![]() London-based CTA Winton futures with $13.6 billion under management was one of the leaders of the pack with a +11% Q1 return.ĭiscretionary global macro managers in the Q1 2008 had a wider dispersal of returns than the systematic trend-following CTAs. HFRI Macro Systematic Diversified Index returned +9.16% and HFRI Macro Total Index +4.71% versus the HFRI Fund weighted Composite Index which lost -3.06% for Q1 2008 according to Hedge Fund Research. Systematic managers/CTAs had the best quarterly start to a year since 2001 as deep trends that began in 2007 continued to play out in 2008. However, it is important to differentiate between the systematic and the discretionary global macro managers. ![]() Not to be out-done, the US dollar has lost over -4% against a trade weighted basket of currencies and the S&P 500 has fallen approximately -6% in the first quarter of 2008.Īmidst this gloom, the Global Macro Index was a shining star at the end of the first quarter as short US dollar and long commodity trades produced profits for many of the funds. Crude oil has continued to be remarkably volatile, trading as high as $119 a barrel and as low as $90 a barrel year-to-date. The S&P 500 has moved by 1% or more on about half of all trading days in the first quarter according to S&P – a level of volatility not witnessed in seventy years. Year-to-date the financial markets have experienced tremendous volatility as a result of the sub-prime melt-down, emergence of a US recession, global stock market declines, ever-weakening US dollar, and rising commodity prices resulting in extreme price movements in a multitude of markets. Global Macro 2008 – discretionary and systematicĢ008 has proved to be interesting for the global macro sector. Until, that is, this past summer, when global market volatility kicked-in and the fear of a US lead global recession became a real threat. With such a large mandate, many investors began to shy away from the sector in favour of more specialised strategies. Whilst some large global macro funds did well, others who maintained a high correlation to equities faltered. The divergence in the performance of large global macro managers seemed to begin in 2002 when global stock markets plunged and hedge funds declined -1.45% (their only losing year since Hedge Fund Research started collecting data). However, Caxton and Moore, a couple of the largest and best-known global macro funds returned +17% and +23% respectively. In 1998, after the Russian default, the average hedge fund fell and Long-Term Capital went under. ![]() In 1997, global macro traders were again able to capitalise on market volatility by shorting many of the Asian currencies in the lead up to and aftermath of the Asian Monetary Crisis and subsequent de-valuing of currencies such as the Thai Baht and Indonesian Rupiah. In 1992, George Soros famously shorted the pound in one of the best known and most highly publicised trades using a global macro approach to trading currencies at the time of the European Rate Mechanism debacle.
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