Macro and managed futures strategies lose appeal

DeclineInvestor interest in both macro and managed futures strategies has dropped to a near all-time low following poor performance, causing assets under management to shrink.

Research from data provider eVestment suggests that while assets under management for the entire hedge fund industry rose by 10% last year, those for macro and managed futures strategies fell.

Cumulative gains for macro funds were roughly half that of the hedge fund industry as a whole for the past five years while the performance of managed futures has been nearly flat since October 2010.

Macro hedge fund assets had a yearly decline for only the second year on record and the first time since the financial crisis in 2008. Still, investors redeemed more from macro strategies last year than in any other year on record. The overall result was driven by large outflows at year-end.

Investors were also put off by the performance of managed futures, a sector in which smaller funds significantly underperformed.

According to eVestment, both macro and managed futures strategies “significantly lagged the rest of the hedge fund industry” during the equity bull market that started in early 2009.

The research was conducted using a database that comprises 581 unique macro funds and 1,076 unique managed futures strategies. 

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