Systematic Global Macro is a recognized hedge fund style category with a track record of more than twenty years. This hedge fund style can also be classified as Global Macro, managed futures or trend-following/CTA. In this paper, the performance characteristics of this hedge fund style are analyzed both on a stand-alone basis and in the context of a portfolio of investments in different hedge-fund styles. The analysis considers additional risk measures beyond annualized volatility, including skew, kurtosis and the autocorrelation of monthly returns. The impact of allocating to Systematic Global Macro strategies in a style basket is further investigated by constructing optimal portfolios according to a number of performance benchmarks. The conclusion of the report is that portfolios with significant investments in Systematic Global Macro strategies have historically outperformed portfolios without allocations to Systematic Global Macro strategies.