Hedge funds report historic global macro gains

Investors have been keeping a steady watch on global macro strategies this year, and according to the latest figures from HFR they have had good reason.

In fact, global macro funds reported the strongest four-month start to the year as measured by the HFRI Macro (Total) Index since 1993. April’s gains are the best monthly gains on record with historic negatively correlated performance as the equity market conditions continued to deteriorate.

The investable HFRI 500 Macro Index surging 5.05% in April, extending its year-to-date return to 15.5%. Contributing to the strong returns were commodities, fundamental discretionary strategies and quantitative and trend-following strategies.

“Hedge funds advanced in April as financial market volatility spiked while global equity and fixed income plunged in a record and correlated manner, with gains driven by further acceleration of a historic, negatively correlated surge in Macro strategies. Accelerating the recent trends of the past few months, the surge in Global Macro performance occurred against a backdrop of geopolitical uncertainty and macroeconomic turmoil driven by rampant inflation, increasing interest rates and acceleration of the military conflict following the Russian invasion of Ukraine,” stated Kenneth J. Heinz, president of HFR.

More broadly, the top decile of the HFRI constituents gained an average of 8.9% in April, while the bottom decile declined by an average of -10.6% for the month, representing a top-bottom dispersion of 19.5%. Through the first four months of 2022, the top decile of the HFRI has surged an average of +34.8%, while the bottom decile has declined by an average of -22.2%.

“Hedge fund managers and investors have effectively adapted to the current fluid market paradigm defined by extreme volatility, massive dislocations, and tremendous uncertainty, demonstrating tactical flexibility and operating as liquidity providers through the volatility,” added Heinz. “Institutional investors are prioritizing interest rate sensitivity and duration, inflation protection, capital preservation and volatility positive portfolio attributes, with minimal correlation to current equity market declines. Hedge funds which have demonstrated their ability to provide these characteristics are likely to lead industry growth and outperformance of equity markets through this unprecedented geopolitical and macroeconomic uncertainty.”

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