The ETF product offering doesn't quite make sense. Macro is a very different strategy compared to Emerging markets, not just in terms of concept but also in terms of statistics.
Macro is mostly long/short futures driven by some technical analysis (e.g. CTA) and some by fundamental analysis (e.g. many Global Macro based trading yield curves etc). Emerging market is primarily long only Emerging Markets, and shorting is rarely possible. At best, many Emerging market hedge funds reduce their gross exposure, but in 2008 they haven't done a decent job of that either.
It is strange that the both are combined together.
Macro did well in 2008, while Emerging markets did quite poorly. Emerging markets are doing well in 2009, while Macro has suffered in so far, although not that much. Combining these two strategies seems ironical and most likely either strategy can cancel out the benefits of the other.
In addition, most Macro hedge funds during stable times have much lower volatility than Emerging market hedge funds. Combining the two, might just make the combination behave more like a Emerging market hedge fund, i.e. up if the Emerging markets is up and vice versa. Not surprisingly, 40.4% of the weights are to emerging market ETFs: EEM and VWO. Another 48.4% of the weights are to either to short term fixed income instruments or investment grade corporate bonds. The only thing that resembles anything like what a global macro fund would have done is a 5.4% weight to carry trade (NYSEARCA:DBV) and 3.5% weight to short real estate (NYSEARCA:SRS).
Where are the commodity exposures? Gold? Oil?
It might have made much more sense to offer a pure play on Macro. We already have a lot of ETFs on Emerging markets and the Emerging market hedge funds have very high correlations with emerging market ETFs.
Disclosure: not holding any of the ETFs mentioned here