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Alternative Market Briefing

Global macro’s underwhelming performance underscores current market stress

Monday, August 23, 2010

From Kirsten Bischoff, Opalesque New York:

With the closure announcements of two funds this week (Stanley Druckenmiller’s Duquesne will close completely and Paolo Pellegrini’s PSQR Capital will be returning outside assets), the global macro strategy has seemingly tumbled far from its place in the spotlight during 2009 when it was identified as the most stable, high-performing strategy.

“Global Macro has been the top performing hedge fund strategy since the inception of the Credit Suisse/Tremont Hedge Fund Index [now the Dow Jones Credit Suisse Hedge Fund Index] in 1994 with an annualized total return of 12.57% (as of January 31, 2009),” said a whitepaper the firm released in May 2009.

Credit Suisse took this closer look at global macro after the strategy was the only one to return positive performance in the five previous months (December 2008-April 2009), the months that marked the rockiest period for hedge funds during the global financial crisis - thus far.

Now throughout 2010, as the markets have grown increasingly unstable again, performance in global macro funds has pulled back (+4.88% YTD as of July). On Friday, Dow Jones Credit Suisse ......................

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