Global Macro Hedge Funds Fall, Continue to Draw Pension Fund Investments

January 22, 2012 James Heinsman Hedge Fund Industry

As markets flounder and Europe’s debt crisis festers, macro hedge funds are now facing some of the worst losses in recent history.

Dow Jones Credit Suisse Core Hedge Fund tracks “Global Macro” trading strategy, which fell 10% last year; more than the entire index. In the meantime, the Standard & Poor’s 500-stock Index flatlined.

“A decline of this amount is very rare, and just goes to show how difficult the environment was last year,” said Dutch bank ING’s Chris Turner.

The Index tracks seven strategies. The worst performers in 2011 included global macro funds, though “event-driven” strategies did even more poorly. The best performers were “fixed-income arbitrage,” which fell 1.3%, and “emerging markets” which fell 2.4%.

Despite hardship in the industry, investors have yet to turn away from hedge funds. Pension funds were an especially lucrative source during last year’s third quarter, with inflows into the hedge fund industry reaching $8.7 billion.

“We believe that the pension move into hedge funds, which has been gradually picking up the last four years, continues in 2012,” said Philip Vasan of Credit Suisse Group. He added that hedge funds and their investors still favor “global macro” strategies for 2012.

The Core Hedge Fund Index is a number of indexes based on more than 8,000 hedge funds. Dow Jones & Co., The Wall Street Journal publisher, owns a 10% stake in the index, while CME Group Inc. owns the remaining 90%.

Chris Turner, Credit Suisse Core Hedge Fund, Dow Jones Index, Hedge Fund Industry, Macro Strategy Hedge Funds,