Macro Trading vs SP500 1997-September 2009
David Taggart (October 7th, 2009) Writes:
A lot is made of relative returns and how one strategy or fund does against the SP500. While not the best benchmark for something like Global Macro it is nonetheless the benchmark that everyone is most familiar with and that is used the most on CNBC and in magazines. So how does global macro stack up to the SP500?
The chart below shows how $1000 invested in the SP500 and the Barclays Global Macro Index would have done for YTD for 2009. As you can see the SP500 while getting off to a rocky start is now leading the macro index by 9.68% so far. While the performance of the SP500 has been impressive the other side of the story is that to get the 18.04% return in the SP500 you first had to go through a -19.56% drawdown in January and February to get it. Contrast that to
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