Macroeconomic determinants of hedge funds- example of Man Group

Abstract

Macroeconomic environment affects financial markets as well as their institutions on a global level. Therefore, it is of a great importance to keep-up-to date with trends of certain macroeconomic factors. This research questions whether certain macroeconomic determinants influence hedge fund performance by introducing consumer price index (CPI), 12M USD Libor, interest rate on long-term bonds and unemployment rate as independent variables, whereas dependent variable is annual return. In this study hedge fund performance covers the annual return of hedge fund Man Group which is situated in the United Kingdom and data set covers the years from 2015 to 2024. As well as annual return, macroeconomic determinants also cover the same period. By using log-log regression model, results show that CPI, 12M USD Libor and interest rate on long-term bonds positively affect return, whereas unemployment rate does not have an impact on return.