Fundamental Trends and Dislocated Markets: An Integrated Approach to Global Macro Investing
April 16, 2019
Topics - Global Macro Alternative Investing Portfolio Construction
We describe two approaches to global macro investing: a systematic strategy focused on identifying fundamental trends and an opportunistic strategy capitalizing on extreme dislocations between prices and fundamentals. We explore the potential benefits of combining these approaches into a single integrated macro strategy. We present evidence that this integrated strategy may offer attractive risk-adjusted returns that are consistent across economic environments and are diversifying to traditional asset classes. Finally, we show that these simulated strategy returns are diversifying to other alternative investments, including both the universe of global macro managers and market-neutral multi-asset style premia portfolios.
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This material is not research and should not be treated as research. This paper does not represent valuation judgments with respect to any financial instrument, issuer, security or sector that may be described or referenced herein and does not represent a formal or official view of AQR. The views expressed reflect the current views as of the date hereof and neither the author nor AQR undertakes to advise you of any changes in the views expressed herein.
The information contained herein is only as current as of the date indicated, and may be superseded by subsequent market events or for other reasons. Charts and graphs provided herein are for illustrative purposes only. The information in this presentation has been developed internally and/or obtained from sources believed to be reliable; however, neither AQR nor the author guarantees the accuracy, adequacy or completeness of such information. Nothing contained herein constitutes investment, legal, tax or other advice nor is it to be relied on in making an investment or other decision. There can be no assurance that an investment strategy will be successful. Historic market trends are not reliable indicators of actual future market behavior or future performance of any particular investment which may differ materially, and should not be relied upon as such.
The information in this paper may contain projections or other forward-looking statements regarding future events, targets, forecasts or expectations regarding the strategies described herein, and is only current as of the date indicated. There is no assurance that such events or targets will be achieved, and may be significantly different from that shown here. The information in this document, including statements concerning financial market trends, is based on current market conditions, which will fluctuate and may be superseded by subsequent market events or for other reasons.