Evolution of a Macro Hedge Fund Strategy

The chapter explores the evolution of a macro hedge fund strategy that combines commodity quants, an equity guy, and a bond guy since 1996. It delves into the philosophy of diversifying investments using fixed income, long-short strategies, and managed futures to earn the equity risk premium and create uncorrelated portfolios. The discussion emphasizes the strategy of combining fixed income, currencies, and commodities for portfolio diversification and the importance of rebalancing aggressively to maximize positive skew in the portfolio.