Quant Macro Investing

Risk Taking Disciplined


Look at Tudor’s recent report (Tudor is a huge hedge fund with AUM over US$10 billion).


1. Quantitative based trading is not a small part, in particular for the “Equity Strategies” categories:

YTD to end of Q3 2009

Gross P&L (US$ Millions, p.3 of the report)


1. Global Macro Strategies

Discretionary Macro                                    937.5

Quantitative Macro                                       128.7

2. Equity Strategies

Discretionary Equity Long/Short                9.4

Quantitative Equity Systems                      72.2


2. What worked (p.4)?

“Trend following models contributed to most of the gains for the quarter.

The FX models in developed and emerging markets also performed well…

… gains this quarter from (i) equity market neutral systems trading in the US, and (ii) stock selection in Europe and the emerging markets.”


3. Capital allocation as of 1st Oct 2009 (p.5)


Discretionary Macro 75%

Quant Macro 13%

Discretionary Equity Long/Short  6%

Quant Equity Systems  6%


4. Capital allocation (Macro Sub-strategy)

Global opportunistic  53%

Quant macro systems   15%

Commodities   14%

Fixed income   8%

Foreign exchange   6%

Emerging markets   4%


5. Capital allocation (Equity sub-strategy)

Quantitative equity systems   48% (systems for individual equities)

Long/short Asia/Emerging Markets   32%

Long/Short Europe   20%




October 31, 2009 - Posted by | ABCs for Investing, ABCs for Quant

1 Comment »

  1. It can be found that Global marco strategies are more profitable than equity strategies. I guess this maybe because to the former strategy tries to follow the trend, so the fund will take more directional risk. As comparison, equity strategies such as long short pair trade will have smaller directional risk with both long and short position. For global macro strategy, it sounds like a “bet large and gain large” to me.

    Comment by Angelo | November 9, 2009 | Reply

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