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Global Macro

August 11, 2011 | About:

When you talk about global macro funds, George Soros, Julian Robertson and Michael Steinhardt immediately come to mind. Or the well-known CTAs, Paul Tudor Jones or Louis Moore Bacon

Here's How Paul Tudor Jones Is Betting on China:

Global macro invests in four basic asset classes, mainly fixed income, equity indices, commodities and foreign exchange, across geographic landscapes.

Research has shown that global macro has very low skew and kurtosis, thus its return distribution is close to a normal distribution. Further, the Sharpe ratio exceeds broad stock markets. Global macro is therefore ideal for risk-averse investors and provides good diversification.

If one wishes to gain access to global macro, one may look at Fortress Investment Group LLC (FIG), The Blackstone Group (BX), Och-Ziff Capital Management (OZM), and GLG Partners, Inc. (GLG), four of the US hedge funds publicly traded. See, Hedge Funds Going Public

Below is an article on Och-Ziff Capital Management (OZM), to give you an idea of how it operates.

Och-Ziff Said to Gain Last Week as Some Funds Dodge Rout (Extracts below copied in verbatim)

Hedge funds run by Och-Ziff Capital Management Group LLC (NYSE:OZM) and Brevan Howard Asset Management LLP advanced last week as some of the industry’s largest managers dodged the deepest slump for global stocks since 2008.

“Managers who were macro aware have managed to pull their exposures much faster than the stock pickers,”said Alper Ince, a partner at Pacific Alternative Asset Management Co. in Irvine, California, which invests in hedge funds on behalf of clients. “Many people are in a wait-and-see mode. They want to see the dust settle before making massive changes.”

Investor concerns that the U.S. economy may relapse into a recession drove investors out of stocks, triggering a 7.2 percent decline last week in the Standard & Poor’s 500 Index and a 9.9 percent drop in the Stoxx Europe 600 Index. The selloff was the worst since the bankruptcy of Lehman Brothers Holdings Inc. three years ago triggered a global credit freeze.

Multistrategy funds such as Och-Ziff’s can use a variety of tactics to try to deliver gains regardless of how markets perform.

Och-Ziff bought options on almost $12 billion of U.S. stocks during the first quarter, according to a May regulatory filing, a move that may generate profits if markets turn more volatile this year.

About the author:

Graduated with BA Economics from National University of Singapore. Passed Level 1 of the CFA examination and CAIA Level I Candidate. Long-biased US equities, with strong focus on small to mid-cap stocks (NYSE, NASDAQ, AMEX, OTC & ADR) utilizing fundamental and technical analysis.

Agnostic investor, trader, writer and perpetual student of the market.

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Rating: 2.7/5 (7 votes)


Asmarom - 6 years ago    Report SPAM
Do Global Macro funds have a Sharpe Optimal profile (i.e. investments are weighted such that the Sharpe Ratio is maximized)?

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