Macro Factors
Macro factors are events – or factors – related to a broader aspect of a market rather than a niche area. Investors tend to focus on factors such as economic, environmental, or geopolitical events that can affect the direction of a large-scale economy. Examples of these include but are not limited to monetary policies, inflation, unemployment, politics, etc. Macro strategy investors can take long or short positions in a variety of equity, fixed income, hard currency, and commodity markets in order to profit off of systemic and market risk factors.
Macro strategy hedge funds are typically highly diversified, using a combination of investment strategies in their portfolios and offer exposure to a variety of asset classes. Macro fund types include commodity trading advisor (CTA), discretionary, and systemic funds.
CTA funds employ a number of investment strategies, using trend following and price based models to build its portfolio. Systematic funds have little or no influence of individuals over the portfolios position, mainly relying on mathematical and algorithmic analysis. Discretionary funds are reliant on the evaluation of market data, relationships, and influences as they pertain to the broader market. Discretionary positions are typically based on the evolution of investment themes the manager expects to materialize over a relevant time frame.
For more information on Macro Factor strategies, please contact INDICES@HFR.COM
Examples of HFR Indices that employ Macro Factor strategies are listed below:
Macro Factor
| Index Name | ROR | Index Value | YTD | LAST 12M | LAST 36M | LAST 60M | |
|---|---|---|---|---|---|---|---|
| HFR Bank Systematic Risk Premia Multi-Asset Index | -0.10% | 1824.26 | 8.80% | -5.93% | 6.68% | 6.09% | |
| HFRI 500 Macro Index › | 0.63% | 1473.66 | -1.20% | -1.16% | 7.49% | 5.59% | |
| HFRI 500 Macro: Multi-Strategy Index › | 1.10% | 1498.02 | 1.58% | 2.12% | 8.73% | 6.77% | |
| HFRX Macro/CTA Index › | 0.50% | 1273.56 | -0.84% | -0.13% | 1.62% | 1.65% |