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Portfolio
The MLM Macro-Peak™ strategy invests in equity, global fixed income, currency and commodity markets throughout the world, predominantly through a variety of listed, liquid instruments traded in major financial markets. The strategy is executed through a portfolio of directional positions that are highly diversified across asset classes, geographic markets, and trading styles. The strategy also seeks investments with option-like payouts.

As the chart below illustrates, the MLM Macro-Peak™ portfolio is the product of four sector-specific approaches that incorporate our proprietary, systematic models and the discretionary insight and experience of our principals.

Macro Portfolio
Sector Composition
Sector composition for the MLM Macro-Peak™ portfolio reflects the underlying quantitative and discretionary trading strategies:

  • Equities: The quantitative basket holds many diversified positions across the G7 markets, while the discretionary basket holds fewer, larger positions.
  • Global Fixed Income: The strategy focuses on both short and long-term government bond futures, with occasional discretionary trading in high-yield debt and credit default swap indices.
  • Currencies: The strategy participates in the major currency markets, typically by investing in currency futures.
  • Commodities: Quantitative models seek to capture long and medium-term price trends in major U.S. commodity markets, while discretionary trading is more fundamentals-based and typically executed as an option.