LGT Capital Partners is favouring discretionary macro, where investment managers select investments, over computer-based systematic trading in its Castle alternative invest fund of hedge funds.
The company attributes a 12.6 per cent increase in the fund’s net asset value last year partly to its shift away from systematic traders and increase in exposure to global macro managers within its allocation to commodity trading advisors/macro strategies.
The fund invests around 35 per cent in CTA/macro strategies. LGT says these are able to produce positive returns during times of market stress, with lower correlation to equities and bonds.
CTA/macro contributed an overall return of 9 per cent to the fund’s performance last year, but LGT says long/short equity, event driven and relative value strategies also produced positive performance in 2009.
LGT Capital Partners head of hedge fund investment and lead manager of Castle Alternative Invest Thomas Weber says: “At present, markets are not subject to major dislocations, which have been the prime opportunity for systematic and short term traders. More benign market conditions enable macro managers to prosper over their shorter term, technical counterparts.”
He says the portfolio will continue to focus on flexible, liquid, less correlated strategies and will maintain its overweight exposure to CTA/macro.