The latest Kepler Absolute Hedge report highlights the top performing macro funds in the liquid alternatives space in 2024, revealing that 2024 was a strong year for Absolute Return UCITS funds, with the AH Global Index returning 5.4 per cent, outperforming both cash and global fixed income.
The firm writes that indeed, all Strategy Indexes delivered a positive return and the AH Macro Index was up 3.3 per cent for the year.
The KLS Arete Macro Fund was the top performing Macro UCITS fund in 2024, as well as one of the best performing liquid alternatives funds, returning 19.3 per cent over the year. The fund’s performance also compares favourably to traditional asset classes such as, global bonds (+4.7 per cent) and global equities (+19.2 per cent), the firm says. Other strong performers in the macro peer group include MontLake Oriel – P/E FX Strategy and Brevan Howard Absolute Return Government Bond.
The KLS Arete Macro fund’s outperformance was driven by the managers ability to be nimble around core views and positions and perform well amidst market turbulence, the firm says. In particular, returns were driven by Arete capitalising on both positive markets (notably in April and September) and more challenging markets (such as in June, October, and November) across China and China-related assets.
Since its inception in April 2012, the Arete Macro strategy has annualised net return of 9.2 per cent, annualised volatility 7.6 per cent, and Sharpe ratio of 1.0. Over the strategy’s 12-year history, it has proven to be a strong diversifier to traditional asset classes, with 0.12 correlation to global equities and -0.08 correlation to global bonds.
Looking ahead to 2025, markets are expected to shift from speculative to macroeconomic factors, influenced by US policy changes, Europe’s political fragmentation, China’s gradual deleveraging, and Japan’s exit from ultra-low rates, the firm says. These forces, combined with policy uncertainty, trade tensions, and frequent economic cycle fluctuations, will likely increase market volatility and open new opportunities for macro hedge funds. While traditional growth trends might provide guidance for top-down strategies, abrupt market rotations and shifting correlations will require flexible, tactical approaches.
Alex Ellerby, CFA, Senior Research Analyst – Hedge Funds, Kepler Partners, says: “The macro funds universe produced a mixed set of results in 2024 but with several shining lights within the pack. As we move into 2025, the opportunity set looks incredibly rich as we see increasing dispersion at a global and also regional level between economies. Macro funds are therefore front-of-mind for investors, and we are seeing increased interest in the strategy, against the backdrop of a broader growing bullish stance on hedge funds amongst allocators.”
