Blue Sky Dynamic Macro Strategy |

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Blue Sky Dynamic Macro Strategy

Double diversification delivered

Blue Sky’s Dynamic Macro (Blue Sky) portfolio is expanding Australia’s footprint on the CTA world map. As of March 2016, the strategy was among the top performing 20 CTAs in the BarclayHedge database, based on its compound annual return of 10.2% for the previous five years. This is particularly significant as BarclayHedge – which Sol Waksman founded 31 years ago - is renowned for the breadth of its CTA coverage, and acts as calculation agent for the Societe Generale Prime Services CTA performance indices. Blue Sky returns since inception in 2007, in AUD, are shown in Fig.1. The annualised returns of 12.2% are towards the top end of the target of RBA (Reserve Bank of Australia) cash rates +6-10%; the volatility target of 16% implies that anticipated returns work out at a Sharpe ratio of between 0.4 and 0.6; in fact the Sharpe has been 0.67 since inception.

Fig.1 Growth of $10,000 invested since inception
Source: Blue Sky


For CTA allocators, the pattern of returns can matter as much, or more, than the level of returns. CTAs are often viewed as portfolio diversifiers whereby their impact on a portfolio Sharpe ratio is more relevant than individual CTAs’ standalone Sharpe ratios. “We are a classic diversifier and a true hedge fund,” states Neil Power, Head of Blue Sky Hedge Funds. Blue Sky has delivered the ‘crisis alpha’ that is so sought after by CTA investors with strong returns in 2008 and 2011, as well as 2014 and early 2016. “Blue Sky has been negatively correlated to equities, has performed as expected during every equity crisis and this is by design,” underscores Power.

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