Among the most compelling long-term performers is David Gerstenhaber’s Argonaut Global Macro strategy, which has generated annualized returns of more than 11% since its launch in July 2000, with gains having been virtually uncorrelated to equities. He credits his success to intensive assessment of “macroeconomic data, central-bank policies and government and market data that’s maintained in a real-time global proprietary economic database.”

When his analysis doesn’t generate a strong conviction about interest rates or stock market trends, he will look at more targeted exposure, such as energy or metals. When sufficient opportunities can’t be found, he has no problem building up cash.

However, 2011 revealed that even seasoned managers such as Gerstenhaber can get slapped around. That year’s volatility was highlighted by intensive government intervention in financial markets around the world, the threat of the euro’s collapse and dizzying gyrations of “risk on, risk off” trades, all of which screwed up the timing of many of the manager’s investments. The result: The strategy lost 13.3%, its only calendar-year loss.

While Gerstenhaber made up most of the loss in 2013, his profitability over the past several years has been more uncertain than it was during the strategy’s first decade of operations, illustrating the challenges that have confronted most macro managers.

In response, Gerstenhaber’s management has become more tactical. When trend signals start to get fuzzy, he is now inclined to take profits and reduce risk sooner than he had been. “With market trends likely to be more short-lived than they were pre-2008, when trends lasted 12 to 18 months, we now are more nimble in getting into and out of investment themes,” he says.

Expecting greater disconnects among asset classes and growing volatility for the rest of the year, Gerstenhaber sees improving opportunities in global macro. And industry data through the first quarter corroborated this sentiment, with global macro funds having generated returns of 3.79%.



Continued Appeal
Despite extended stock and bond trends that should’ve been a boon for macro managers, five-year annualized returns of the BarclayHedge Global Macro Index through March were just 3.4%, while the S&P 500’s gains were nearly 14.5% a year. Nevertheless, strategy assets have grown 240% since 2008 and now exceed $200 billion.

Why does the strategy continue to attract new assets? The appeal of the strategy may lie in its steady track record, as stock and bond performance becomes more uncertain, and its lack of correlation to the equity market.