{"id":72086,"date":"2018-06-11T02:09:41","date_gmt":"2018-06-11T00:09:41","guid":{"rendered":"http:\/\/beta.next-finance.net\/opinion\/macro-managers-are-scratching-their-heads-just-like-you\/"},"modified":"2020-01-01T22:22:35","modified_gmt":"2020-01-01T21:22:35","slug":"macro-managers-are-scratching-their-heads-just-like-you","status":"publish","type":"post","link":"http:\/\/beta.next-finance.net\/en\/opinion\/macro-managers-are-scratching-their-heads-just-like-you\/","title":{"rendered":"Macro Managers are scratching their heads just like you"},"content":{"rendered":"

Europe took center stage this week, with further developments in the Italian political saga reminding investors that there are still powerful Eurosceptic forces at play and forcing investors to end their hopes of meaningful
\neurozone reforms. However, fading prospects of another election in the near term are providing a respite.<\/p>\n

Spain is also entering a phase of uncertainty after Prime Minister Rajoy was forced out of office, but this is a
\nminor issue compared with Italy. Concerns about trade quickly revived, as a result of the US\u2019s imminent
\nimplementation of tariffs against most of its trading partners. The main risk would come from spiraling
\nmultilateral retaliation and the weakening of global trade organizations.<\/p>\n

Hedge Funds were overall flat this week, emphasizing their appealing profile in the current environment. The
\nItalian stress mainly hurt CTAs, hit in their long bonds. L\/S Equity funds also suffered from derisking, in line
\nwith their cautious exposure.<\/quote>
\n By contrast, Event-Driven, away from the epicenter, were more resilient.
\nMarkets will have to go on dealing with multiple uncertainties, including concerns about the continued
\nintegration of the eurozone, trade fears, a potential revival of risk linked to Iran later in the year, disappointing
\neconomic data everywhere apart from the US, a strong dollar still threatening some economies, and monetary
\nnormalization progressing in the US. Conditions are likely to remain challenging for most investment styles.<\/p>\n

We wondered how Macro funds are dealing with this. Our bottom-up managers survey confirms our
\ntop-down observations. The surging correlation across returns of a large basket of diversified Macro funds
\nyear-to-date tells us that they are facing the same drivers and that they struggle to find decorrelating
\narbitrages. Meanwhile, the low dispersion across their returns and their modest sensitivity to markets suggest
\nthat a majority of them are refraining from taking aggressive risks.
\n Yet, we find that the alpha they individually
\nextract has been increasingly volatile this year. This shows that they struggled to navigate the stream of
\nuncertainties which ebbed and flew. As a result, they are flat or so year-to-date.<\/quote><\/p>\n

\"macro_managers_are_scratching.jpg\"<\/a>