Simple math behind how a paltry 6% Macro HF Index YTD return yields double digit returns for a 2x low-cost Macro HF replication:
Macro Index, Net: 5.9%
Fees (est.): 1.7%
Gross Return: 7.6%
Macro Index @ 2x vol: 13.7%
Macro @ 2x vol & 95bps fee: 13.2%
Bob Elliott
