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Alternative Market Briefing

Global macro quant hedge fund MQS returns +4.05% in June (+7.8% YTD)

Thursday, July 14, 2011

From Kirsten Bischoff, Opalesque New York:

From being last year’s most talked about strategy (especially after it was determined to be the best performing strategy over hedge fund history), global macro funds this year have struggled. BarclayHedge Global Macro Index reported losses of -1.57% (est) in June dragging YTD performance down into the negatives at -1.55%. Much of these losses have been attributed to the lack of any significant trends in the global markets, and constant shakeups from the Japan earthquake/tsunami to the Greek crisis and larger European sovereign debt worries, to US state government closures.

But global macro has still managed to hold investors’ interest, especially as its long-term benefits have been proven out over the years. Just this week a research report from Preqin looks at continued investor interest in global macro due to geo-political events, inflation and interest changes as well as currency movements – which over time can be an environment that benefits global macro approaches to investing. The firm says global macro is (along with long/short equities) the most popular strategies to allocate to in the coming year. Hedge fund investors such as $200m FoHF Matrix Alternative Asset Management and $22m Barrett Capital Management are currently searching for macro managers.

However, Opalesque has learned that New York-based, quantitative macro firm MQS Management has returned......................

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