Revealing Macro Momentum: A Systematic Global Macro Investing Strategy

Abstract

This thesis examines a systematic global macro investing strategy that utilizes a novel approach of investing called macro momentum. We find consistent abnormal returns after controlling for common asset pricing factors, global macro hedge fund indices, and a time-series momentum factor. Macro momentum generates returns that are significantly different from zero, and from other benchmarks. Our strategy displays a negative correlation to traditional strategies, and through a combination, we yield considerable diversification benefits as demonstrated by higher risk-adjusted returns and lower maximum drawdowns.