Alma CQS Asian Macro
Cumulative Performance (%)
Fund Inception 28 May 2021
The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance quoted. The investment return and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Strategy & Manager
Alma CQS Asian Macro seeks to generate absolute total returns through the application of a directional discretionary macro strategy, capitalising on investment opportunities driven by the markets and economies of the Asia-Pacific region.
The Investment Manager expresses investment themes through long and short positions in highly liquid, easy-to-price instruments such as futures, forwards and listed options in the equity, commodity, currency and rates markets.
The Investment Manager focuses on investment opportunities driven by the markets and economies of the Asia-Pacific region including Australia, New Zealand, Japan, India, China and the Association of South East
Asian Nations (ASEAN). The Investment Manager focuses on the major regional economies and markets and the Sub-Fund is unlikely to have positions in frontier markets. From time to time the Investment Manager
may take positions in non-Asian markets where the Investment Manager believes there is a significant influence from Asia-Pacific economies or markets.
The Investment Strategy is contrarian, value-orientated and research-driven, and combines longer term strategic positions with shorter term tactical positions. For strategic views, the Investment Manager uses primarily fundamental data while using its proprietary “stress indicators” based on market prices on a daily basis to help with the tactical positioning. The Investment Manager emphasises capital preservation by employing strict risk management and stop-loss disciplines.
The Investment Manager seeks to identify substantial mis-pricings and expects to have two to three investment themes at any point in time. Typically, investment themes form over weeks or months, and would
take 6-18 months or longer to play out, often in several phases or waves across different geographies and asset classes. The Investment Manager may not invest in assets or instruments associated with such investment themes continuously and may trade in and out depending on market conditions.
CQS is a multi-strategy asset manager, founded by Sir Michael Hintze in 1999 with $21.6bn in AUM.
The core investment team of the CQS Asian Macro Fund consists of two dedicated investment professionals: Geoffrey Barker and Nicholas Bibby. The team leverages the insights of the other 70 investment professionals within the CQS investment/research department.
Goeffrey Barker has managed the strategy since inception in 2006 with the same team and investment process.
Prior to joining CQS with his team in August 2019, Geoffrey managed the same Asian Macro strategy that was previously known as Counterpoint. Before this, Geoffrey was the manager of the BIA Pacific Macro Fund (2006-2013) that was twice named “Best Asian Macro Fund of the Year”. Previously, he was the Chief Economist and Head of Research for HSBC in Asia. He also ran the research department and was the Japan economist both for Baring Securities and Smith New Court in Tokyo.
Geoffrey holds an MBA from City University Business School in London and a BSc in Economics and Politics from Bath University, England.
Nicholas joined CQS in 2019 and has 20 years’ industry experience.
He joined following his role as an Economist at the City Financial Investment Company. Previous to that, he held multiple positions as a director, at Ballingal Investment, Barclays Capital and was Executive Director at UBS.
He earned a Bachelor’s degree in Economics from Sussex University and a Masters in International and Financial Economics from Durham University.
Statistics & Commentary
The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance data quoted. The investment return and the principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost.
Sector Breakdown as a % of AUM
as a % of AUM
as a % of AUM
as a % of AUM
Investment Manager's Commentaryas of 30/07/2021
The I1C-U share class of the Fund rose a net +0.57% in July, bringing year-to-date performance to +10.79%. In contrast to June when we had anticipated a rally in risk assets – given the degree of negative sentiment – deteriorating fundamentals made us more bearish in July. In Europe, the energy crisis was deepening with partial closure of the Nordstream gas pipeline; in China, the housing market was floundering despite an easing of policy, and some households began withholding mortgage payments; and in the US, fears over inflation and Fed policy remained uppermost. Nonetheless, July finally did bring a significant relief rally to risk assets as investors began to price in a peak of inflation and as the US Federal Reserve signalled a less aggressive upward path to interest rates.
We were pleased to emerge with a positive performance number for the month having had to turn the book around once we realized that a relief rally was the most likely outcome. We continue to keep leverage and risk levels modest. The Fund’s average net VaR (on a 1-day, 99% basis) was 0.73% in July while gearing (on an “equity-equivalent risk” basis) averaged 56%.
Perhaps our strongest conviction in July was that global growth was on the point of rolling over in a more pronounced fashion than anticipated by investors. We also suspected that inflation was liable to drop markedly as commodity prices fell and transitory cost factors related to COVID disruptions fell out. For these reasons we tried to hold long positions in government bonds – both in the US and in China. While we were initially squeezed out of our position in US ultra-long bond futures, we re-established a position in 30y futures as prices turned back up.
Although our Bond book ended the month flat, the peak in yields encouraged us to play for a rally in precious metals later in July. Our Commodity book made a gross profit of 119bp over the month, initially driven by short positions in Zinc and Coffee, and then supplemented by gains in Gold and Silver on the long side.
In Equities, we ended the month with a loss of 70bp having overstayed our welcome in short positions in Eurostoxx and the S&P 500. We chose to play large liquid global indices precisely because we were conscious of the possibility of a sharp reversal. This enabled us to quickly move the other way when the situation changed, making back most of our losses by buying the over-sold Nasdaq and supplementing it with long positions in the Nikkei and in Singapore.
Finally, in our Currency book, we made 12bp having given back some gains in short JPY positions that had been profitable in June but making money short EUR and NZD against the greenback. Strategically, we regard the current rally in risk assets as a bear market bounce rather than the start of a longer bull run. We will keep our trading hats on and eke out gains where possible while we wait for a larger trading opportunity.
Facts & Documents
Fund Domicile: Luxembourg
Fund Type: UCITS SICAV
Fund Launch: 28 May 2021
Base Currency: USD
Depositary, Administrator, Transfert Agent: RBC Investor Services Bank S.A.
Dealing: Each day with a 1-day notice
Cut-off time: 10 am CET
Management Company: Alma Capital Investment Management
Investment Manager: CQS (UK) LLP
Fund Managers: Geoffrey Barker
Countries where the fund is registered:
Luxembourg, Austria, UK
The information related to the integration of sustainability risks and to the potential adverse sustainability impacts at the sub-fund level can be found in the prospectus of the Fund.
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