Currently many Asia macro funds are more ‘Global macro’ driven or ‘Japan macro’ focused, betting on directional trades and trends in foreign exchange and stock indices.
Cavenagh Capital, with its principals’ background in Asian markets through many crises, believe that consistent alpha is achieved though the understanding that “fat tails” have actually become common. Cavenagh focuses on being right about the direction of probability, rather than the direction of the market per se. Trades are structured with an asymmetrical profit and loss outcome from the assessed universe of potential outcomes.
In this Opalesque.TV BACKSTAGE, Cavenagh Capital's CIO Lee Ka Shao explains how statistical concepts help macro traders deal with a changed world:
- Markets have become heteroskedastic, meaning that standard deviation of random errors not constant
- The move from unimodal to bimodal world (“risk on – risk off”) deeply affects global macro
Cavenagh is seeded by IMQubator, which is backed by Dutch pension fund APG. Mr. Lee also speaks about Asian opportunities in mis-pricing the odds in events occurrences, and how themes and events are priced in Asia.
Cavenagh Capital's CIO Lee Ka Shao was most recently with Abax Global Capital in Hong Kong where he managed macro positioning. Prior to Abax, Mr Lee established and ran the principal strategies business as the Managing Director, Central Treasury Unit (CTU) of DBS from 2001 to 2007. In this capacity, he managed a multi-billion dollar portfolio on an absolute returns basis with a Global-Asian macro and situational approach across multi-asset classes.
Mr Lee worked at JP Morgan from 1994 to 2001 with Global Markets Trading as a market-maker and proprietary trader in currencies, rates and derivatives in Asia and developed markets. His last senior role with JP Morgan was to establish and run the Derivatives Structuring group (Asia-Ex Japan) post-Asian crisis in 1998 to advise and structure cross-markets product solutions to central banks, financial institutions, insurance companies, MNCs, asset-managers and hedge funds. Mr Lee is also a Captain (reserve) in the Singapore Armed Forces and served as an army officer leading reconnaissance and intelligence missions from 1987 to 1990.
[less]
Currently many Asia macro funds are more ‘Global macro’ driven or ‘Japan macro’ focused, betting on directional trades and trends in foreign exchange and stock indices.
Cavenagh Capital, with its principals’ background in Asian markets through many crises, believe that consistent alpha is achieved though the understanding that “fat tails” have actually become common. Cavenagh focuses on being right about the direction of probability, rather than the direction of the market per se. Trades are structured with an asymmetrical profit and
...more