Global macro versus managed futures - Which is better?

An interesting paper, Global Macro and Managed Futures Hedge Fund Strategies: Portfolio Differentiators?, compares three major hedge fund strategies, global macro, managed futures, and long/short equity. All three generate alpha, but the alpha is different for each strategy when we look at returns through different factor lens.

First, the researchers find that the last decade plus, the post-GFC period, is very different than the pre-GFC period. There is no alpha for long/short equity, limited alpha for managed futures, and a strong decline for global macro.

Second, managed futures loses all its alpha when it is analyzed through an 11-factor model. Many of these factors are asset class trend so this is not surprising. The alpha decay for global macro is less given the different objective function away from trend. 

Third, the diversification benefit from hedge funds will differ when looked at through a drawdown analysis. Managed futures will best reduce the downside standard deviation and provide the best Sortino ratio, but it will come at some cost in excess return.  The researchers make a strong case for global macro, but if you are risk averse, managed futures still holds a place in the portfolio.