Global Macro – GTAA
TGM’s investment philosophy is that relative market movements are driven by economic fundamentals. To identify mis-pricings in asset markets, TGM uses an integrated global modelling system that captures the interdependencies between asset markets and other markets both within and between economies. Our proprietary alpha modules capture currency, bond, and equity market relativities, along with equity versus bond relativities. When operating as managed accounts they can be tailored to client specific settings.
The modules used are as follows
- FXM: Currency module generating alpha from currency relativity views
- FIM: Fixed income generating alpha from country relativity views in fixed income markets, with a duration neutrality constraint
- EQM: Equity module generating alpha from country relativity views in equity markets, with a beta neutrality constraint
- ACM: Asset class module generating alpha from directional views between equity and bond markets on a country by country basis
TGM uses an optimization process to determine the long-short exposures within each module as part of its portfolio construction. The key inputs to this process are the return and risk forecasts.
The TGM global macro strategy can be accessed via a managed account using all modules or tailored for clients to offer a standalone module or any combination of the four alpha sources calibrated to the client specific target volatility levels.