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.
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