Global Macro
A top-down strategy that takes directional and relative-value positions across asset classes (rates, FX, equity indices, commodities, credit) based on views about macroeconomic regimes, monetary policy, fiscal policy, and geopolitics.
Details
- aliases: Macro
- category: macro
- child strategies: discretionary-macro, systematic-macro, fixed-income-macro, fx-macro
- investment thesis: Macroeconomic variables (growth, inflation, monetary policy, capital flows) drive cross-asset returns; superior forecasting and risk allocation can generate uncorrelated returns.
- edge source: Pattern recognition across cycles, central-bank reading, real-economy nowcasting, geopolitical analysis, and disciplined risk allocation.
- typical holding period: Days to 2 years; trades sized to thesis horizon
- drawdown profile: Tail-prone; idiosyncratic to manager. Long volatility profiles often have positive skew with negatively-skewed tail months.
- correlation to equities: 0.1
- correlation to bonds: 0.1
- liquidity profile: monthly
- instruments used: futures, FX forwards, FX options, swaps, government bonds, swaptions, credit indices
- asset classes: rates, fx, equities, commodities, credit
- primary risks: regime change, central bank pivots, geopolitical tail events, carry-trade reversals, thematic concentration
- key metrics: Sharpe ratio, Sortino ratio, max drawdown, skew, Calmar ratio, regime attribution
- notable practitioners: Stanley Druckenmiller, Paul Tudor Jones, Louis Bacon, Alan Howard, Chris Rokos
- exemplar funds: bridgewater, brevan-howard, rokos-capital, tudor-investment
- related terms: carry-trade, yield-curve, central-bank, duration, fx, convexity
- related strategies: managed-futures, fixed-income-relative-value
- academic foundations: Mundell-Fleming model, Taylor rule, Soros — Theory of Reflexivity