Global macro funds bet on events such as interest rates movements, bond yields, currencies and geopolitical events and can broadly be put into two groups, systematic and discretionary. The former is associated with commodity trading advisers that typically follow trends, while the latter takes a more opportunistic approach. Their diversification makes them attractive portfolio additions, but has the speed of data and crowding of trades rendered global macro obsolete?
Bond-like: Over both five- and 10-year periods, global macro strategies fell on either side of investment-grade bonds in risk and return, with discretionary funds being slightly more efficient.
Diverse-ish: Systematic funds have shown to be less correlated with global equities, particularly in down markets. Discretionary funds have been more closely related.
Got your back: Systematic funds have held up better in equity drawdown periods compared to discretionary funds, strengthening their position as a tail-risk strategy.
Rough patch: Recent macro fund returns were lower over the five-year period compared to past periods. As investors looked elsewhere for diversification, a net $18 billion was redeemed in 2019, 11% of 2018 AUM.
*MSCI ACWI IMI index. Sources: Bloomberg LP, Eurekahedge Pte. Ltd.
