Two Trees Systematic Global Macro Fund

Investment Objective

Two Trees is a systematic global macro investment manager that aims to generate consistent absolute returns that are uncorrelated to traditional asset classes, over a full market cycle. The Strategy takes long and short positions, primarily through futures and forwards, in global equity indices, bond, currency, commodity, and volatility markets. The portfolio allocation will be a function of return and risk forecasts, and will be produced systematically through a proprietary portfolio construction process.

Latest Meeting Note

Meeting 06 Feb 2020

The Two Trees Systematic Global Macro UCITS fund launched in September 2019 and is run by four portfolio managers based in Sydney (ex GMO’s Systematic Global Macro team). Its investment philosophy has strong roots in academia and is base... Read more

The Two Trees Systematic Global Macro UCITS fund launched in September 2019 and is run by four portfolio managers based in Sydney (ex GMO’s Systematic Global Macro team). Its investment philosophy has strong roots in academia and is based on the belief that the market price of any financial asset reflects the combination of the market’s expected future returns to the owner of an asset (the Value determinant, which in turn comprises a mean reversion/capital gain component and a yield/carry component) and the market’s expected rate of change in the ‘value’ of the asset (the momentum determinant). By using quantitative techniques, the process produces expected returns forecasts for each asset which are then combined with proprietary risk forecasts (estimates of correlation and volatility of each instrument) to generate portfolio exposures. The portfolio trades 54 macro instruments (30-40 at any given time) with a decent level of conviction. Positions are long and short (80% of the risk lies in relative value trades) with an average holding period of 6 months. An equity beta cap of 0.25 is applied at portfolio level.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2019 0.2 0.8 1.0 1.0 0.2 0.7 1.0 1.0 0.1 0.0 0.2 0.2 0.5
2018 0.0 0.4 0.5 1.0 0.0 0.4 1.0 0.5 0.8 0.7 0.4 0.4 0.6

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