Macro

The chart shows the growth of an initial investment of £10,000 in Macro, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Every 3 months.

Based on dividend-adjusted daily data since Jan 9, 2017, Macro's average daily return is +0.02%, while the average monthly return is +0.46%. At this rate, an investment would double in approximately 12.6 years.

Historically, 54% of months were positive and 46% were negative. The best month was Jul 2025 with a return of +4.4%, while the worst month was Sep 2017 at -4.2%. The longest winning streak lasted 6 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Macro closed higher 52% of trading days. The best single day was Mar 23, 2020 with a return of +2.7%, while the worst single day was Mar 27, 2020 at -3.1%.

Macro has an annualized alpha of 3.68%, beta of 0.21, and R2 of 0.19 versus S&P 500 Index. Calculated based on daily prices since January 09, 2017.

• This portfolio participated in 40.11% of S&P 500 Index downside but only 38.75% of its upside - more exposed to losses than it benefited from rallies.
• Beta of 0.21 may look defensive, but with R2 of 0.19 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
• R2 of 0.19 means this portfolio moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.

Macro has an expense ratio of 0.16%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

Macro ranks 81 for risk / return — in the top 81% of Portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

The current Macro Sharpe ratio is 2.69 as of Jun 13, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.54 to 2.41, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Macro compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

Macro provided a 2.57% dividend yield over the last twelve months.

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

The table below displays the maximum drawdowns of the Macro. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Macro was 12.91%, occurring on Aug 21, 2023. Recovery took 283 trading sessions.

The current Macro drawdown is 1.00%.

The chart below shows the rolling one-month volatility.