2014) — Macro and managed futures-focused hedge fund strategies have yet to recover from the
financial crisis as many continue to suffer capital outflows and poor
performance, according to data firm eVestment.
Many of the industry's major players follow these strategies, including Brevon Howard, Bridgewater Associates, and Tudor Investment Corporation.
strong demand during the late 1990s and early 2000s, both macro and managed futures approaches have failed to bounce back from 2008 and are lagging far behind the hedge fund
industry, the firm stated in a report. Cumulative gains in macro strategies were just half
of the hedge fund aggregate over the last five years at around 25%. Performance
for managed futures has also flatlined since October 2010.
strategies underperformed their peers in the fiscal year 2013, with macro strategies
returning 2.84% and managed futures losing 1.87%.
management (AUM) for both types of funds decreased in 2013, according to the report, whereas capital flowed into the industry as a whole.
was $357 billion at the end of the fourth quarter in 2013, a figure higher than
that of previous two quarters due to a pick-up in performance late in the year.
Macro funds' AUM declined 1% in 2013 to $213.2 billion and managed futures
funds' AUM hit the lowest level since 2007, at $143.8 billion.
found liquidations of these two strategies overwhelmed fundraising by new entrants, attributing the trend to performance and flow momentum.
Since the financial crisis, "multiple years of poor performance and an inability to recover lost high water
marks have prompted further liquidations at rates higher than during that
experienced during the financial crisis,” eVestment said.
However, funds with more than $1 billion under management outperformed small and mid-sized
peers in FY 2013, a trend that could continue in 2014 “if those larger managers
with an enhanced capacity to ride a poor asset gathering environment outperform
smaller managers,” the report stated.
The report's authors expected these issues to remain going forward without significant revitalization of the
once their largest asset base, the commingled funds of hedge funds industry,
has been rapidly shrinking as well,” the report said. “While there has been an
increase in bespoke portfolios within the funds of hedge funds space by larger
institutions, it is likely these same institutions have been using hedge funds
for less correlated exposures to markets with which they are significantly more
comfortable, namely credit and, more recently equity markets.”
hope for macro and managed futures funds could be found in the recent shaky equity
markets and potential for a rebound in fixed income markets, eVestment said.
2013 Periodic Table of Hedge Fund Returns