I'm assuming these figures take into account the higher management costs for macro and managed future funds? ...or the "Red Braces for Ruperts Charge" RBRC as I think of it
don't know about that, but the classic Harry Browne portfolio with 25% each of stocks, treasuries, gold and cash has a beta to S&P500 of 0.26, correlation to S&P500 of 0.58 and a maximum drawdown since 1972 of only -13.1%, and these are numbers I'd wave at any macro or managed future fund manager.
Thanks JK
I'm assuming these figures take into account the higher management costs for macro and managed future funds? ...or the "Red Braces for Ruperts Charge" RBRC as I think of it
Yes, they are after fee returns
Wouldn't a combination of cash, 30 year Treasuries and international equities provide a better hedge?
Possibly. I don't know.
don't know about that, but the classic Harry Browne portfolio with 25% each of stocks, treasuries, gold and cash has a beta to S&P500 of 0.26, correlation to S&P500 of 0.58 and a maximum drawdown since 1972 of only -13.1%, and these are numbers I'd wave at any macro or managed future fund manager.
V good!
Ok - but index funds have an alpha of ZERO. All their returns are by beta.