NEW YORK (Bloomberg) — Investors in hedge funds overseen by George Soros, Louis Bacon and Paul Jones would have made more money this year by buying shares of a stock-index mutual fund.Managers of so-called macro hedge funds have lagged behind market benchmarks, including the Standard & Poor’s 500 Index, after being caught off guard by reversals in stock, bond and commodity prices. Macro funds, so named because they bet on broad economic trends, fare better when prices move up or down for a sustained period, which hasn’t been the case in 2006 with investor opinions divided about the strength of the US economy.

“When an economy is in transition, the markets are often choppy,” said David Gerstenhaber, founder of New York-based Argonaut Management LP, a hedge-fund manager with about $400 million of assets.

Macro funds rose by an average 1.8 percent as of October 24, compared with 5.6 percent for all hedge funds, according to data compiled by Hedge Fund Research Inc. of Chicago. The Vanguard 500 Index, the largest mutual fund to track the S&P 500 index, a broad measure of US stocks, advanced 12 percent.

Last year, macro funds returned 6.8 percent, beating the Vanguard 500 by 2.2 percentage points.

Hedge funds are private pools of capital that allow managers to participate substantially in the gains they make for clients. Managers usually charge a fee of 2 percent of assets and take 20 percent or more of profits. The Vanguard 500, run by George Sauter of Valley Forge, Pennsylvania-based Vanguard Group, charges expenses of 0.18 percent of assets.

Some of the best-known macro funds are trailing the Vanguard 500, which has $112 billion of assets. Tudor BVI, a $5.6 billion fund run by Jones’ Greenwich, Connecticut-based Tudor Investment Corp., returned 5.5 percent through Oct. 18, according to investors.

Moore Global Investment Fund Ltd., run by Bacon’s Moore Capital Management Inc. in New York, rose 2.5 percent through October 11. New York-based Soros Fund Management LLC, run by Soros’s sons Robert and Jonathan, returned 2.5 percent through September in its Quantum Endowment Fund. Ron Beller, who started London-based Peloton Partners LLP last year, is up 1.5 percent through this week.

Other funds have performed worse. Madrid-based Ravi Mehra’s Vega Select Opportunities Fund Ltd., with about $1 billion in assets, tumbled 16.7 percent this year through September after betting against a rally in US bonds. Rubicon Fund Management LLP, a London-based hedge fund, dropped 11 percent through September in its $2 billion macro fund.

Executives at the firms declined to comment on their performance. Many managers have been flummoxed by the change in market directions.

US stocks, for example, climbed 5.6 percent in the first four months of the year as measured by the S&P 500, dropped 2.1 percent through July and have advanced 6.4 percent since then. Crude oil started the year at $65 a barrel, rose to $80 in July and then retreated to $61. Yields on US 10-year Treasuries climbed to 5.3 percent in May from 4.8 percent at the start of the year. The yield is currently about 4.8 percent.

“Macro managers have a habit of falling in love with the big-picture thematic view,” said Philippe Bonnefoy, head of Geneva-based Cedar Partners Investment Management Ltd., a hedge-fund firm that’s opening a macro fund. “The problem is that not every theme is linear.”

For example, Bonnefoy expects oil to eventually reach $100 a barrel. He’s not, however, betting on a price-rise right now. “Macro managers must also be traders,” he said.

A few large managers have outpaced their peers. New York- based Drake Management LLC’s Global Opportunities Fund jumped 34 percent so far this year, according to investors. New York- based Fortress Investment Group LLC’s Drawbridge Global Macro Fund has climbed 10.3 percent through October 13.

Anthony Faillace, Drake’s chief investment officer, declined to comment on the firm’s returns. He said his $2.3 billion fund made money earlier this year by wagering that global fixed-income markets, the Icelandic krona and the New Zealand dollar would fall. From June through August, he profited in emerging markets, primarily in fixed income and currencies. More recently, Drake added to returns by betting that energy prices would fall.

Managers are searching for a strong trend to bet on for the rest of the year, hoping to improve returns like they did at the end of 2004 and 2005. Last year, macro traders accurately bet the dollar would rally against the yen and the euro.

One trade that may pan out in the next few months is a yen rally against the dollar and other currencies, said Faillace.

“The yen is at 21-year low on trade-weighted basis,” he said. In October 1988, the currency rallied 17 percent in three days when the yen was almost as low.