Everyone knows that it's the nightmares that are most plausible that leave you most terrified the morning after - and I think that's why Bernard Haitink and the Chicago Symphony Orchestra's terrific performance of Mahler's Sixth Symphony is haunting me still. Yes, the composer's most relentlessly tragic statement was blisteringly fierce. But what made it that much more compelling was how hopelessly inevitable this tragedy seemed.

Self-effacing to the last, the famously taciturn Haitink recently said that he was simply a “caretaker” of this great American orchestra - hence his title of principal conductor with the CSO, a position he has held since 2006, rather than music director. But this first Proms outing for the partnership revealed just how lucky the Chicago players are to have him at all.

Perhaps what impressed most of all in Haitink's Mahler - clipped, gritty, almost ruthless in its cogency - was the acute emotional poignancy that came with it. That ethereal drift into the major-key, cowbell-dusted radiance in the first movement was beautifully judged even while you knew it was just a sad, dissolving daydream. And Haitink gently, masterfully, drew out the melancholy of the andante (placed as the third movement), spellbindingly well played by the Chicago woodwind and sighing strings, with a pure fragility that only underscored the stark finality of the symphony's black climax. The cheers from the Prommers were long, loud and utterly deserved.

Before the main event there was something of a surprise. You don't neccessarily identify Haitink's peerless grasp of musical architecture and finely blended textures with the frenetic sonorities of Mark-Anthony Turnage, but his Chicago Remains (receiving its European premiere) marks something of a departure for the British composer. A stirring evocation of life in the Windy City, it contrasts some typical Turnage tricks (whooping soprano sax, acerbic rattles and bursts from percussion) with long, arching lines of melody: the whole has a distinctly epic feel. Accordingly, Haitink focused less on the superficial effects - a passage marked “chaotic” sounded pretty respectable to me - and more on this absorbing piece's concentrated energy and overarching flow.

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