The MacroShares are irretrievably broken. They have never performed as advertised. They show no signs of ever working as advertised. They are a disgrace to the ETF market, and have been, pretty much since they were introduced.
External Link: MACROshares
I have never been 100% clear on what happens behind the scenes with these ETFs, but one assumes that the basic problem is insufficient demand for the “down” shares. Someone can provide liquidity and hedge their exposure in futures or cash but this is not free and this asymmetry is the result.
This by the way was also a problem with the Economic Derivatives. The banks that ran the auctions were taking exposure to make them more liquid and eventually decided that it wasn’t worthwhile.