While many investment strategies are limited by specific asset classes, global macro
hedge funds can look across the broad investment landscape and switch sectors and
instruments when economic and market disequilibria present tactical opportunities.
This gives them the ability to perform in a range of economic environments.
Although the environments created by the above crises have been challenging for many
investment strategies, the resulting imbalances have also presented meaningful
opportunities. These types of events affect factors such as interest rate differentials,
foreign exchange balances, and the consequent over and under valuation of various
asset classes and sectors which can be exploited through nimble and tactical positioning.
To determine whether global macro managers outperform through the above
dislocations, we have compared the strategy’s returns, beginning with the month
immediately following each dislocation event, to those of the broad hedge fund
universe and global equities. These annualized performance measurements were
taken over 1-year, 2-year and 3-year periods.