Global macro matters: smarter macro hedge fund allocations

Explore the Hidden Strength of Macro Hedge Funds in Today’s Volatile World

Macroeconomic volatility has increased over the last few years as inflation, higher interest rates, global dispersion across policy environments and geopolitical risks have reentered the market. This has led many investors to consider their hedge fund portfolios, and specifically their allocation to the global macro investment style.

Global macro strategies have long been a cornerstone of the hedge fund industry, tracing their origins back to 1980s and 1990s. Despite numerous shifts in market environments and significant evolution in competitive dynamics, we believe the highly diversified role of global macro funds in investors’ portfolios remains unchanged.¹ These strategies have consistently proven their value in navigating complex markets, often succeeding when other strategies struggle, thus offering benefits to portfolio construction. Notably, global macro funds outperformed dramatically in 2008, when many hedge funds failed to provide the expected level of portfolio diversification, and again in 2022, when historical correlation between equity and fixed income broke down.²

Among hedge fund strategies, global macro stands out for its scope and flexibility.

This flexibility allows them to capitalize on dislocations across geographies, asset classes and instruments. Additionally, macro strategies generally exhibit no structural factor biases, allowing them to generate a more idiosyncratic return stream over a market cycle.

Allocating to macro hedge funds in a hedge fund portfolio

Hedge fund investors generally aim to construct well-diversified portfolios that not only potentially achieve strong returns but also aim to enhance performance consistency and resilience. In Figure 1, we present the long-term Sharpe ratios of the HFRI fund-weighted index³ alongside its four main subcomponents: HFRI macro, HFRI equity hedge, HFRI event-driven and HFRI relative value. The data illustrates that while HFRI macro has delivered competitive risk-adjusted returns, its performance has lagged some of the other strategies.

Figure 1: Long-term Sharpe ratios of the HFRI fund-weighted index and subcomponents
Sharpe ratios by component (fund-weighted): 2000-2004

While the Sharpe ratio is a useful metric for evaluating hedge fund performance, it only tells part of the story for portfolio constructors. A more nuanced view reveals that macro funds can be additive to other hedge fund categories because of three unique characteristics of the HFRI macro category: Low correlation with other hedge fund strategies, positive skewness and near-zero excess kurtosis, and mean-reverting behavior.⁴

Firstly, HFRI macro shows the lowest correlations with other HFRI categories, indicating that global macro funds generally move independently of the broader hedge fund returns. As illustrated in the correlation matrices in Figure 2 and Figure 3, this trend is evident both over the entire period and especially during periods of drawdowns. During these times, correlations between global macro and other strategies fall to near-zero levels. This characteristic is particularly valuable for loss-averse investors, as the diversification benefit may help stabilize the overall portfolio, potentially enhancing its resilience to market downturns.

Figure 2: Correlations across HFRI components 2000-2024

Figure 3: Drawdown correlations across HFRI components 2000-2024

Secondly, unlike most hedge fund categories that show negatively skewed distributions and more extreme values (both high and low), global macro funds display defensiveness with positive skewness and fewer extremes.⁵ This trait can be particularly appealing to risk-averse investors because, unlike negative skewness — which indicates frequent smaller gains and rare but significant losses — positive skewness suggests a higher frequency of smaller losses but more rare larger gains.

Figure 4: HFRI kurtosis and skewness

Finally, we found that the macro style is mean-reverting, unlike the average hedge fund style. This is supported by Figure 5, which shows auto-regressions on monthly returns, suggesting that unlike most other hedge fund strategies, macro hedge funds typically experience positive performance in the 1-2 months following periods of negative returns.

Figure 5: Auto-regression coefficients on monthly returns

The differentiated characteristics of macro funds provide the basis for an exploration of their benefit in broader hedge fund portfolios. Below we construct three simple portfolios where we alter the weight to the HFRI macro component, maintaining equal allocations across the other three styles equal in the residual allocation.⁶ As the analysis in Figure 6-8 show, a higher allocation to HFRI macro yields a portfolio with higher Sharpe ratios, shallower drawdowns, and more attractive distributional properties.⁷

Figure 6: Hedge fund portfolio cumulative returns

Figure 7: Maximum drawdown of total performance

Figure 8: Histogram and distribution of returns by macro weight

Macro Strategies in Portfolio Context

Bringing it all together, macro strategies offer distinct return characteristics that can serve as valuable diversifiers in a portfolio. Today’s leading macro funds increasingly integrate traditional and alternative data sources, harness advanced quantitative tools, and leverage specialized teams with deep market expertise—all within disciplined risk allocation frameworks. This evolution has elevated the importance of manager selection, as the right combination of expertise, infrastructure, and adaptability can make a critical difference in performance.

To explore our framework for hedge fund selection and better understand how macro strategies can complement broader portfolio objectives, download our full research below.

Diversification and asset allocation may not fully protect you from market risk.

¹ Any opinions or forecasts represent an assessment of the market environment at a specific time and is not a guarantee of future results. This information should not be relied upon by the reader as research, investment advice or a recommendation.

² Based on HFRI Macro Index data for 2008 and 2022.

³ We run our analysis on the fund-weighted rather than asset-weighted indices to ensure broader representative of manager returns and reduce impact of skewed assets allocated to a smaller subset of managers

⁴ Positive skewness, also known as right skewness, occurs when the tail on the right side of the distribution is longer or fatter than the left side. This means that the majority of the data points are concentrated on the left, with a few larger values stretching out to the right. In a positively skewed distribution, the mean is typically greater than the median. Near-zero excess kurtosis indicates that a distribution has a kurtosis value close to that of a normal distribution. Kurtosis measures the “tailedness” of a distribution, or how much of the data is in the tails compared to the center.

⁵ Occurrence of extremes is assessed by kurtosis which, as noted above, measures the “tailedness” of a distribution, or how much of the data is in the tails compared to the center. Most HFRI categories show a leptokurtic return distribution, which is a type of probability distribution that has a higher peak and fatter tails compared to a normal distribution. HFRI macro has near-zero kurtosis, which means there is less extreme tail risk.

⁶ Our baseline assumption assigns a 20% weight to the macro component, closely aligning with the historical average HFR strategy weight of 17% to macro funds over the past three years. In the baseline allocation portfolio, the remaining 80% is evenly distributed, with 26.7% allocated to each of the HFRI equity hedge, HFRI event driven and HFRI relative value indices. Adjustments to these components across the other portfolios are made proportionately in response to changes in the HFRI macro weight. The portfolios are all scaled to the risk level of the baseline portfolio for improved comparability.

⁷ The 20% allocation was selected as a representative midpoint, broadly in line with industry averages for macro exposure based on estimates from sources such as HFRI. The 5% and 35% allocations are included to illustrate a reasonable scenario range, reflecting more conservative and more aggressive positioning, respectively. These are not meant to prescribe optimal allocations, but rather to demonstrate how varying exposure levels can impact portfolio outcomes.

Risk Warnings

Capital at risk. The value of investments and the income from them can fall as well as rise and are not guaranteed. Investors may not get back the amount originally invested.

There is no guarantee that a positive investment outcome will be achieved.

Past performance is not a reliable indicator of current or future results and should not be the sole factor of consideration when selecting a product or strategy.

Changes in the rates of exchange between currencies may cause the value of investments to diminish or increase. Fluctuation may be particularly marked in the case of a higher volatility fund and the value of an investment may fall suddenly and substantially. Levels and basis of taxation may change from time to time and depend on personal individual circumstance.

The Portable alpha strategies may invest, both long and short, in publicly traded and privately offered equity securities, including preferred and common stocks, and equity-related instruments, including convertible securities and warrants. These investments are highly speculative and carry a substantial risk of loss of principal.

The value of equities and equity-related securities can be affected by daily stock market movements. Other influential factors include political, economic news, company earnings and significant corporate events. Investments in Hedge Funds involve a high degree of risk and are only suitable for investors who fully understand and are willing to assume the risks involved. The regulatory environment for hedge funds is evolving and changes therein may adversely affect the ability of hedge funds to obtain leverage they might otherwise obtain or to pursue their investment strategies. BlackRock Investment Management (UK) Limited is a signatory to the Standards Board for Alternative Investments (SBAI).

Diversification does not assure a profit and may not protect against loss of principal. Diversification among investment options and asset classes may help to reduce overall volatility.

Important Information

This material is for distribution to Professional Clients (as defined by the Financial Conduct Authority or MiFID Rules) only and should not be relied upon by any other persons.

This document is marketing material.

 This material is provided for informational or educational purposes only. Nothing on this website, directly or indirectly, represents a forecast, research, or that BlackRock will provide or is providing BlackRock products or services to the recipient, or is making available, inviting, or offering for subscription or purchase, or invitation to subscribe for or purchase, or sale, of any BlackRock fund, or interests therein. This material neither constitutes an offer to enter into an investment agreement with the recipient of this document, nor is it an invitation to respond to it by making an offer to enter into an investment agreement.

The distribution of the information contained herein may be restricted by law and any person who accesses it is required to comply with any such restrictions. By reading this information you confirm that you are aware of the laws in your own jurisdiction regarding the provision and sale of funds and related financial services or products, and you warrant and represent that you will not pass on or utilize the information contained herein in a manner that could constitute a breach of such laws by BlackRock, its affiliates or any other person.

The opinions presented are those of speakers as of the date of the full report and may change as subsequent conditions vary. Individual portfolio managers for BlackRock may have opinions and/or made investment decisions that may, in certain respects, not be consistent with the information contained in this presentation.

The information contained herein is for information purposes only. It is not intended for and should not be distributed to, or relied upon by, members of the public. The information contained in this website, may contain statements that are not purely historical in nature but are “forward-looking statements”. These include, amongst other things, projections, forecasts or estimates of income. These forward-looking statements are based upon certain assumptions, some of which are described in other relevant documents or materials. If you do not understand the contents of this document, you should consult an authorized financial adviser.

In the U.S., this material is for Institutional use only – not for public distribution.

In Canada, this material is intended for permitted clients as defined under Canadian securities law, is for educational purposes only, does not constitute investment advice and should not be construed as a solicitation or offering of units of any fund or other security in any jurisdiction.

This material is for distribution to Professional Clients (as defined by the Financial Conduct Authority or MiFID Rules) only and should not be relied upon by any other persons.

In the UK and Non-European Economic Area (EEA) countries: this is Issued by BlackRock Investment Management (UK) Limited, authorised and regulated by the Financial Conduct Authority. Registered office: 12 Throgmorton Avenue, London, EC2N 2DL. Tel: + 44 (0)20 7743 3000. Registered in England and Wales No. 02020394. For your protection telephone calls are usually recorded. Please refer to the Financial Conduct Authority website for a list of authorised activities conducted by BlackRock.

In the European Economic Area (EEA): this is Issued by BlackRock (Netherlands) B.V. is authorised and regulated by the Netherlands Authority for the Financial Markets. Registered office Amstelplein 1, 1096 HA, Amsterdam, Tel: 020 – 549 5200, Tel: 31-20-549-5200. Trade Register No. 17068311 For your protection telephone calls are usually recorded.

For Qualified Investors in Switzerland: 

This document shall be exclusively made available to, and directed at, qualified investors as defined in Article 10 (3) of the CISA of 23 June 2006, as amended, at the exclusion of qualified investors with an opting-out pursuant to Art. 5 (1) of the Swiss Federal Act on Financial Services ("FinSA"). For information on art. 8 / 9 Financial Services Act (FinSA) and on your client segmentation under art. 4 FinSA, please see the following website: https://www.blackrock.com/ch/individual/en/compliance/financial-services-act.

In DIFC, the information contained in this document is intended strictly for Professional Clients as defined under the Dubai Financial Services Authority (“DFSA”) Conduct of Business Rules. The information contained in this document, does not constitute and should not be construed as an offer of, invitation or proposal to make an offer for, recommendation to apply for or an opinion or guidance on a financial product, service and/or strategy. Whilst great care has been taken to ensure that the information contained in this document is accurate, no responsibility can be accepted for any errors, mistakes or omissions or for any action taken in reliance thereon. You may only reproduce, circulate and use this document (or any part of it) with the consent of BlackRock. The information contained in this document is for information purposes only. It is not intended for and should not be distributed to, or relied upon by, members of the public. The information contained in this document, may contain statements that are not purely historical in nature but are “forward-looking statements”. These include, amongst other things, projections, forecasts or estimates of income. These forward-looking statements are based upon certain assumptions, some of which are described in other relevant documents or materials. If you do not understand the contents of this document, you should consult an authorised financial adviser. Blackrock Advisors (UK) Limited -Dubai Branch is a DIFC Foreign Recognised Company registered with the DIFC Registrar of Companies (DIFC Registered Number 546), with its office at Unit L15 - 01A, ICD Brookfield Place, Dubai International Financial Centre, PO Box 506661, Dubai, UAE, and is regulated by the DFSA to engage in the regulated activities of ‘Advising on Financial Products’ and ‘Arranging Deals in Investments’ in or from the DIFC, both of which are limited to units in a collective investment fund (DFSA Reference Number F000738).

In South Africa, please be advised that BlackRock Investment Management (UK) Limited is an authorised Financial Services provider with the South African Financial Services Conduct Authority, FSP No. 43288.

In Hong Kong, this material is issued by BlackRock Asset Management North Asia Limited and has not been reviewed by the Securities and Futures Commission of Hong Kong. This material is for distribution to "Professional Investors" (as defined in the Securities and Futures Ordinance (Cap.571 of the laws of Hong Kong) and any rules made under that ordinance.) and should not be relied upon by any other persons or redistributed to retail clients in Hong Kong.

In Singapore, this is issued by BlackRock (Singapore) Limited (Co. registration no. 200010143N) for use with institutional investors as defined in Section 4A of the Securities and Futures Act, Chapter 289 of Singapore. This advertisement or publication has not been reviewed by the Monetary Authority of Singapore.

In Korea, this information is issued by BlackRock Investment (Korea) Limited. This material is for distribution to the Qualified Professional Investors (as defined in the Financial Investment Services and Capital Market Act and its sub-regulations) and for information or educational purposes only, and does not constitute investment advice or an offer or solicitation to purchase or sells in any securities or any investment strategies.

In Taiwan, independently operated by BlackRock Investment Management (Taiwan) Limited. Address: 28F., No. 100, Songren Rd., Xinyi Dist., Taipei City 110, Taiwan. Tel: (02)23261600.

In China, this material may not be distributed to individuals resident in the People's Republic of China ("PRC", for such purposes, not applicable to Hong Kong, Macau and Taiwan) or entities registered in the PRC unless such parties have received all the required PRC government approvals to participate in any investment or receive any investment advisory or investment management services.

In Australia, Issued by BlackRock Investment Management (Australia) Limited ABN 13 006 165 975, AFSL 230 523 (BIMAL) for the exclusive use of the recipient, which warrants by receipt of this material that it is a wholesale client as defined under the Australian Corporations Act 2001 (Cth).

This material provides general information only and does not take into account your individual objectives, financial situation, needs or circumstances. Before making any investment decision, you should assess whether the material is appropriate for you and obtain financial advice tailored to you having regard to your individual objectives, financial situation, needs and circumstances. Refer to BIMAL’s Financial Services Guide on its website for more information. This material is not a financial product recommendation or an offer or solicitation with respect to the purchase or sale of any financial product in any jurisdiction. Information provided is for illustrative and informational purposes and is subject to change. It has not been approved by any regulator.

This material is not intended for distribution to, or use by, any person or entity in any jurisdiction or country where such distribution or use would be contrary to local law or regulation. BIMAL is a part of the global BlackRock Group which comprises of financial product issuers and investment managers around the world. BIMAL is the issuer of financial products and acts as an investment manager in Australia.

BIMAL, its officers, employees and agents believe that the information in this material and the sources on which it is based (which may be sourced from third parties) are correct as at the date of publication. While every care has been taken in the preparation of this material, no warranty of accuracy or reliability is given and no responsibility for the information is accepted by BIMAL, its officers, employees or agents. Except where contrary to law, BIMAL excludes all liability for this information. No part of this material may be reproduced or distributed in any manner without the prior written permission of BIMAL.

In Latin America, for institutional investors and financial intermediaries only (not for public distribution). This material is for educational purposes only and does not constitute investment advice or an offer or solicitation to sell or a solicitation of an offer to buy any shares of any fund or security and it is your responsibility to inform yourself of, and to observe, all applicable laws and regulations of your relevant jurisdiction. If any funds are mentioned or inferred in this material, such funds may not been registered with the securities regulators of Argentina, Brazil, Chile, Colombia, Mexico, Panama, Peru, Uruguay or any other securities regulator in any Latin American country and thus, may not be publicly offered in any such countries. The securities regulators of any country within Latin America have not confirmed the accuracy of any information contained herein. No information discussed herein can be provided to the general public in Latin America. The contents of this material are strictly confidential and must not be passed to any third party.

In Argentina, only for use with Qualified Investors under the definition as set by the Comisión Nacional de Valores (CNV).

In Brazil, this private offer does not constitute a public offer, and is not registered with the Brazilian Securities and Exchange Commission, for use only with professional investors as such term is defined by the Comissão de Valores Mobiliários.

In Chile, the sale of each fund not registered with the CMF is subject to General Rule No. 336 issued by the SVS (now the CMF). The subject matter of this sale may include securities not registered with the CMF; therefore, such securities are not subject to the supervision of the CMF. Since the securities are not registered in Chile, there is no obligation of the issuer to make publicly available information about the securities in Chile. The securities shall not be subject to public offering in Chile unless registered with the relevant registry of the CMF.

In Colombia, the sale of each fund discussed herein, if any, is addressed to less than one hundred specifically identified investors, and such fund may not be promoted or marketed in Colombia or to Colombian residents unless such promotion and marketing is made in compliance with Decree 2555 of 2010 and other applicable rules and regulations related to the promotion of foreign financial and/or securities related products or services in Colombia.

IN MEXICO, FOR INSTITUTIONAL AND QUALIFIED INVESTORS USE ONLY. INVESTING INVOLVES RISK, INCLUDING POSSIBLE LOSS OF PRINCIPAL. THIS MATERIAL IS PROVIDED FOR EDUCATIONAL AND INFORMATIONAL PURPOSES ONLY AND DOES NOT CONSTITUTE AN OFFER OR SOLICITATION TO SELL OR A SOLICITATION OF AN OFFER TO BUY ANY SHARES OF ANY FUND OR SECURITY. This information does not consider the investment objectives, risk tolerance or the financial circumstances of any specific investor. This information does not replace the obligation of financial advisor to apply his/her best judgment in making investment decisions or investment recommendations. It is your responsibility to inform yourself of, and to observe, all applicable laws and regulations of Mexico. If any funds, securities or investment strategies are mentioned or inferred in this material, such funds, securities or strategies have not been registered with the Mexican National Banking and Securities Commission (Comisión Nacional Bancaria y de Valores, the “CNBV”) and thus, may not be publicly offered in Mexico. The CNBV has not confirmed the accuracy of any information contained herein. The provision of investment management and investment advisory services (“Investment Services”) is a regulated activity in Mexico, subject to strict rules, and performed under the supervision of the CNBV. These materials are shared for information purposes only, do not constitute investment advice, and are being shared in the understanding that the addressee is an Institutional or Qualified investor as defined under Mexican Securities (Ley del Mercado de Valores). Each potential investor shall make its own investment decision based on their own analysis of the available information. Please note that by receiving these materials, it shall be construed as a representation by the receiver that it is an Institutional or Qualified investor as defined under Mexican law. BlackRock México Operadora, S.A. de C.V., Sociedad Operadora de Fondos de Inversión (“BlackRock México Operadora”) is a Mexican subsidiary of BlackRock, Inc., authorized by the CNBV as a Mutual Fund Manager (Operadora de Fondos), and as such, authorized to manage Mexican mutual funds, ETFs and provide Investment Advisory Services. For more information on the Investment Services offered by BlackRock Mexico, please review our Investment Services Guide available in www.blackrock.com/mx. This material represents an assessment at a specific time and its information should not be relied upon by the you as research or investment advice regarding the funds, any security or investment strategy in particular. Reliance upon information in this material is at your sole discretion. BlackRock México is not authorized to receive deposits, carry out intermediation activities, or act as a broker dealer, or bank in Mexico. For more information on BlackRock México, please visit: www.blackRock.com/mx. BlackRock receives revenue in the form of advisory fees for our advisory services and management fees for our mutual funds, exchange traded funds and collective investment trusts. Any modification, change, distribution or inadequate use of information of this document is not responsibility of BlackRock or any of its affiliates. Pursuant to the Mexican Data Privacy Law (Ley Federal de Protección de Datos Personales en Posesión de Particulares), to register your personal data you must confirm that you have read and understood the Privacy Notice of BlackRock México Operadora. For the full disclosure, please visit www.blackRock.com/mx and accept that your personal information will be managed according with the terms and conditions set forth therein.

In Peru, this private offer does not constitute a public offer, and is not registered with the Securities Market Public Registry of the Peruvian Securities Market Commission, for use only with institutional investors as such term is defined by the Superintendencia de Banca, Seguros y AFP.

In Uruguay, the securities are not and will not be registered with the Central Bank of Uruguay. The Securities are not and will not be offered publicly in or from Uruguay and are not and will not be traded on any Uruguayan stock exchange. This offer has not been and will not be announced to the public and offering materials will not be made available to the general public except in circumstances which do not constitute a public offering of securities in Uruguay, in compliance with the requirements of the Uruguayan Securities Market Law (Law Nº 18.627 and Decree 322/011).

For investors in Central America, these securities have not been registered before the Securities Superintendence of the Republic of Panama, nor did the offer, sale or their trading procedures. The registration exemption has made according to numeral 3 of Article 129 of the Consolidated Text containing of the Decree-Law No. 1 of July 8, 1999 (institutional investors). Consequently, the tax treatment set forth in Articles 334 to 336 of the Unified Text containing Decree-Law No. 1 of July 8, 1999, does not apply to them. These securities are not under the supervision of the Securities Superintendence of the Republic of Panama. The information contained herein does not describe any product that is supervised or regulated by the National Banking and Insurance Commission (CNBS) in Honduras. Therefore any investment described herein is done at the investor’s own risk. If any recipient of this documentation receives this document in El Salvador, such recipient acknowledges that the same has been delivered upon their request and instructions, and on a private placement basis. In Guatemala, this communication and any accompanying information (the “Materials”) are intended solely for informational purposes and do not constitute (and should not be interpreted to constitute) the offering, selling, or conducting of business with respect to such securities, products or services in the jurisdiction of the addressee (this “Jurisdiction”), or the conducting of any brokerage, banking or other similarly regulated activities (“Financial Activities”) in the Jurisdiction. Neither BlackRock, nor the securities, products and services described herein, are registered (or intended to be registered) in the Jurisdiction. Furthermore, neither BlackRock, nor the securities, products, services or activities described herein, are regulated or supervised by any governmental or similar authority in the Jurisdiction. The Materials are private, confidential and are sent by BlackRock only for the exclusive use of the addressee. The Materials must not be publicly distributed and any use of the Materials by anyone other than the addressee is not authorized. The addressee is required to comply with all applicable laws in the Jurisdiction, including, without limitation, tax laws and exchange control regulations, if any.

The information provided here is neither tax nor legal advice. Investors should speak to their tax professional for specific information regarding their tax situation. Investment involves risk including possible loss of principal. International investing involves risks, including risks related to foreign currency, limited liquidity, less government regulation, and the possibility of substantial volatility due to adverse political, economic or other developments. These risks are often heightened for investments in emerging/developing markets or smaller capital markets.

Any research in this document has been procured and may have been acted on by BlackRock for its own purpose. The results of such research are being made available only incidentally. The views expressed do not constitute investment or any other advice and are subject to change. They do not necessarily reflect the views of any company in the BlackRock Group or any part thereof and no assurances are made as to their accuracy. This document is for information purposes only and does not constitute an offer or invitation to anyone to invest in any BlackRock funds and has not been prepared in connection with any such offer.

© 2025 BlackRock, Inc. All rights reserved. BlackRock® is a registered trademark of BlackRock, Inc., or its subsidiaries in the United States and elsewhere. All other trademarks are those of their respective owners.