- In the last ten years Global Macro funds at the index level have produced annual returns of 5%-plus on only three occasions. For comparison Distressed funds produced 5%-plus in five of those years.
- Of the eight strategy groups analysed, Global Macro funds produced the lowest annualised return over the last decade.
- Global Macro funds beat the broad hedge fund index in only three years in the last ten. The relative perfromance in those years was so small as to not justify a long holding period.
- Modern Global Macro funds produce returns with a volatility closer to market-neutral funds than any other investment strategy – Steinhardt, Soros and Julian Robertson wouldn’t recognise the absolute return series.
Why should investors bother with Global Macro funds?