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Sydney, Australia
The Blue Sky Dynamic Macro Strategy (‘Dynamic Macro’) is a systematic macro product which has a nine year track record with annualised returns of 9.27% (as at 30 April 2017, since inception in November 2007). Dynamic Macro AUM is A$28m (as at 30 April 2017).
Positions are taken by a portfolio of 50 proprietary managed futures strategies banded in uncorrelated categories of Trend Following, Mean Reverting and Risk Premia. Risk is allocated to the underlying strategies on a dynamic basis via a proprietary systematic macroeconomic overlay called the Quadrant.
Targeting annualised volatility of 16%, the strategy pursues a hybrid approach looking to capture the larger moves available from a “crisis alpha” macro approach at market turning points and periods of market stress, while also targeting the more consistent returns available from a diversified portfolio of managed futures strategies.
The portfolio construction process includes a “vol of vol” component, which indicates when the portfolio should have long- or short-volatility biases, and uses a minimum-variance filter that ensures over-concentration of portfolio risk is avoided. Using statistical regression analysis, the underlying managed futures strategies are assessed for their probability of success given the signals generated by the Quadrant with risk being allocated accordingly.
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