Development Story
Back in 2014 when the company was founded, we had the goal of engineering an investment product that would deploy capital in a globally diversified investment portfolio which, differently from other investments like equity or fixed income, had the expectation of producing returns both in calm and turbulent market conditions. For this reason, we invested more three years in researching our quantitative global macro program which allocates capital dynamically across multiple geographic regions and asset classes, including Equity, Fixed Income, Commodity, Currency, and Volatility.
Disclaimer: these investment products involve substantial risks of loss.
Major Beneficiaries
Potential clients for our Quant Global Macro program include high net worth individuals (HNWI's), family offices, and institutional investors. In particular, HNWI's usually do not have the time and resources to perform financial research and constantly monitor their investments, so it is preferable for them to delegate the management of their capital to investment professionals. Family offices can invest in the strategy in an optic of portfolio diversification to benefit from investing in an investment product with performance uncorrelated to their current holdings. Lastly, institutional investors can allocate to a quantitative global macro investment product in a core-satellite investment approach within predefined criteria set by their investment committee.
Program Highlights
| Investment objective | Capital appreciation |
| Investment decisions | Fully systematic |
| Investment horizon | Long-term |
| Target volatility | 30% |
| Leverage | Variable |
| Financial instruments | Global public futures and forwards |
| Asset classes |
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| Geographic regions | World |
| Execution | Fully automated |
Unique Value Proposition
The quant global macro trading program is different from other investment products offered by Global Macro hedge funds and Commodity Trading Advisors (CTA's) for two main reasons.
First, it distinguishes from CTA's by the way our investment portfolio is built and the ways it aims to generate alpha. In fact Commodity Trading Advisors, while also investing in a systematic way in similar products, are usually only trend-followers that do not take into account an asset allocation point of view and do not consider the building a globally diversified investment portfolio. Our investment program instead deploys capital systematically in all asset classes in order to build a diversified investment portfolio and aims at capturing sources of alpha different from the ones used by trend followers.
Second, it differentiates from other Global Macro programs in the investment approach used to decide where and how to invest in the traded products. Global Macro strategies are usually developed and implemented by teams of economists who base their decision in a subjective and discretionary way, which is subject to human biases and does not follow a rigorous approach. On the contrary, our investment program generates investment signals in a fully systematic way by using algorithmic rules that base their decision on our proprietary quantitative research process grounded on the scientific method.
Disclaimer: these investment products involve substantial risks of loss.
Investment Strategy
Objective
The strategy aims to deliver uncorrelated ans superior risk-adjusted returns compared to a 60/40 portfolio through portfolio diversification and tactical asset allocation.
Disclaimer: commodity trading involves a substantial risk of loss.
Portfolio Diversification
The program deploys capital in a globally diversified investment portfolio covering all asset classes, including Equity, Fixed Income, Foreign Exchange, Agriculture, Energy, Metal Commodities, and Volatility.
Investment Horizon
The strategy aims at capturing alpha sources embedded in long-term investment signals spanning multiple months or years. This enables the strategy to reduce transaction costs at a minimum by rebalancing less frequently compared to short-term investment strategies.
Investment Risk
The strategy targets a constant portfolio volatility level by adjusting the level of leverage periodically. This component has the objective of keeping a constant level of risk in the investment portfolio independent of market conditions.
Disclaimer: commodity trading involves a substantial risk of loss.
Asset Classes
Equity
The program trades equity instruments from multiple regions around the globe. Among the developed markets it invests in the North America, Europe, Japan, and Australia. It also covers developing and emerging countries in Africa and Asia, like China, Hong Kong, Singapore, Taiwan, Indonesia, and South Africa.
Fixed Income
The investment strategy deploys capital in the fixed income sector by investing in bonds of different maturities along the yield curve, and both short and long-term interest rates in multiple countries around the world. Geographic regions include North America, Europe, Japan, and other countries in Asia, Africa, and Latin America.
Currency
The program trades multiple currencies from around the globe, including the US Dollar, Euro, British Pound, Japanese Yen, Canadian Dollar, Swiss Franc, Australian Dollar, and New Zealand Dollar. Forex pairs include both G10 and emerging countries in order to maximize the set to available opportunities.
Commodity
The investment strategy trades commodities available on multiple exchanges over the world and from different sectors, including Agriculture, Energy, Industrial Metals, and Precious Metals. Examples of products traded include Crude Oil, Natural Gas, Heating Oil, Corn, Soybean, Wheat, Sugar, Nickel, Iron Ore, Gold, Silver, Copper, Platinum, and Palladium.
Geographic Regions
The investment strategy invests in financial instruments traded on multiple exchanges and different asset classes around the world. In order to build a broadly diversified global investment portfolio, the program deploys capital in both developed and emerging markets. Examples of markets traded include North America, Europe, Japan, Asia ex-Japan, Latin America, and South Africa.
Contact Form
For more information on our products, please fill out the form below or send an email at info@blueskycapitalmanagement.com. A member of our team will be in touch with you shortly.