were never contemplated by the FoHF managers. In response to the gate issue, many FoHF managers have since created solutions with greater look-through to underlying positions.
Winner: GMO Australia
Zenith says: GMO is a quality global macro manager that employs a highly successful team to run its strategy. While the process employed appears simple, we consider GMO’s edge to be its sensible blend of proven traditional judgments with innovative quantitative methods. While the overriding factor used to pick trades is valuation-based (long cheap markets, short expensive markets), GMO also takes into account sentiment factors. This mix has been invaluable to the fund producing consistent results. Zenith believes GMO’s processes are based on discipline, deep investment research, strong risk controls and a strong focus on limiting its own size/capacity. GMO has consistently produced positive returns each calendar year since inception (February 2006), and as a result has an almost unrivalled track record in the Australian global macro fund universe. Drawdowns have been well controlled and have been recovered quickly when they have occurred.
Finalists:
– AQR
• AQR has a rich history in hedge fund investing across a range of hedge fund strategies (main strategies in Australia are DELTA and managed futures).
• The firm has extensive resources in place to manage hedge fund portfolios alongside its long-only products. All products leverage off the same extensively resourced investment, trading and research team (137 people).
• The key architects behind the firm and the process remain with the firm and maintain a majority ownership stake in the business.
– Man Investments Australia
• Pre-eminent alternative investment house with brands including AHL (a leading CTA) and GLG (a “platform” of mainly fundamentally based hedge fund teams, with the main GLG strategy in Australia being a macro fund).
• The GLG Global Macro Fund is run by a highly experienced team of macro traders recruited from leading investment banks and investment houses.
• AHL is one of the pioneers of the CTA industry with the firm dating back to 1987. Over this period the firm has generated strong returns, with generally low or no correlation to equities and bonds.
