The Macro Program seeks value in short- and long-term fundamental expectations using a proprietary multifactor “quantimental” trend & mean reversion model.
Current and Future Central Bank Policy Shifts
Volatility and Skew cognizant Option Spreads for Asymmetric Returns without Unwanted Risk
Macro Themes Driving Markets
Supply & Demand
Short-term Mean Revision
Proprietary Macro Factor
Volatility/Skew Probable Path
More about the Macro Program
The Macro Program seeks value in short- and long-term fundamental expectations. The Advisor will look to the current state of the US and global economies, the phase of the business cycle, as well as analyzing current and future shifts in central bank policy. The Macro Program uses a proprietary multifactor “quantimental” trend & mean-reversion model. The model provides trade signals that will be executed via volatility & skew cognizant option spreads to remove unwanted risk while allowing for asymmetrical returns. The Macro Program will focus primarily on major futures contracts with liquid options, but not be limited to such.
Asset classes include equities, fixed income, metals, energy, currencies, and agriculture. Each asset class is assigned specific fundamental triggers including, but not limited to, growth, value, business cycle, sentiment, proprietary macro factor ranking, supply & demand, basis, short-term mean reversion, and volatility/skew probable path.
Trade structures are designed to limit risk and do not take outright short option positions in the market. Please note that while Blue Creek adheres to certain risk management techniques, there can be no guarantee that these techniques will be successful.
The Macro Program typically results in 35% of the total assets of the Clients’ accounts being used to margin positions. However, these percentages may be substantially different at Blue Creek’s discretion.