A Review of Global Macro Mutual Funds

Investable, but uninvestable.

INTRODUCTION

No investing role is more interesting than being a global macro fund manager. Anything can be traded, either long or short. There is no benchmark and portfolio construction is typically down to the fund manager. The only ask of investors is to make money and provide uncorrelated returns that offer diversification benefits. This can´t be too difficult given the flexibility of the mandate, can it?

We previously analyzed the track records of global macro fund managers using indices from HFR, Credit Suisse, and Eurekahedge, where we concluded that these funds provided diversification benefits (read