Summary

We bring engineering techniques to systematic global macro by using an industrial-scale, multi-model / multi-asset approach with thousands of models across global markets, combined in performance-weighted ensembles to generate dynamic asset forecasts. Sophisticated, adaptive techniques drive the contribution of each model to each composite asset forecast. With industrial-scale diversification across models the signal to noise ratio is increased generating robust forecasts that adapt to changing market environments. These dynamic forecasts and a sophisticated market-risk model are used to maximise the expected return of the fund portfolio within a comprehensive portfolio optimisation & risk framework.