The new Neuberger Berman Hedge Fund Perspectives 2015 research piece provides some useful insights on hedge funds. There is a strong view that global macro may be a useful strategy even after disappointment over the last few years. The hedge fund market has seen the ascent of trend-following CTA's over the last year and it may be time for the trading and asset class rotation skills of global macro. There were two graphs that piqued by interest.
The first shows the performance of global macro during periods of Fed tightening. Global macro will do better both on an absolute and risk-adjusted basis in rate rising environment. If the Fed normalization plan is coming, global macro may be able to effectively exploit fixed income opportunities.
The second graph shows the performance of hedge fund strategies when the VIX volatility index is rising and falling. Both global macro and CTA's have similar performance in each environment. Performance will be positive on average. Other hedge strategies will do markedly better in a declining risk environment and significantly worse in increasing risk environments. If you believe that Fed normalization will be associated with higher market volatility from delevering and less risk-taking in assets market, global macro and CTA's may prove to be a safe environment
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