Performance was positive again in Q3 with the AH Global Index gaining 0.5%, bringing YTD gains to 3.6%. Managed Futures continue to have a standout year with the AH Managed Futures Index up 10.2%, with most of the flagship programmes comfortably into double digit positive territory. 

Market dynamics and relationships have rapidly changed since the financial crisis, driven in large part by the ongoing monetary policy backdrop, and many traditional macro managers have struggled to adapt to this environment.  In this research paper we examine the returns generated by the cohort of UCITS macro funds.

As a result of two years of research the team have redeveloped their dynamic rotation model, which is used to create portfolio weightings based on different investment factors. A key development in the revised model is including the conditional downside risk of factors as an additional input in setting the weights.