FRM Changes Focus to Statistical Arbitrage, Moves Away From Global Macro
FRM Holdings Ltd., the fund of hedge funds group that was acquired by Man Group Plc earlier this year, has turned bearish on long/short equity strategies and global macro managers.
FRM, which has $19.5 billion under management, is currently “very underweight macro, and we’re very underweight equity long/short,” favoring statistical arbitrage, commodity trading advisers and structured credit, according to Luke Ellis, the London-based firm’s chief executive officer and chief investment officer.
Today is “the worst environment to invest in macro,” Ellis said at a press briefing in London on Sept. 25. Macro funds performed better when they had an informational edge based on close ties to central banks and there was more disparity on monetary policy, Ellis said.