Wednesday, May 28, 2014

Newedge macro indices tell an interesting performance story

Reviewing the macro indices from Newedge, now SocGen, tells an interesting tale about the differences in decision-making. You have one index which represents the best in discretionary decision-making with the best systematic managers. When we compare performance since 2000, the winner is systematic by a small margin. The systematic managers show more noise or volatility around performance,  but the end results is that it has a smoother or more stable trend than discretionary managers who have had a very shallow slope for a number of years. The systematic managers may have less key man risk and more control over the risk within the portfolio. Everyone may have different preferences but having a rules-base system may let investors sleep better at night.

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