Chart tracks the performance of macro trading strategies.
Y-axis: Rolling 12-month annualized return (%) of HFRI Macro Index;
x-axis: 1990 to 2021.
The chart tracks three distinct periods of macro trading and a potential new period beginning recently:
- December 1990 to January 1997, index return fluctuated considerably from peaks of 51% (January 1992), 55% (January 1994), and 37% (January 1996) to troughs of 24% (January 1993) and -7% (January 1995). The historical average for this period was about 26%. Standard deviation (+ or -1) was between 41% and 11%.
- February 1997 to February 2008, index return fluctuated less dramatically, with peaks of 23% (August 1997, February 2000, and March 2004), and declines to -0.3% (March 1999), -2% (February 2001), and 1.4% (March 2005). The average for this period was about 10%, with standard deviation (+ or -1) between about 16% and 4%).
- March 2008 to October 2020, index returns fluctuated more moderately, with peaks at about 9% (April 2011 and March 2015) and troughs of about -6% (April 2012 and January 2019). Average for this period was about 2%. Standard deviation (+ or -1) was between 6% and -2%.
- November 2020 to September 2021, index return has increased from about 6% (November 2020) to near 14.7% (September 2021). Average for this period was over 10%, with standard deviation (+ or -1) between roughly 6% and 15%.
Sources: © 2021 – Morningstar Direct, All Rights Reserved1 and Wells Fargo Investment Institute. Monthly data from January 1, 1990 to September 30, 2021. Index returns do not represent investment performance or the results of actual trading. Index returns reflect general market results, assume the reinvestment of dividends and other distributions and do not reflect deduction for fees, expenses, or taxes applicable to an actual investment. Unlike most asset class Indexes, HFR Index returns are net of all fees. Because the HFR Indexes are calculated based on information that is voluntarily provided actual returns may be lower than those reported. An index is unmanaged and not available for direct investment Past performance is no guarantee of future results. HFRI Macro Index: Investment Managers which trade a broad range of strategies in which the investment process is predicated on movements in underlying economic variables and the impact these have on equity, fixed income, hard currency and commodity markets. Managers employ a variety of techniques, both discretionary and systematic analysis, combinations of top down and bottom up theses, quantitative and fundamental approaches and long and short term holding periods. Although some strategies employ RV techniques, Macro strategies are distinct from RV strategies in that the primary investment thesis is predicated on predicted or future movements in the underlying instruments, rather than realization of a valuation discrepancy between securities. In a similar way, while both Macro and equity hedge managers may hold equity securities, the overriding investment thesis is predicated on the impact movements in underlying macroeconomic variables may have on security prices, as opposes to EH, in which the fundamental characteristics on the company are the most significant are integral to investment thesis.
Alternative investments, such as hedge funds, are not appropriate for all investors and are only open to accredited or qualified investors within the meaning of the U.S. securities laws. They are speculative and involve a high degree of risk that is appropriate only for those investors who have the financial sophistication and expertise to evaluate the merits and risks of an investment in a fund and for which the fund does not represent a complete investment program. Investing in stocks involves risk and their returns and risk levels can vary depending on prevailing market and economic conditions. Foreign investing has additional risks including currency, transaction, volatility and political and regulatory uncertainty.
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- Trends in commodities, currencies, and interest rates have led to strong returns for Macro strategies.