7 Comments

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

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Yes, they are after fee returns

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Wouldn't a combination of cash, 30 year Treasuries and international equities provide a better hedge?

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Possibly. I don't know.

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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.

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V good!

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Ok - but index funds have an alpha of ZERO. All their returns are by beta.

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