We investigate the relationship between 24 different categories of Australian managed funds and 13 macroeconomic variables from the third quarter of 1998 to the first quarter of 2013. Using principal component and regression analyses, we find that fund returns can be significantly explained by principal components that reflect both the international and domestic variables, especially at the next two quarters. The relationships between fund returns and macroeconomic variables are predominantly negative. Further, the pooled regression results show that, at a more general level, the explanatory power of macroeconomic variables is relatively weak on fixed interest and on international shares funds, but is strong on multiple assets, property, and Australian shares funds.