Chart of the Month – Global macro hedge fund managers are back in the game

by Cedric Dingens

Global macro hedge fund managers are back in the game

Source: AQR

The end of the free money era & the return of macro uncertainty

The last 3 years have seen the world significantly change in terms of geopolitics, climate change actions and investment outlook. Following the GFC in 2008, central banks took the lead to support financial markets by injecting massive liquidity in the system. Coordinated central bank actions were multiplied when the COVID outbreak hit the world in March 2020. One of the main consequences is that high inflation is finally back and monetary policy needs to be dramatically reversed. The era of free money has now ended and so has the low volatility market regime for all asset classes. Market volatility can be measured in a number of ways. In the chart above, the well-known quant manager AQR tries to identify regimes of ‘macro turmoil’, where macro turmoil is defined as any 12-month period where the magnitude of macro news is higher than average. They measure macro news using changes in real GDP growth and inflation, and also surprises (vs. economist forecasts) in real GDP growth, inflation and industrial production. Since 2020 we are back in this so-defined macro turmoil environment. These periods could last long like during the 70s and the 80s or around the GFC[1], periods which have been strong years for global macro managers.

Higher volatility expected to remain

Swings in monetary policy expectations are likely to remain an important market driver in 2023, meaning that equity-bond correlations could remain high. This is what happened this year, with the 60/40 model portfolio showing its worst return for 80 years! Looking forward, the multiple risk factors – hawkish central banks, structural inflation, bursting bubbles, slowing economy, energy crisis, geopolitical tensions, industrial disruption, growing social unrest – do not necessarily mean that markets will go down but they will probably remain volatile. During sharp market corrections, volatility tends to spike, liquidity dries out and correlations increase suddenly, which could lead to forced deleveraging.

More risks but also more opportunities

In this context, uncorrelated hedge fund strategies such as global macro should be well indicated to help diversify portfolios. Macro managers take long and short positions across a range of liquid asset classes (rates, equity indices, currencies, credit indices and commodities) mainly through futures and options to try to generate attractive decorrelated returns over time. They are up on average between +11.4% and +23.1% YTD as of the end of October (returns of the HFRI Macro index and the CS Macro HF index) having made money mainly shorting rates and being long the USD. They tend to show positive returns during market dislocations. Historically, when implied volatility has been high (VIX above 25), equities have been down on average -11.3%, while macro strategies have generated +6.1% annualized returns (source UBS HF PB).

Flexibility and tight risk management are the key of their success

The advantage of global macro is the flexibility of the mandate. They can invest in all asset classes, but where the opportunities are. In a highly volatile environment, the probability of getting good entry/exit points is higher. A global macro manager is successful in producing good risk-adjusted returns over time if he has a good risk management framework and particular attention is made on this aspect in their due diligence process. Sitting with high levels of unencumbered cash, now yielding 4%, they are now paid to wait and engage risk when they see interesting investment opportunities. In conclusion, the continuation of a tight monetary policy and a high volatility regime should prove favorable for macro managers in 2023.

[1] Global Financial Crisis


Hedge Fund indices: HFRI Macro Total index (HFRIMI Index), Credit Suisse Global Macro index (HEDGGLMA Index).






Past performance is not indicative of future results. The views, strategies and financial instruments described in this document may not be suitable for all investors. Opinions expressed are current opinions as of date(s) appearing in this material only. References to market or composite indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only. NS Partners provides no warranty and makes no representation of any kind whatsoever regarding the accuracy and completeness of any data, including financial market data, quotes, research notes or other financial instrument referred to in this document. This document does not constitute an offer or solicitation to any person in any jurisdiction in which such offer or solicitation is not authorized or to any person to whom it would be unlawful to make such offer or solicitation. Any reference in this document to specific securities and issuers are for illustrative purposes only, and should not be interpreted as recommendations to purchase or sell those securities. References in this document to investment funds that have not been registered with the FINMA cannot be distributed in or from Switzerland except to certain categories of eligible investors. Some of the entities of the NS Partners Group or its clients may hold a position in the financial instruments of any issuer discussed herein, or act as advisor to any such issuer.  Additional information is available on request.

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Antonio Mira

Antonio Mira joined NS Partners in 2006 as Group Chief Financial Officer. He heads the corporate functions and is involved in coordinating and implementing the decisions of the Executive Committee.
An experienced bank auditor, Antonio started his career in 1995 with Arthur Andersen, where he worked for some 7 years before joining Ernst & Young in 2002 as a Senior Manager.
Antonio is a Swiss chartered accountant and a Business graduate of Lausanne University (HEC).

Sébastien Poiret

Sébastien Poiret joined NS Partners in 2008 and manages funds of hedge funds and private client mandates. He also oversees the development of the Group’s offices in Mauritius.

Prior to joining NS Partners, he served as a Trader, Head of Manager research and Portfolio Manager in the USA and Switzerland for a single hedge fund (1998-2004) and for Optimal (2004-2008), Grupo Santander’s fund-of-hedge funds operations.

Sébastien holds a Bachelor’s degree in Corporate Finance from the ESPEME Business School (EDHEC Group) and an MBA in Finance and Economics from the Institute of Business Administration, both in Nice.

Abir Oreibi

Abir Oreibi joined the Board of the NS Partners Group in 2018, where she brings her truly international perspective and rich experience.
Among many other ventures, Abir set up’s first European office. After living and working in Shanghai, Hong Kong, Bangkok and London, she now lives in Geneva, where she is CEO of Lift Events, an organization that identifies technology trends, their business and social impact through the organization of events and open innovation programs. Issues related to the challenges and opportunities created by new technologies as well as the strategic responses from organizations are at the heart of Lift’s activities.
Abir holds a BA in Political Sciences from the University of Geneva. She is an investor, and member of advisory and innovation boards.

Romain Pidoux, CAIA

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Romain Pidoux joined NS Partners in 2011 and heads the Group’s Risk Management.
He started his financial career in 2005 as Head of Quantitative Analysis for a Swiss Family Office, selecting funds and managing portfolio allocation. In 2008, he switched to the alternative world and joined Peak Partners as hedge funds analyst.
He is a Chartered Alternative Investment Analyst (CAIA) and holds a Master’s degree in international relations from the Graduate Institute of International Studies at Geneva University.

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