Investment Objective

TGM’s Systematic Global Macro Alpha strategy aims to generate alpha from market misalignment from their fundamental valuations. It can be tailored to specific return and risk objective of the client.

TGM’s Systematic Global Macro Alpha strategy also provides strong diversification benefits when mixed with other alpha strategies.

Investment Strategy

TGM’s Systematic Global Macro Alpha process is focussed on relative valuations within currencies and country equity market indices.  These are the two areas that TGM has found the most attractive for generating alpha over its 20 years’ experience of running macro strategies.  These sources of alpha are combined with the use of machine learning techniques.

TGM’s Systematic Global Macro Alpha strategy targets a return of RBA Cash plus 8-10% over the long term.

Credit Suisse Global Macro Index1 TGM Systematic Global Macro Alpha2
1 month 4.63% -1.08%
3 months 13.27% -6.77%
6 months 8.96% -1.63%
1 year 9.41% 15.89%
3 years (p.a.) 0.77% 10.61%
5 years (p.a.) 2.64% 8.33%
10 years (p.a.) 5.92% 5.46%
Annualised Return 10.25% 6.93%
Annualised Volatility 10.30% 6.19%
Return/Risk Ratio 0.99 1.12
WP Data Tables

For further information on a TGM Systematic Global Macro Alpha managed account and how it can sit within your portfolio please contact us here at TGM.

Note: The performance numbers are Gross AUD.  The returns are net of transaction costs but gross of management fees.  

1 Index Series from October 1997 to December 2022, AUD Hedged 2 Backtest results for the period April 2005 to December 2022.


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