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Bill Lipschutz, Hathersage Capital Management

Hathersage Capital Management – Best Macro CTA


Hathersage Capital Management LLC is a global macro manager founded in 1991. Employing a discretionary global macro philosophy which it applies strictly to G10 currencies, the firm takes directional market views using interbank spot, forwards and options. 

"Unlike equity and fixed income markets, the drivers affecting currency pair valuations can change very quickly," comments Bill Lipschutz, principal, CIO and head of portfolio management. "Uncertainty, creates opportunities for skilled discretionary managers. Hathersage takes exposures that can be structured with return asymmetry and, at all times, actively manages positions no matter market conditions."    

The strategies offered by Hathersage express trade ideas that are based on drivers such as a fundamental analysis of economic relationships, financial market expectations, political events and momentum.

Hathersage presents two distinct approaches: one strategic that focuses on intermediate to long-term global macro themes; and a second tactical that focuses on short-term momentum indicators. The two strategies are available on the dbSelect Liquid Alternatives Platform, while modified versions of both are available on the Citi Macro Access Managed Investment Platform.

Hathersage applies a consistent process and at all times stays true to its expertise, which Lipschutz says is essential in achieving strong performance. Indeed, FX markets can turn on a dime, "so staying nimble and reactionary allows us to be opportunistic in the short term, while sticking to a core strategic view in the intermediate term", he says, adding that risk is not taken "unless there is strong belief that the potential return warrants it". 

Hathersage's portfolio management team systematically gathers, filters and analyses macro and micro market information from a variety of sources to generate the directional views in both approaches. On dbSelect, the Hathersage Long Term Currency Strategy has generated 10.04% annualised returns, while the Hathersage Daily Currency Strategy has generated 6.71% returns since both their inclusion from the platform's inception in March 2005. 

On Citi, the G10 Macro Access Strategy has generated 20.15% annualised returns since its inclusion from the platform's inception in August 2011. The G10 Daily Access Strategy, over the same period, has generated 13.09% annualised returns. 

Over the five-year period spanning August 2011 through August 2016, the strategies are the top two performers on the Citi Macro Access Platform. Whilst acknowledging the importance of its long-term track record, Lipschutz says it is Hathersage's ability "to consistently deliver absolute return not correlated to equity markets that distinguishes us from other Macro managers".

This year, Hathersage's Daily Currency and G10 Daily Access strategies have fared better than its Long Term strategies, the latter posting double-digit returns through August. This is most clearly explained by the recent market micro environment, which has favoured a short-term opportunistic response to news and events. 

"Trading in non-GBP cash currencies around Brexit put in a strong performance and helped the Daily portfolios post robust gains in the month of June. Our Long Term portfolios on the other hand, rely on different drivers in taking a bigger picture view of the markets. As a result, the two approaches exhibit a low correlation with each other and are expected to display varying results," explains Lipschutz. 

On winning this year's award, Lipschutz comments: "As a foreign exchange specialist, sometimes we fly under the radar, so it is particularly gratifying to win this year's award."

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