PrivilEdge - Graham Quant Macro

The Graham Quant Macro Fund is a directional long and short strategy that utilises a variety of fundamental and price-based indicators to trade opportunistically in rising and falling markets. Diversification is at the core of the strategy, both at the model and market level. The strategy incorporates hundreds of data series to generate return forecasts across global equity, commodity, currency, and fixed income markets. Signals have no long or short bias and are generated based on yield, macroeconomic fundamental forecasts, directional price trends, and departures from historical valuations. Forecasts are combined through Graham’s proprietary construction process (the risk overlay) to ensure diversification at both the market and component strategy levels. The fund’s underlying strategies (carry, fundamental, trend, value/reversion) are designed to behave differently during various market environments, and all four should have approximately equal performance over time. In the portfolio construction process, price-based and fundamental economic data are incorporated into the relevant component strategies. Signal direction and strength are established by each underlying component strategy based on the expected returns for each of the 55 markets traded. Signals are aggregated and weighted to derive a single expected return for each market. Weightings are based on a risk contribution methodology which assesses the rolling correlation and volatility of the underlying strategies and allocates a larger portion to strategies that are most diversifying, while reducing those that are temporarily aligned.