Global Macro funds aim to profit from changes in global economies, typically brought about by shifts in government policy that impact interest rates, in turn affecting currency, stock, and bond markets. They participate in all major markets – equities, bonds, currencies and commodities – though not always at the same time. Global Macro funds use leverage and derivatives to accentuate the impact of market moves. They also utilize hedging, but the leveraged directional investments tend to have the largest impact on performance.

Very frequently, Global Macro funds dilute the risk by investing in other directional funds; however, some funds may also focus their efforts on a reduced number of bets. Most global macro funds follow a top/down type management process. As a result, the importance of stock picking is reduced in comparison with the asset allocation process (both strategic and tactical).

Due to a large exposure to stock, bond, currency and other markets, Global Macro is regarded as a Multi-Directional strategy. Consequently, Global Macro funds may be used as “Return Diversifiers” in portfolios.

Monthly returns201620172018
January-0.04%-0.13%2.64%
February0.20%0.59%-2.31%
March-0.43%-0.12%-0.62%
April0.20%-0.07%0.26%
May-0.37%0.10%0.30%
June1.07%-0.68%-0.17%
July0.64%0.58%n.a.
August-0.61%0.46%n.a.
September-0.28%-0.11%n.a.
October0.14%1.28%n.a.
November0.88%-0.23%n.a.
December1.21%0.55%n.a.
Annual2.61%2.24%0.04%
S&P 50011.96%21.83%2.65%
Lehman Treasury1.04%2.31%-1.08%
Quarterly returns201620172018
1st Quarter-0.27%0.34%-0.35%
2nd Quarter0.90%-0.65%0.39%
3rd Quarter-0.26%0.93%n.a.
4th Quarter2.24%1.61%n.a.
Annual2.61%2.24%0.04%
S&P 50011.96%21.83%2.65%
Lehman Treasury1.04%2.31%-1.08%
Risk ProfileEdhec Global Macro IndexS&P 500Lehman Treasury
Monthly Std Dev Ann'd4.07%14.27%4.45%
Sharpe Ratio0.320.240.03
Information ratio-0.16n.a.n.a.
Min. Monthly Return-3.13%-16.80%-4.39%
Max. Monthly Return3.97%10.93%5.31%
Mean Monthly Return0.43%0.60%0.34%
Median Monthly Return0.37%1.07%0.40%
Exc. Kurtosis0.191.431.51
Skewness0.20-0.670.02
% of winning Months61.90%65.71%59.05%
Average Winning Return1.14%2.87%1.13%
% of losing Months38.10%34.29%40.95%
Average Losing Return-0.72%-3.75%-0.81%
Correlation AnalysisEdhec Global Macro IndexS&P 500Lehman Treasury
S&P 5000.421.00-0.35
S&P 500 Value0.400.97-0.35
S&P 500 Growth0.420.97-0.33
S&P Mid Cap0.460.92-0.34
S&P Small Cap0.380.86-0.36
Lehman Treasury0.04-0.351.00
Baa-Aaa0.02-0.070.05
Chg in Baa - Aaa-0.08-0.120.17
10 years - 3 Months-0.04-0.050.11
Chg in 10 years - 3 Months-0.04-0.03-0.05
VIX-0.16-0.440.27
Chg in VIX-0.34-0.660.20
in %CSFBHennesseeHFRHF NetBarclayCISDMGreenwichAltvest
2006 Q211.4%12.3%12.9%12.7%13.1%12.5%12.5%12.6%
2006 Q311.6%12.2%13.0%12.6%13.1%12.6%12.2%12.7%
2006 Q411.3%12.1%13.0%12.6%13.3%12.6%12.3%12.7%
2007 Q111.6%12.0%12.9%12.6%13.3%12.6%12.2%12.7%
2007 Q211.5%11.9%13.0%12.8%13.3%12.6%12.3%12.7%
2007 Q311.6%11.6%13.1%13.2%13.3%12.5%12.1%12.6%
2007 Q411.9%11.8%13.1%13.1%13.2%12.1%12.2%12.6%
2008 Q111.9%11.8%13.0%13.1%13.1%12.0%12.4%12.7%
2008 Q210.7%12.1%12.9%13.4%13.4%12.1%12.5%12.9%
2008 Q310.1%12.2%12.8%13.5%13.5%12.3%12.5%13.0%
2008 Q410.9%12.4%12.7%13.4%13.3%12.2%12.7%12.4%
2009 Q111.0%12.3%11.9%13.4%13.3%11.9%13.1%13.1%
2009 Q210.8%12.4%11.7%13.4%13.4%11.8%13.2%13.3%
2009 Q310.4%12.5%11.7%13.5%13.5%11.7%13.4%13.3%
2009 Q410.6%12.3%11.5%13.5%13.5%11.8%13.3%13.5%
2010 Q110.7%12.1%11.5%13.5%13.6%11.7%13.4%13.5%
2010 Q210.4%12.3%11.6%13.6%13.7%11.6%13.4%13.5%
2010 Q310.4%12.3%11.6%13.6%13.7%11.7%13.2%13.5%
2010 Q410.2%12.3%11.6%13.7%13.8%11.7%13.0%13.6%
2011 Q110.4%12.4%11.7%13.8%13.8%11.2%12.9%13.8%
2011 Q211.0%12.4%11.5%13.7%13.8%10.8%12.9%13.8%
2011 Q311.3%12.2%11.8%13.6%13.6%11.0%12.9%13.6%
2011 Q410.1%11.9%12.4%13.9%13.9%11.5%12.5%13.8%
2012 Q110.6%11.9%13.2%13.7%13.7%11.8%12.0%13.3%
2012 Q212.9%13.1%15.4%15.5%15.5%13.8%13.9%n.a.
2012 Q313.6%12.7%15.2%15.3%15.4%14.2%13.7%n.a.
2012 Q413.4%12.5%15.4%15.4%15.4%14.2%13.6%n.a.
2013 Q113.6%12.9%15.3%15.3%15.2%14.3%13.5%n.a.
2013 Q214.3%12.7%15.2%15.0%15.1%14.2%13.4%n.a.
2013 Q314.3%12.6%15.0%14.9%15.1%14.2%14.0%n.a.
2013 Q414.2%12.5%14.9%14.9%15.1%14.3%14.2%n.a.
2014 Q114.2%12.3%14.9%14.9%15.1%14.3%14.3%n.a.
2014 Q214.1%12.6%14.9%14.7%14.9%14.4%14.4%n.a.
2014 Q314.1%12.9%14.7%14.4%15.1%14.5%14.4%n.a.
2014 Q417.1%n.a.16.4%16.1%16.9%16.9%16.6%n.a.
2015 Q117.0%n.a.16.4%16.2%17.0%16.6%16.8%n.a.
2015 Q217.2%n.a.16.3%16.5%16.8%16.2%17.0%n.a.
2015 Q317.1%n.a.16.6%16.7%16.8%16.0%16.8%n.a.
2015 Q416.8%n.a.16.5%16.7%16.8%16.2%16.9%n.a.
2016 Q116.7%n.a.16.7%16.7%16.8%16.0%17.0%n.a.
2016 Q216.6%n.a.16.4%17.1%17.0%15.8%17.0%n.a.
2016 Q316.5%n.a.16.3%17.4%16.9%15.8%17.1%n.a.
2016 Q416.2%n.a.16.4%17.4%17.0%16.0%17.0%n.a.
2017 Q115.9%n.a.15.9%17.5%17.2%16.3%17.2%n.a.
2017 Q215.9%n.a.16.0%17.6%17.4%16.2%16.9%n.a.
2017 Q315.9%n.a.16.1%17.6%17.4%16.2%16.9%n.a.
2017 Q415.8%n.a.16.1%17.7%17.3%16.3%16.9%n.a.
2018 Q115.7%n.a.16.1%17.5%17.3%16.4%16.9%n.a.
2018 Q215.8%n.a.16.5%17.0%17.6%16.5%16.7%n.a.
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