Macro Strategies

About Aware Macro Strategies

• Macro Strategies is part of the Aware Super Investment Strategy team
• The Macro Strategies portfolio seeks to deliver strong risk-adjusted returns through a portfolio of global liquid higher conviction trades
• The strategy focuses on directional and relative value opportunities in the major interest rate, currency, equity and commodity markets

The Question/Challenge

Are developed market central banks towards the end of their tightening cycle? If so, what are the potential impacts on developed market interest rates, currency and equity markets?

You are tasked to present your findings and potential trade ideas for a $100m portfolio. Your return objective is 8% p.a. with volatility of 10% and a maximum drawdown of 4% p.a.

The Task – You will need to address the following items:

• Market research across three asset classes (interest rates, currencies and equities)
• Projected central bank interest rate pricing (focus US Federal Reserve, ECB and RBA)
• Market forecasts for the three asset classes (1, 6 and 12 months)
• Suggested one developed market trade/position (long or short) in each asset class (projected target and risk-reward) over a one-year time horizon.

Please choose from the following securities:

1. Interest rates: US 10-year yield, AU 10-year yield & EUR 10-year yield
2. Currencies: AUDUSD, EURUSD & USDJPY
3. Equities: S&P500 Index, ASX 200 Index and Euro Stoxx 50 Index

Items for consideration

• Define your strategy as clearly as possible
• Articulate rationale of choice of asset class trades/positions and risk-reward for each
• Consider timeframes for trades and views
• Appropriate sizing for each trade/position
• Risk management for each trade/position