Assessing Alpha in Macro Strategies

AlphaSimplex

Research

11 Pages

AlphaSimplex examines whether macro managers add value beyond plain equity and trend exposure. It argues some managers may still generate alpha, but survivorship and fee dispersion make the category look cleaner than it really is.

Key Takeaways

Index Exposure Masks Skill: Global macro is the only hedge fund category with high correlation to both equity markets and trend following since 2000.
Survivorship Bias Is Real: From 2010 to 2015, the sample included 194 live funds and 429 dead funds, with weaker alpha more common among dead funds
Higher Fees Prove Little: From 2016 to 2025, higher fee funds showed higher average alpha, but the spread of outcomes was very wide.
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