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Montlake North MaxQ Macro UCITS

Readying EM Macro UCITS amid evolving macro climate

North Asset Management’s (“North”) North MaxQ Macro UCITS Fund received The Hedge Fund Journal’s “UCITS Hedge” award for best performing global macro fund during 2018. The weekly-dealing UCITS was set up on the Montlake platform (also a THFJ award winner) in 2014 in response to a reverse enquiry from an existing investor. The UCITS has (after its first year) had minimal tracking error vis a vis the flagship Cayman strategy; the two run pari passu, trading simultaneously with the same counterparties. This core macro strategy is lead-managed by North co-founder, George Papamarkakis, formerly Managing Director of Morgan Stanley’s Fixed Income Department. It dates back to 2002 and (apart from the first two months) has a Sharpe ratio of around 0.6 over 16 years.

North also runs an emerging market (EM) macro strategy, which has shown a Sharpe of close to 1 since it started in 2011; manager Peter Kisler was previously a profitable proprietary trader at Swiss Re. “We plan to roll out an EM UCITS strategy this summer, which is expected to be quite close to the existing strategy based on conversations with counterparties about synthetically replicating short cash bond positions while maintaining adequate depth of market liquidity,” he says. The preclusion of short cash bonds in UCITS would be the main reason for any slippage.

The macro and EM macro strategies have different return profiles but they share a consistent philosophy and process, research resources, and managers who are Morgan Stanley alumni.

The evolving climate for macro trading

“2018 was a strong year for both strategies because volatility and fundamental catalysts were driving the repricing of markets,” says co-CIO and Head of Research, Michael Carras. Conversely, the period since 2009 has generally been sub-par for macro strategies: “the environment has changed for two reasons. Price formation used to be determined by fast money banks and hedge funds, and banks could absorb flows. Now price formation is more set by slower-moving, slow money or ‘real money’, buy and hold investors including index funds and ETFs”.

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Informing the Hedge Fund Community. With access to some of the industry’s biggest names and an astute and talented group of writers and contributors, The Hedge Fund Journal has established itself as a trusted source of information on the hedge fund industry.