While nearly all strategies are down this year in HFR’s aggregated indices, the HFRI Macro Index is up year-to-date by 6.76%, and the Macro Systematic Diversified Index is up more than 12%. In 2007, the indices returned 11% and 10% respectively.
Good performance looks set to continue. The bear economy will persist, say managers, and that means interesting trading opportunities for skilled macro managers. "The 2004-07 market environment was difficult for macro," says Kevin Harrington, managing director at macro fund Clarium Capital Management. "Petrodollar recycling drove unusual liquidity distortions that caused traditional macro relationships to break down. The higher oil prices went, the larger the petrodollar liquidity distortions grew, narrowing credit spreads and...
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