The Importance of Correlations

I think macro indicators can be very hard to put into it a trend following perspective because, you know, once you are able to detect that inflation is high, I mean, it may be peaking. And so you're kind of adjusting it at possibly the wrong time. But in general, whether you use one methodology or the other, you're still dealing with a strategy that tends to deliver about 150 to 200% of the S&P 500 returns with about the same drawdown,. Now if you're using an index of CTA, the drawdowns are a lot lower. Even for a single manager, so to speak, obviously we can have and have had in our long term track

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