Systematic Global Macro

Research Affiliates

Chris Brightman, Shane Shepherd

Research

12 Pages

Research Affiliates examines how systematic global macro strategies use carry, momentum, and value signals across stocks, bonds, currencies, and commodities to generate diversifying returns. The paper argues these factor based approaches delivered stronger Sharpe ratios than traditional portfolios while remaining uncorrelated with conventional asset classes.

Key Takeaways

Higher Risk Adjusted Returns: The combined strategy produced an average 0.43 Sharpe ratio from 1989 to 2016 versus 0.41 for the S&P 500.
Diversification Benefits Improved: Adding 30% systematic global macro exposure lifted portfolio Sharpe ratios from 1.0 to 1.5 while reducing October 2008 losses from 11.0% to 5.8%.
Limited Correlation Profile: The strategy showed 0.00 correlation to the S&P 500 and only 0.28 correlation to the HFRI Global Macro Index.
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