MACRO HEDGE FUND MANAGERS KNOW THE MARKETS can be a cruel mistress. Just ask Louis Bacon. This past summer Bacon, a top macro investor and founder of New York–based hedge fund firm Moore Capital Management, announced that he was returning $2 billion — 25 percent of Moore’s capital — to clients. He also said he was moving money out of macro, a strategy that seeks to exploit big-picture economic trends and global capital market events, because he wasn’t “comfortable” taking much risk in the current environment. Nowadays, central banks and policymakers drive the markets and fundamentals play a diminished role.

Bacon has called his 2012 results disappointing. As of mid-­November his flagship, $4.6 billion Moore Global Investment Fund, had returned just 3.72 percent on the year. But that’s....