What is the best peforming hedge fund strategy? Global Macro

While on the summer break, I have read Steven Drobny's excellent new book, Invisible Hands, and re-read his first effort, Inside the House of Money. There are some truly world-class interviews with the best brains in the business, and I would thoroughly recommend both books. A couple of the guys in the latest book are scary-smart. One thing that becomes obvious via the public analysis is that far and away the best performing (and relatively low volatility) hedge fund strategy over time is the cycle-independent 'global macro' stream, which I like to think of as 'economic risk arbitrage'. It is cycle-independent in the sense that it does not have a directionally 'long' bias like almost all other investment approaches--ie, these guys truly have opportunities to exploit market inefficiencies in both the boom and bust phases of the cycle. In the next few posts I am going to excerpt some of the more insightful quotes. Here is a chart comparing different investment strategies over time (apologies for the resolution).