Académique Documents
Professionnel Documents
Culture Documents
Roy Lennox
Lee Sperling
Sundeep Agrawal
Strategy
Team Composition
Mr. Lennox is the Senior Portfolio Manager of the group. Based on his experience and
long-term track record, he will provide the “strategic vision”, while also being the
primary portfolio decision maker. Mr. Sperling will contribute to the idea generating
process and have direct responsibility for the logistical details of the portfolio including
execution, monitoring risk, and managing sell-side relationships. Mr. Agrawal will be
responsible for macro research and analysis and will also utilize his unique experience in
credit to create innovative ways of expressing macro-based opportunities.
Investable Universe
We almost exclusively trade assts that are very liquid. When liquidity constraints exist we
size our positions accordingly such that our size is a very small percentage of total daily
volume. In most cases our portfolio can be liquidated within 24 hours if not sooner.
Developed Market Currencies (spot, forward, and vanilla option based):
Euro, Japanese Yen, British Pound, Swiss Franc, Canadian Dollars, Australian
Dollars, New Zealand Dollars, Norwegian Krone, Swedish Krona
Emerging Market Currencies (spot, forward, and option based):
Singapore Dollar, Korean Won, Taiwan Dollar, Thai Baht, Indonesian Rupiah,
Indian Rupee, Malaysian Ringgit, Chinese Yuan, Brazilian Real, Mexican
Peso, Polish Zloty, Russian Ruble, Israeli Shekel, Turkish Lira, South African
Rand
Sovereign Debt (cash bonds, futures, and vanilla options): United States,
Canada, Japan, United Kingdom, Australia, the Eurozone, and Emerging
markets
Equities (index based futures and occasional single name stocks): United
States, Europe, Latin America, Asia
Credit (liquid index products and credit default swaps): United States,
Canada, Japan, United Kingdom, Australia, the Eurozone, and Emerging
markets
Commodities (futures): Energy, precious metals, base metals and various
agricultural products
One formidable advantage a discretionary trader has over more systematic approaches is
the recognition that all “investments or trades are not created equal”. Three basic criteria
dictate position size:
1. Level of conviction - Highest conviction trades are those where fundamentals,
technicals and market dynamics are aligned. If this is the case, we should be
risking 1% of AUM.
2. Level of quantifiable discrete risk - The distance to the stop is the key metric in
establishing position size. The stop should be set at a level whereby simple
random volatility will not take one out of the position. Obviously the more
volatile the asset, the wider the stop and the smaller the position. When
valuations are attractive, we will buy options in order to position ourselves long
gamma and improve the risk reward ratio.
3. Correlation with the rest of the portfolio - A high correlation to other positions
should result in a smaller position. A truly idiosyncratic trade or one that
diversifies the portfolio argues for a larger position.
As already mentioned, the whole concept of macro trading can be defined as getting
maximum leverage on a discrete measure of quantifiable risk. Therefore, it follows that
risk management is the most important aspect of trading and a disciplined approach to
downside risk is mandatory. On a trade-by-trade basis we adhere to a strict stop-loss
discipline. This is particularly important for a macro investment approach and relates
back to building position size as conviction grows. If a drawdown of the entire portfolio
approaches 10% all positions are cut in half. The portfolio's positions will be completely
closed down at a 15% drawdown for a period of time so that current market views can be
reassessed.
From a volatility perspective, we are comfortable with a 10-13% annual volatility while
targeting a 15-20% return (assuming a conservative Sharpe ratio of 1.5). However, if an
extraordinary opportunity arises, we would elevate our risk and thus our potential return.
Furthermore, our views could also be deployed in the organization’s larger portfolio.
Conversely we are comfortable running much lower levels of risk during periods when
the opportunity set is less compelling.
Just as the level of total portfolio risk will fluctuate, the relative levels of risk between
asset groups within it will vary based on opportunity. Therefore, defining risk in
particular asset classes must be flexible. These are the ranges we expect under normal
conditions.
Research
Although our research and decision making is driven in-house, we have developed
through experience a few key relationships that we believe add unique knowledge and
insights. The information they provide may also be valuable to the organization as a
whole. Included are a small number of high-level consultants that have limited client
lists and based on our long-standing relationship may accept reduced fees. Consultants
marked with an asterisk are particularly valuable.
Global:
o * James Aitken – Global analyst currently focused on Europe whose
approach is to do a detailed deep dive analysis from a perspective of a
financial institution looking for investment opportunities
Europe:
o Bernard Connolly – Specialist on the financial and political systems
within Europe.
Asia:
o *Rodney Jones – Asian economist currently living in Beijing. An
independent critical thinker.
Federal Reserve / Central Bank Specialist:
o Lawrence Lindsey or Larry Meyers
Capital Hill / Political Specialist:
o Nicolas Checa – McLarty Associates – A specialist in global politics, but
has contacts at the Federal Reserve as well.
o Roy also has a long-standing relationship with and sits on the advisory
board of the American Enterprise Institute, (a Washington D.C. based
think tank), and has access to all the scholars there.
On the ground research is critical for macro investing. The obvious example of this
would include visits to foreign central banks and finance ministries, but discussions
with local banks, politicians, journalists, and academics can also be very valuable.
One of the benefits of thirty years of experience is a worldwide network of contacts.
Biographies
Lee Sperling is the Head Trader for Arrowhawk Global Opportunities. Mr. Sperling is
responsible for all trading as well as performing various risk control functions. With
seventeen years of trading experience across an array of asset classes, Mr. Sperling is
driven by fundamental analysis and is well versed in trading listed, OTC, and derivative
instruments. Prior to Arrowhawk, Mr. Sperling spent 3 years at Elliott Associates where
he worked on the Global Energy Fund with similar responsibilities. From 1997 to 2005,
Mr. Sperling was a trader at Caxton Associates eventually running the Asian Trading desk
before being selected to join a Senior PM to run a Global Macro Fund. While at Caxton,
Mr. Sperling developed a close working relationship with Mr. Lennox. Mr. Sperling
began his career at Commodities Corporation in 1994 on the foreign exchange trading
desk. Mr. Sperling graduated from Lehigh University in 1994 with a Bachelor of Science
in Finance within the School of Business and Economics.
Sundeep Agrawal is the Portfolio Manager for Credit Opportunities within Arrowhawk
Global Opportunities. Prior to July1, 2010, Mr. Agrawal was a Senior Analyst for
Arrowhawk’s Distressed Special Situations strategy since its launch in July 2009. Prior
to joining Arrowhawk, Mr. Agrawal was a senior member of the investment team at
Strategic Value Partners LLC, a distressed credit hedge fund where he was responsible
for distressed credit and structured product investments. From 2006 to 2007, Mr.
Agrawal was a Portfolio Manager at Vector Capital Management, a structured products
asset manager that he co-founded. From 2005-2006, Mr. Agrawal was a Senior Analyst
at Highland Capital Management, a $40 Billion High Yield asset manager. From 2003 to
2005, Mr. Agrawal was an Investment Analyst at General Motors Asset Management
focusing on distressed credit and structured products investments. From 1997 to 2002,
Mr. Agrawal held various positions at Lehman Brothers and Imagine Software LLC. Mr.
Agrawal received a B.E. in Electrical Engineering from the Delhi Institute of Technology
in 1992, an M.S. in Systems Engineering from The University of Texas at Austin in 1996,
and an MBA in Finance from New York University’s Stern School of Business in 2003.