Is GTAA a hedge fund strategy?
Of course, it is! Any hedge fund’s objective should be alpha generation, and GTAA does nothing else but produce alpha. Comparison of forecasted returns of asset classes, different markets within an asset class leads to a portfolio where bets are made on a global basis. Moreover, risk in modern GTAA products is re-allocated dynamically between the sub-processes and between markets. Where a greater opportunity is seen, the risk taking increases and vice versa. That closely resembles the global macro approach. As in many cases GTAA products are model driven and only allow little discretion at the stage of trading; why would we not call them systematic global macro? Another similarity is involvement of skill as a cornerstone of success of any alpha generating process. From the beginning, hedge funds have been associated with seasoned traders making money in all market environments and bringing desired return to investors. Later, when systematic processes appeared, they did not require as m
