Paper Title
Economic And Statistical Risk Factors Affecting The Returns Of Three Global Macro Hedge Fund Categories
Abstract
This paper examines three types of Global Macro Hedge Fund return and risk factors. The Discretionary Thematic Category is sensitive to credit spreads, industrial production, drawdown ratios related to magnitude and the duration of drawdown in that category. The Multi-Strategy Global Macro strategy returns are driven by the S&P 500, Run Up (momentum) and a ratio related to the magnitude of drawdown. The Global Macro Systematic Diversified category returns are driven by Run Up factors (momentum), 10 Year Treasury Rates, Standard Deviation of category returns and a ratio related to maximum drawdown. This evidence points to investors using prior statistics in a category over common risk statistics typically used in finance such as Beta or a Sharpe ratio. Run Up and Drawdown information is used by investors in Global Macro Hedge Funds to analyze risk and returns in these hedge fund categories.
Keywords: Hedge funds, Drawdown ratios, Run Up ratios, Global Macro, Investments, Economic Factors, Statistical Factors