September, 2023
The Ironbark GCM Global Macro Fund (the ‘Fund’) returned 7.72% (net) for the quarter (in Australian dollar terms).
The Fund’s strategy profited from its long energy exposure, especially in oil and products, with all alpha signals pointing to strength. Within the commodity complex, the program benefited from short exposure in gold, while mixed positioning in various agricultural commodities, for example wheat and sugar, produced small positives. Short positions in fixed income contributed significantly to performance, while also diversifying the fund’s long positioning in equities and energies. Equities was the only sector that produced losses in September. The investment manager continues to see a geographic spread in the sector, and short positions in the US helped mitigate the losses from long positioning primarily in Europe. In addition, a reduction in signal strength from some of the underlying models contributed to a reduction in the long equity exposure throughout the month. Lastly, the portfolio benefited from its net long US dollar exposure, driven primarily by trend and carry components.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Ironbark-GCM-Quarterly-Report-10.pdfJune, 2023
The Ironbark GCM Global Macro Fund (the ‘Fund’) returned 3.74% (net) for the quarter (in Australian dollar terms).
The Fund generated strong gains in fixed income from short positions in US bonds and on the front end of the yield curve in Europe, with additional gains from long positions on the front end of the yield curve in the US Short positions in fixed income were mainly the result of signals from the carry and trend sub-strategies.
Long positions in Japanese and European benchmark indices led to positive performance in equities, which was partially offset by losses from short positions in US benchmark indices. Positioning in the sector was primarily driven by the underlying trend and macro strategies.
In currencies, losses resulted from short exposure to the Australian Dollar, Canadian Dollar, and Euro versus the US Dollar. Losses were partially offset by gains from short exposure to the Japanese Yen and long exposure to the Mexican Peso. Long US Dollar positions were mainly influenced by the carry and value sub-strategies.
The portfolio experienced losses in commodities due to mixed positions in agricultural commodities, short positions in energy, and long positions in gold and silver. Commodity positions were the result of a combination of signals from the underlying strategies.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Ironbark-GCM-Quarterly-Report-9.pdfMarch, 2023
The Ironbark GCM Global Macro Fund (the ‘Fund’) returned -0.06% (net) for the quarter (in Australian dollar terms).
The portfolio experienced losses in fixed income due to short positions across the yield curve following the major reversal in markets triggered by the collapse of Silicon Valley Bank. The carry and trend sub-strategies were mainly responsible for generating short positions in fixed income, but long signals from the value/reversion strategy helped mitigate losses.
In commodities, mixed positions in energy and short positions in gold led to losses, which were partially offset by gains from positions in agricultural commodities. Energy positions were influenced by a combination of signals form the underlying strategies, while short precious metals positions were driven by the carry and value sub-strategies.
Losses in equities were driven by long positions in UK and European benchmark indices during the middle part of the month when markets reversed. Long equity positions were the result of signals from the macro, trend, and value sub-strategies.
The portfolio recorded modest losses in currencies from long exposure to the US dollar versus several global currencies, particularly the Swiss Franc. Long US dollar positions were generated by the underlying carry and value strategies.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Ironbark-GCM-Quarterly-Report-8.pdfDecember, 2022
Performance review The Ironbark GCM Global Macro Fund (the ‘Fund’) returned -6.89% (net) for the quarter (in Australian dollar terms). The Portfolio generated strong gains during 2022, with all four underlying strategies contributing profits.
The portfolio recorded profits in commodities, primarily due to long positions in energy during the first half of the year. Long energy positions were driven by a combination of the underlying strategies throughout the year, particularly the carry, trend and value substrategies.
In currencies, profits resulted from long exposure to a stronger US dollar versus various global currencies, most notably the Japanese yen, euro, and British pound sterling. Positioning in currencies was influenced by a combination of the underlying strategies during the period as well as portfolio constructions considerations as the long US dollar position diversification to other portfolio risks.
Evolving positions in the front end of the yield curve in the US and Europe led to positive performance in fixed income, with positioning driven by a combination of the underlying strategies throughout the year.
The Portfolio experienced losses in equities, mainly due to evolving positions in US benchmark indices, with further losses from long positions in the Nikkei 225 Index. Each of the underlying strategies were responsible for generating long equity positions during 2022.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Ironbark-GCM-Quarterly-Report-7.pdfSeptember, 2022
The Ironbark GCM Global Macro Fund (the ‘Fund’) returned 1.32% (net) for the quarter (in Australian dollar terms).
The Fund’s underlying strategy experienced losses in commodities due to long positions in energy, especially natural gas and, to a lesser extent, oil, as well as from various agricultural commodities including wheat, soybeans, and cotton. Long positions in energy were driven by carry, trend, and value models while agricultural commodity positions were driven by a combination of the underlying strategies.
The portfolio also recorded losses in equities due to modest long positions in global benchmark indices. Long equity positions were generated by a combination of sub-strategies and supplemented by portfolio construction considerations as these positions have low correlation to other positions in the portfolio.
The portfolio generated strong gains in currencies due to a stronger US dollar versus the Australian dollar, British pound sterling, Japanese yen, New Zealand dollar, and Euro, among others. Long US dollar positions continued to be influenced by a combination of carry, trend, and value strategies as well as portfolio construction considerations.
Positive performance in fixed income was driven mainly by modest short positions across the yield curve in the US and UK Gains were partially offset by losses from long positions in European bonds. The trend sub-strategies were primarily responsible for generating short fixed income positions.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Ironbark-GCM-Quarterly-Report-6.pdfJune, 2022
The Ironbark GCM Global Macro Fund (the ‘Fund’) returned 7.93% (net) for the quarter (in Australian dollar terms).
The Fund generated strong gains in fixed income, most notably from short positions across the yield curve in the US and Europe. The macro fundamental and trend sub-strategies were primarily responsible for generating short fixed income positions. The Fund also recorded profits in currencies, mainly due to short exposure to the Japanese yen and British pound versus the US dollar. Long US dollar positions continued to be influenced by a combination of carry, trend, and value strategies as well as portfolio construction considerations. In equities, gains resulted from short positions in European and US benchmark indices. Short equity positions were driven mainly by the macro fundamental and trend sub-strategies. Losses in commodities were primarily driven by positions in energy with smaller losses in grains and cotton.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Ironbark-GCM-Quarterly-Report-4.pdfMarch, 2022
The Ironbark GCM Global Macro Fund (the ‘Fund’) returned 10.74% (net) for the quarter. The first quarter of 2022 was one of the most successful quarters to date amidst a market environment that presented several challenges to investors – including heightened market volatility, falling equity and bond prices, and rising inflationary pressures. Macro strategies can potentially reduce drawdowns by providing valuable portfolio diversification to stocks and bonds by generating compelling crisis protection and long-term returns – while also being able to profit amidst rising inflation. Finding the balance of consistent crisis protection coupled with long-term returns has become increasingly difficult for investors, and macro strategies have proven historically that they can be a valuable component of meeting this objective.
The results of the first quarter have underscored the importance of a long-term, strategic allocation to macro strategies in a broader investment portfolio. On the quantitative side, the investment manager was gratified not only by recent performance results, but also by the active risk management of the underlying models and the portfolio construction process. The Portfolios continued to systematically reduce exposure during March amidst the heightened market volatility. Long energy and long US dollar positions were reduced materially during the month, while positions in fixed income and equities remained modest with strategies trading on both side of flat.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Ironbark-GCM-Quarterly-Report-3.pdfJune, 2021
The Ironbark GCM Global Macro Fund (the ‘Fund’) returned 4.44% (net) for the quarter. The Graham Quant Macro portfolio recorded gains in commodities, mostly from long positions in energy that were driven primarily by carry, macro fundamental, and trend sub-strategies. The portfolio also posted profits in equities, primarily from long positions in US benchmark indices. Positioning in the sector was driven by the carry and trend sub-strategies. Losses resulted in currencies, primarily from long positions in the British pound sterling and Canadian dollar versus the US dollar. US dollar positions were driven by the trend sub-strategy as well as portfolio diversification benefits. In fixed income, losses were recorded primarily from short positions on the long end of the yield curve in the US and Europe. Fixed income positioning was driven by a combination of the underlying strategies.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Ironbark-GCM-Quarterly-Report-2.pdfMarch, 2021
In March, success with the vaccine rollout in the US and UK coupled with continued monetary and fiscal aid fuelled optimism for the reopening of economies and the outlook for global growth.
Amidst this backdrop, equities continued their upward trend. US equities benefitted from an additional late month rally following the announcement of Biden’s $2.3 trillion infrastructure plan, and the S&P 500 closed March up 4.2%. Despite new lockdown measures and lagging vaccination rates in the Eurozone, European equities were pulled higher along with US equities, with the DJ Eurostoxx index finishing the month 7.9% higher. Asian equity indices posted smaller gains in both the Nikkei and Hang Seng.
In bond markets, government bond yields generally rose as expectations took hold for a strong global rebound in economic activity coupled with higher inflation. In the US, the curve steepened as 5-year and 10-year yields rose 0.21% and 0.34%, respectively. Elsewhere, Eurozone bonds held steady as the German 10-year yield dropped 0.03%, supported by comments from the European Central Bank that they planned to maintain their supportive stance despite rising inflation.
The US dollar strengthened against its major counterparts and the dollar index closed March up 2.6%. The US currency notably recorded a 3.9% gain against the Japanese yen as investors digested positive economic data and signs of a US recovery. Likewise, the euro, Australian dollar, and British pound sterling declined 2.9%, 1.4%, and 1.1%, respectively, versus the US dollar.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Ironbark-GCM-Quarterly-Report-1.pdfDecember, 2020
The Ironbark GCM Global Macro Fund (the ‘Fund’) returned 3.50% (net) for the quarter. The Fund posted modest losses, giving up a portion of gains from 2019 in its first annual decline since inception in 2014 for the strategy. In recent years, the Fund has benefited from its multiple underlying strategy styles, each of which were designed to be diverse and tend to behave differently in various market conditions.
In 2020, the trend and value/reversion models contributed positively to the Fund’s performance while the macro fundamental model detracted and the carry model was flat. The macro fundamental strategy, which was a strong performer in 2019, was challenged by conflicting and quickly changing global economic data in 2020. Meanwhile, the investment manager was pleased to see the value/reversion model post significant profits in a year when many other value strategies suffered.
The directional nature of the investment manager’s value/reversion model, its liquid market universe (which excludes cash equities), and its signal to be short risk assets during the first quarter led to gains. The below table illustrates the historical standalone performance of the underlying strategy styles as an indication of their impact on the Fund’s strategy.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/Ironbark-GCM-Quarterly-Report.pdfticker: DEU0109AU
release_schedule: Quarterly
commentary_block: Array
factsheet_url:
https://ironbarkam.com/funds/ironbark-gcm-global-macro-fund/
Fund Information -> Performance -> Quarterly Report
asset_class: Alternatives
asset_category: Macro
peer_benchmark: Alternatives - Macro Index
broad_market_index: Credit Suisse AllHedge Global Macro Index
structure: Managed Fund
manager_contact_details: Array
fund_features:
The Fund seeks to deliver returns with low volatility and low correlation to the broader equity and fixed income markets by investing in a diversified range of alternative investment strategies globally. The Fund is a multi-manager, multi-strategy fund providing access to underlying alternative investment funds (‘Underlying Funds’) or underlying investment managers (‘Underlying Investment Manager’) by investing substantially through the K2 Managed Account Platform (‘K2 Platform’) administered by third parties. From time to time, the Fund may also invest in other Underlying Funds managed by external managers that are not on the K2 Platform. The Fund’s investment process is based on a bottom-up approach in manager selection and due diligence combined with top-down inputs at a strategy level. This overall process incorporates both qualitative and quantitative analysis. Portfolio management is dynamic and subject to ongoing monitoring whereby managers are added or replaced as required over time.