Macro Strategy report | February 2021 Overview Strategy vs benchmarks Top 10 league tables Billion-dollar club league tables Emerging manager league tables Investor flows and sentiment Key trend analysis: Inflation a looming threat for macro managers All data as of 26 March 2021 Macro managers to the fore as inflation concerns weigh HFM’s Macro Composite returned to positive territory in February, with a 1.6% gain. But having outperformed Macro performance tracker | YTD 2021 vs total 2020 the wider hedge fund industry in 2020, the index trails 18% the HFM Composite year-to-date, 0.9% to 4.1%, due 16% largely to strong returns among equity funds. 14% 12% Inflation watch 10% Several brand names have started the year strongly, 8% including funds from Caxton Associates and SPX 6% Capital, and are well placed going forward. Many 4% investors are now looking to larger macro managers – 2% 0.9% 1.5% firms with expertise in building portfolios around 0 13.4% 12.2% 16.3% 4.1% interest rate trends and inflationary impact – to help 2020 total YTD through Feb-21 them navigate an environment where inflation is fast becoming the primary concern of central banks and HFM Macro Composite HFM Global Composite S&P500 politicians. Lenience on inflation may be part of the Biden Administration’s monetary policy, but it is also premised on the unproven conviction that any US recovery will necessarily lead the global recovery. Macro flows tracker | YTD 2021 vs total 2020 And investors' concerns are continuing to translate into macro commitments. Macro funds saw inflows of 10 $4.6bn across the first two months of 2021. This 0 $15.2bn followed a similarly positive end to 2020, where -10 -$22.4bn -$51bn $4.6bn November and December saw net flows of $10.0bn to macro funds, accounting for almost a third of all hedge -20 n b fund strategy allocations. Overall, hedge funds have $ -30 seen net flows of $15.2bn in 2021 through February. -40 -50 OVERVIEW -60 A robust start to 2021 for macro funds, fuelled 2020 total YTD through Feb-21 by investor expectations of enduring global price dislocations from lingering lockdowns, Macro funds All hedge funds vaccine rollout and commodity price volatility. 01 Macro | performance Access HFM A mixed start to the year sees macro managers fall behind the wider industry on a 3-year annualised basis. Performance data HFM Macro Composite vs benchmarks | past 12 months and rolling 3yr annualised Performance | past 12 months return (%) Performance | rolling 3yr annualised return (%) HFM Macro Composite HFM Global Composite S&P 500 HFM Macro Composite HFM Global Composite S&P 500 30 13 12 25 ) 11 % 20 ( 10 n r ) u t % 15 9 ( e r n r d 8 u 10 e t s e i l r 7 a d 5 u n n 6 u n o a p 0 r 5 y m 3 o 4 g C -5 n i l l 3 o -10 R 2 -15 1 0 0 0 0 0 0 0 0 0 0 0 1 * 0 0 0 0 0 0 0 0 0 0 1 * 2 2 2 2 2 2 2 2 2 2 2 2 1 2 2 2 2 2 2 2 2 2 2 2 1 - - - - - l- - - - - - - -2 - - - - l- - - - - - - -2 b r r y n u g t v c n b r r y n u g t v c n b e a p a u J u c o e Ja e a p a u J u c o e Ja e F M A M J A Sep O N D F M A M J A Sep O N D F Benchmark Feb-21* Jan-21 Dec-20 2021 YTD* 2020 2019 12-month* 3yr ann.* HFM Macro Composite 1.6 -0.7 3.0 0.9 13.4 7.2 14.1 6.6 HFM Global Composite 2.9 1.1 3.5 4.1 12.2 9.8 18.8 7.4 S&P500 2.6 -1.1 3.7 1.5 16.3 28.9 29.0 12.0 Source: HFM data. *Data from funds to report last month's performance to HFM at the time of publication. Top 10 macro funds Top 10 macro funds | past 12 months and past month Fund Firm Past 12 months % Feb %* 1 Crescat Global Macro Fund LP Crescat Capital LLC 88.2 -0.7 2 MLM Macro - Peak Partners, L.P. Mount Lucas Management LP 76.8 10.2 3 Bovell Global Macro Fund SP USD Bovell Global Macro 73.0 6.8 4 Gemsstock Fund Gemsstock Ltd 56.1 9.2 5 Caxton Global Investments, Ltd. Caxton Associates 41.4 3.9 6 Bodhi Tree Tactical Allocation Fund, LP Bodhi Tree Asset Management, LLC 32.4 -5.5 7 EDL Global Opportunities Fund Ltd EDL Capital 31.8 4.4 8 Friedberg Global Macro Hedge Fund Ltd Niagara Capital Partners Ltd. 31.1 7.9 9 HonTe LH Macro Onshore Fund, LP HonTe Advisors 28.1 -11.1 10 Sandpiper Global Macro Program Sandpiper Asset Management 26.5 20.4 Top 10 macro funds | 3yr annualised and past month Fund Firm 3yr annualised % Feb %* 1 NEXT-alpha Alpha Growth Capital 25.9 -1.1 2 Haidar Jupiter Fund LLC Haidar Capital Management 24.8 12.9 3 Crescat Global Macro Fund LP Crescat Capital LLC 21.3 -0.7 4 Caxton Global Investments, Ltd. Caxton Associates 20.4 3.9 5 AIP Convertible Private Debt Fund LP - Class A AIP Asset Management 19.4 3.0 6 Gemsstock Fund Gemsstock Ltd 16.2 9.2 7 Brevan Howard Fund - USD Brevan Howard Asset Management LLP 15.6 0.2 8 Massar Macro Commodity Strategy Massar Capital Management 15.2 3.2 9 AG Capital Select SNN Retail Hedge Fund IDS Management Company (RF) (Pty) Ltd 10.3 4.1 10 EDL Global Opportunities Fund Ltd EDL Capital 10.2 4.4 Source: HFM data. *Data from funds to report last month's performance to HFM at the time of publication. 02 Macro | BDC managers Access HFM Haidar Capital's Jupiter fund leads the way among brand-name products, with a 17.7% YTD return. Brand-name trackers Brand-name firms performance tracker | YTD returns Selected funds from managers with AuM >$1bn on the HFM platform. Funds selected by HFM analysts at the start of 2021 with emphasis placed on flagship and larger products. Includes <$1bn funds. Fund Fund strategy Firm Firm location YTD % 3yr ann. % Data as of 1 Haidar Jupiter Fund MS (H) Haidar Capital Management US 17.7 24.8 Feb-21 2 Gemsstock Fund GL Gemsstock UK 9.0 16.2 Feb-21 3 SPX Eagle EM SPX Capital BR 8.9 5.1 Feb-21 4 Caxton Global Investments MS Caxton Associates US 4.5 21.0 Feb-21 5 EDL Global Opportunities Fund GL EDL Capital SWI 4.2 10.2 Feb-21 6 Massar Macro Commodity Strategy GL Massar Capital Management US 3.9 15.2 Feb-21 7 Arete Macro Fund AP Ocean Arete HK 3.2 6.7 Feb-21 8 MKP Opportunity Master Fund GL MKP Capital Management US 2.1 4.5 Feb-21 9 Brevan Howard Fund GL Brevan Howard Asset Management UK 1.4 15.6 Feb-21 10 Ortus Aggressive Fund (Cayman) GL (S) Ortus Capital Management HK 1.1 13.8 Feb-21 11 Bridgewater Pure Alpha GL (H) Bridgewater Associates US -0.4 -1.0 Feb-21 12 Graham Quant Macro GL (S) Graham Capital Management US -0.8 8.7 Feb-21 Astignes Asia Rates Master Fund AP Astignes Capital Asia HK -0.8 5.3 Feb-21 13 Episode GL M&G Investments UK -2.6 2.9 Feb-21 14 Bridgewater All Weather @12% GL (H) Bridgewater Associates US -3.6 6.1 Feb-21 15 Pharo Macro Fund EM Pharo Management UK -4.6 3.2 Feb-21 16 Pharo Gaia Fund EM Pharo Management UK -4.9 4.3 Feb-21 17 IPM Systematic Macro Fund GL (S) IPM Informed Portfolio Management SWE -6.1 -4.3 Feb-21 18 Penso Global Macro Opportunities (GMO) GL Penso Advisors US -6.4 0.2 Feb-21 19 Systematica Macro RV Fund MS (S) Systematica Investments JER -7.2 -3.4 Feb-21 20 Analyst note: For fund strategy: GL = Global-focused, AP = Asia-focused, EM = emerging markets-focused, MS = multi-strategy. Where brackets: S = Systematic approach, H = Hybrid approach. Source: HFM data Billion dollar fund performance Performance for $1bn+ funds | past 12 months and past month Fund Firm Past 12 month % Feb %* 1 Gemsstock Fund Gemsstock Ltd 56.1 9.2 2 Caxton Global Investments, Ltd. Caxton Associates 41.4 3.9 3 Brevan Howard Fund - USD Brevan Howard Asset Management LLP 24.2 0.2 4 SPX Raptor SPX Capital 22.3 10.8 5 SPX Eagle SPX Capital 18.5 10.4 6 PIMCO Absolute Return Strategy (PARS) III Fund Pacific Investment Management Company 10.9 0.5 7 Ibiuna Hedge FIC FIM Ibiuna Investimentos 9.9 2.2 8 Man AHL Macro SP Class A USD AHL Partners LLP 9.4 0.0 9 Graham Quant Macro Graham Capital Management 8.7 0.4 10 Graham Absolute Return, Ltd. Graham Capital Management 8.7 4.5 Performance for $1bn+ funds | 3yr annualised and past month Fund Firm 3yr annualised % Feb %* 1 Caxton Global Investments, Ltd. Caxton Associates 20.4 3.9 2 Gemsstock Fund Gemsstock Ltd 16.2 9.2 3 Brevan Howard Fund - USD Brevan Howard Asset Management LLP 15.6 0.2 4 SPX Raptor SPX Capital 9.9 10.8 5 Graham Quant Macro Graham Capital Management 8.7 0.4 6 Ibiuna Hedge FIC FIM Ibiuna Investimentos 7.6 2.2 7 PIMCO Absolute Return Strategy (PARS) III Fund Pacific Investment Management Company 6.7 0.5 8 Bridgewater All Weather @12% Trading Ltd Bridgewater Associates 6.1 -3.2 9 Bahia AM Maraú FIC de FIM Bahia Asset Management 5.7 0.4 10 SPX Eagle SPX Capital 5.1 10.4 Source: HFM data.