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Launched in May 2010, the Callanish Global Macro Fund has around $37 million in assets under management and has so far given a net cumulative performance since inception of a positive 9.44%.

The fund’s managers, Fabrice Connin, formerly with Aberdeen Asset Management, and Eoin Murray, formerly at Old Mutual Asset Managers, have tried hard to navigate the balance between protecting capital during periods of economic uncertainty as well as producing positive returns and take advantage of rallying markets.

This has been done by the combination of the fund’s systematic alpha models and robust risk management models.

The fund is constructed using systematic models to generate long or short investments in equity index futures, government bond futures and currency forwards. It works by using a series of signals designed to be uncorrelated, independent and to provide diversification by return and risk profile.

Currently there are over 30 signals but as markets are constantly evolving, the type and number of signals is expected to develop and/or change over time.

Each signal has an economic or fundamental basis and is subject to rigorous testing before being included in a model. Signals are diversified by their underlying premise and span various time horizons from short-term mean-reverting signals to long-term economic growth signals.

Each signal generates a return forecast for the tradable markets in which it is applied within its asset class. These return forecasts are then combined with risk forecasts and exposure constraints, such that a set of expected optimal positions is generated for that signal.

These positions are then collated with positions generated by the other signals within that asset class to form the overall exposure for each asset class. The bond, equity and currency model exposures are selected at the portfolio level to generate the optimal portfolio for the targeted 12% annualised volatility, accounting for any cross-asset correlation structure.

The portfolio is rebalanced weekly and typically holds on average between 60-70 positions both long and short across the three asset classes. The fund will be approximately euro neutral at rebalance.

The investment universe is subject to strict liquidity parameters and investable markets may be added or removed over time.

Each signal and asset class are allocated the same level of risk, seeking to maximise the dispersion of risk within the portfolio and to equalise the ex-ante risk contributions from the various components of the portfolio. The risk model is responsible for modulating the positions and exposures within the portfolio.

The risk management process and proprietary model have responded well to decrease exposure during periods of increased risk or a decrease in investor confidence and yet the fund was also well-positioned to capture any rebound as well as generate alpha within each of the asset classes in which it invests.

The alpha signals identify varied opportunities for generating uncorrelated, positive returns.

Fund facts
Full name of fund: Callanish Global Macro Fund
Name of portfolio managers:  Fabrice Connin and Eoin Murray
Name of investment/management company: Callanish Capital Partners
Contact information: Kristy Barr, Partner, Callanish Capital Partners, 25 Southampton Buildings, London WC2A 1AL (+44 (0)20 3178 8072; kristy.barr@callanishpartners.com; www.callanishpartners.com)
Launch date: May 2010
Assets under management: $37 million (at end April 2011)
Net cumulative performance since inception: +9.44% (at end April 2011)
Annualised return: 9.44% (at end April 2011)
Annualised volatility: 5.96% (monthly) (at end April 2011)
Sharpe ratio: 1.42
Strategy: systematic global macro
Share classes: euro and US dollar
Administrator: BNY Mellon
Auditor: PricewaterhouseCoopers
Custodian: BNY Mellon
Prime broker: Bank of America Merrill Lynch
Legal counsel: Dillon Eustace, Ireland
Domicile: Ireland
Management fee: 2%
Performance fee: 20%
Minimum investment: €/$1 million
Lock-in: none
Redemption/liquidity terms: monthly with 45 days’ notice, no gate