Factors can be classified into two main categories: micro factors which are asset specific and macro factors which are related to macro events like the business cycle or changes in rates and credit availability. Hence, the type of hedge funds chosen by investors is bases on whether the manager focuses on micro or macro factors.
The issue is which factors are relevant for global macro investing. We are aware of the criticism of factor timing, so we have to be precise for what factors we are discussing. Global macro has the overarching theme that the manager is trying to identify global business cycles or growth recessions which spill-over to the behavior of specific asset classes. Along with business cycle are credit and financial cycles which impact asset classes around the globe differently. The growth/inflation mix impacts policy choice which feed back on asset classes. What makes global macro so difficult is the low predictive skill by managers at forecasting these macro factors.
The difficulty with forecasting macro factors calls for managers to stay diversified, follow market trends, and take high probability tilts to specific factor opportunities. The poor performance for global macro is a function of the high uncertainty associated with the major macro factors. There is no smart beta in global macro if the macro factor directions cannot be identified. Global macro returns will only improve if the degree of uncertainty concerning growth, inflation, and liquidity falls to levels that allow for bets to be identified and managed.
The relatively better performance with managed futures programs is based on the core focus toward momentum and diversification and not fundamental macro factors. Managed futures captures macro events through the movement in asset prices, yet if there are no string trends there will ne only limited opportunities.