We work through a small selection of the range of systematic inputs from Prometheus Institutional that drive these conclusions.

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Our timely readings of nominal spending continue to show an economy expanding at a strong pace:

These readings are confirmed by our reconstruction of the official GDP statistics by component:

Domestic GDP conditions remain strong and stable, facilitating income and fueling consumption. The balance between income and consumption continues to flow through to corporate profits:

We see this reflected in public equity earnings momentum, which remains near its all-time highs:

These positive income, spending, and profits conditions continue to support a tight labor market:

With our daily inflation readings showing that inflationary pressures are now once again far removed from target:

The combination of these pressures continues to keep the pressure on monetary policy rates to rise, which continues to hurt US fixed income:

Alongside these pressures, the sustained lack of traffic through the Strait of Hormuz increases the potential for current oil price volatility to become a leading indication of inventory drawdowns to come globally:

The combination of these dynamics continues to suggest a positive and stable nominal demand backdrop, with supply disruptions leading to an inflation shock.

Positioning for such trends is theoretically direct— own nominal growth assets. However, reality is far from so linear. There are two challenges to expressing macro fundamental views in the current backdrop:

Equity returns are being dominantly driven by expanding risk premia:

And oil prices are dramatically exposed to a speculative unwind:

Thus, while fundamental conditions are in line with simply buying nominal growth assets, price-based risks abound. Fortunately, price-based risks can be controlled for with price-based risk management.

Combining our indicators, a Macro Cycle Allocation would be long

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We show how nominal growth remains stable below:

This stability of nominal GDP continues to be largely driven by strong domestic spending conditions in the form of strong consumer spending:

Consistent with an economic expansion, equities continue to exhibit the strong trend in the cross-section of US macro assets.

The S&P 500 remains within range of its recent highs as the economy continues to expand, corporate profits remain strong, and recession risk remains limited. This continues to fuel corporate earnings:

However, there remain price-based risks to forward equity market returns. Below, we visualize the macro factor decomposition of equity market returns into returns from growth, inflation, policy, and the equity risk premium:

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We dive into what our process is telling us. With the official retail sales numbers released, we now have enough data in hand to form our initial estimates for monthly GDP in the form of our GDP Nowcast:

The latest data shows moderating real GDP readings. However, it is essential to recognize that this data is largely being weighed down by volatility in trade data rather than consistent domestic weakness. Isolating the domestic drivers of economic activity, we continue to see the domestic real GDP growth of 2.5%. This is largely consistent with our high-frequency estimates of GDP growth:

Furthermore, our daily business cycle gauges continue to show an expansionary business cycle:

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We begin with major macro trends across stocks, bonds, and commodities (US-focused). Scanning across those markets, we continue to see US equities as the only markets with persistently positive trend strength:

We see these trend signals reflected in the distribution of global market returns as well, with US equities leading the pack amongst global assets:

These macro market trends are largely supported by our fundamental gauges. Our timely reads on nominal GDP growth continue to show a steady expansion:

Meanwhile, our inflation readings continue to suggest near-term disinflationary pressures:

Additionally, our business cycle gauges continue to show an expanding business cycle:

And our monetary policy pressure gauges are now neutral:

The combination of these dynamics continues to suggest an economy in steady-state expansion, with significant inflation volatility driven by oil price dynamics.

Leveraging our timely proprietary estimates of the current stages of the macro cycle continues to look attractive. This process has navigated this year quite well thus far:

Combining our indicators, a Macro Cycle Allocation would be long

Read more

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Let’s dive into today’s note.

Basic Trend Program

Trend following is a good solution for many investors, as it is intuitive and provides solid risk control. However, the signals used in trend following are fairly basic, so we don’t think there should be a high barrier to entry for basic trend-following strategies. As such, we will provide access to a Basic Trend Program at zero cost to users for a portfolio of Stocks, Gold, Bitcoin, and Bonds. The program uses three layers of portfolio construction: a risk-parity base, a two-speed trend overlay, and a 15% maximum volatility cap. These layers are applied versus a benchmark beta of 60% Stocks, 15% Bonds, 15% Gold, and 10% Bitcoin. We will release a methodology note soon, but in the meantime, we share the summary statistics and current positioning below:

This program currently has a 50% max long position in Stocks, a 50% max long position in Bonds, a 0% max long position in Gold, and a 0% max long position in Bitcoin.

In risk-parity terms, this translates to Stocks: 15%, Bonds: 24%, Gold: 0%, Bitcoin: 0%, and Cash: 61%. This reflects an expected volatility target of 4%.

Please note that these positions do not directly reflect the Prometheus trend measures, which are relevant to our proprietary and paid programs. The positions in our Basic Trend Program use an equal split between 1-month and 6-month trends.

While basic trend-following is a strong approach for many investors, there is a world of signals and strategies beyond it. We begin to address these in the following sections.

Flash Sale: 40% Off

Macro Cycle Program

Our systems aggregate a wide range of fundamental economic data to produce timely, proprietary estimates of the current stages of the macro cycle. This process has navigated this year quite well thus far:

We visualize the simulated path of using this process below:

Combining our indicators, a Macro Cycle Allocation would be long

Read more

Subscribe now

To today’s note, which we will publish in positions-only format.

Basic Trend Program

Trend following is a good solution for many investors, as it is intuitive and provides solid risk control. However, the signals used in trend following are fairly basic, so we don’t think there should be a high barrier to entry for basic trend-following strategies. As such, we will provide access to a Basic Trend Program at zero cost to users for a portfolio of Stocks, Gold, Bitcoin, and Bonds. The program uses three layers of portfolio construction: a risk-parity base, a two-speed trend overlay, and a 15% maximum volatility cap. These layers are applied versus a benchmark beta of 60% Stocks, 15% Bonds, 15% Gold, and 10% Bitcoin. We will release a methodology note soon, but in the meantime, we share the summary statistics and current positioning below:

This program currently has a 50% max long position in Stocks, a 50% max long position in Bonds, a 0% max long position in Gold, and a 0% max long position in Bitcoin.

In risk-parity terms, this translates to Stocks: 15%, Bonds: 24%, Gold: 0%, Bitcoin: 0%, and Cash: 60%. This reflects an expected volatility target of 4%.

Please note that these positions do not directly reflect the Prometheus trend measures, which are relevant to our proprietary and paid programs. The positions in our Basic Trend Program use an equal split between 1-month and 6-month trends.

While basic trend-following is a strong approach for many investors, there is a world of signals and strategies beyond it. We begin to address these in the following sections.

Macro Cycle Program

Our systems aggregate a wide range of fundamental economic data to produce timely, proprietary estimates of the current stages of the macro cycle. This process has navigated this year quite well thus far:

We visualize the simulated path of using this process below:

Combining our indicators, a Macro Cycle Allocation would be long

Read more

Subscribe now

To today’s note, which we will publish in positions-only format.

Basic Trend Program

Trend following is a good solution for many investors, as it is intuitive and provides solid risk control. However, the signals used in trend following are fairly basic, so we don’t think there should be a high barrier to entry for basic trend-following strategies. As such, we will provide access to a Basic Trend Program at zero cost to users for a portfolio of Stocks, Gold, Bitcoin, and Bonds. The program uses three layers of portfolio construction: a risk-parity base, a two-speed trend overlay, and a 15% maximum volatility cap. These layers are applied versus a benchmark beta of 60% Stocks, 15% Bonds, 15% Gold, and 10% Bitcoin. We will release a methodology note soon, but in the meantime, we share the summary statistics and current positioning below:

This program currently has a 100% max long position in Stocks, a 50% max long position in Bonds, a 0% max long position in Gold, and a 0% max long position in Bitcoin.

In risk-parity terms, this translates to Stocks: 27%, Bonds: 20%, Gold: 0%, Bitcoin: 0%, and Cash: 53%. This reflects an expected volatility target of 6%.

Please note that these positions do not directly reflect the Prometheus trend measures, which are relevant to our proprietary and paid programs. The positions in our Basic Trend Program use an equal split between 1-month and 6-month trends.

While basic trend-following is a strong approach for many investors, there is a world of signals and strategies beyond it. We begin to address these in the following sections.

Macro Cycle Program

Our systems aggregate a wide range of fundamental economic data to produce timely, proprietary estimates of the current stages of the macro cycle. This process has navigated this year quite well thus far:

We visualize the simulated path of using this process below:

Combining our indicators, a Macro Cycle Allocation would be long

Read more

Subscribe now

To today’s note, which we will publish in positions-only format.

Basic Trend Program

Trend following is a good solution for many investors, as it is intuitive and provides solid risk control. However, the signals used in trend following are fairly basic, so we don’t think there should be a high barrier to entry for basic trend-following strategies. As such, we will provide access to a Basic Trend Program at zero cost to users for a portfolio of Stocks, Gold, Bitcoin, and Bonds. The program uses three layers of portfolio construction: a risk-parity base, a two-speed trend overlay, and a 15% maximum volatility cap. These layers are applied versus a benchmark beta of 60% Stocks, 15% Bonds, 15% Gold, and 10% Bitcoin. We will release a methodology note soon, but in the meantime, we share the summary statistics and current positioning below:

This program currently has a 100% max long position in Stocks, a 50% max long position in Bonds, a 50% max long position in Gold, and a 0% max long position in Bitcoin.

In risk-parity terms, this translates to Stocks: 45%, Bonds: 33%, Gold: 9%, Bitcoin: 0%, and Cash: 13%. This reflects an expected volatility target of 8%.

Please note that these positions do not directly reflect the Prometheus trend measures, which are relevant to our proprietary and paid programs. The positions in our Basic Trend Program use an equal split between 1-month and 6-month trends.

While basic trend-following is a strong approach for many investors, there is a world of signals and strategies beyond it. We begin to address these in the following sections.

Macro Cycle Program

Our systems aggregate a wide range of fundamental economic data to produce timely, proprietary estimates of the current stages of the macro cycle. This process has navigated this year quite well thus far:

We visualize the simulated path of using this process below:

Combining our indicators, a Macro Cycle Allocation would be long

Read more

Subscribe now

To today’s note, which we will publish in positions-only format.

Basic Trend Program

Trend following is a good solution for many investors, as it is intuitive and provides solid risk control. However, the signals used in trend following are fairly basic, so we don’t think there should be a high barrier to entry for basic trend-following strategies. As such, we will provide access to a Basic Trend Program at zero cost to users for a portfolio of Stocks, Gold, Bitcoin, and Bonds. The program uses three layers of portfolio construction: a risk-parity base, a two-speed trend overlay, and a 15% maximum volatility cap. These layers are applied versus a benchmark beta of 60% Stocks, 15% Bonds, 15% Gold, and 10% Bitcoin. We will release a methodology note soon, but in the meantime, we share the summary statistics and current positioning below:

This program currently has a 100% max long position in Stocks, a 0% max long position in Bonds, a 50% max long position in Gold, and a 0% max long position in Bitcoin.

In risk-parity terms, this translates to Stocks: 43%, Bonds: 0%, Gold: 8%, Bitcoin: 0%, and Cash: 49%. This reflects an expected volatility target of 6%.

Please note that these positions do not directly reflect the Prometheus trend measures, which are relevant to our proprietary and paid programs. The positions in our Basic Trend Program use an equal split between 1-month and 6-month trends.

While basic trend-following is a strong approach for many investors, there is a world of signals and strategies beyond it. We begin to address these in the following sections.

Macro Cycle Program

Our systems aggregate a wide range of fundamental economic data to produce timely, proprietary estimates of the current stages of the macro cycle. This process has navigated this year quite well thus far:

We visualize the simulated path of using this process below:

Combining our indicators, a Macro Cycle Allocation would be long

Read more

Subscribe now

To today’s note, which we will publish in positions-only format.

Basic Trend Program

Trend following is a good solution for many investors, as it is intuitive and provides solid risk control. However, the signals used in trend following are fairly basic, so we don’t think there should be a high barrier to entry for basic trend-following strategies. As such, we will provide access to a Basic Trend Program at zero cost to users for a portfolio of Stocks, Gold, Bitcoin, and Bonds. The program uses three layers of portfolio construction: a risk-parity base, a two-speed trend overlay, and a 15% maximum volatility cap. These layers are applied versus a benchmark beta of 60% Stocks, 15% Bonds, 15% Gold, and 10% Bitcoin. We will release a methodology note soon, but in the meantime, we share the summary statistics and current positioning below:

This program currently has a 100% max long position in Stocks, a 0% max long position in Bonds, a 50% max long position in Gold, and a 50% max long position in Bitcoin.

In risk-parity terms, this translates to Stocks: 47%, Bonds: 0%, Gold: 9%, Bitcoin: 6%, and Cash: 37%. This reflects an expected volatility target of 8%.

Please note that these positions do not directly reflect the Prometheus trend measures, which are relevant to our proprietary and paid programs. The positions in our Basic Trend Program use an equal split between 1-month and 6-month trends.

While basic trend following is a strong solution for many investors, there is a world of signals and strategies beyond it. We begin to address these in the following sections.

Macro Cycle Program

Our systems aggregate a wide range of fundamental economic data to produce timely, proprietary estimates of the current stages of the macro cycle. This process has navigated this year quite well thus far:

We visualize the simulated path of using this process below:

Combining our indicators, a Macro Cycle Allocation would be long

Read more

Subscribe now

To today’s note, which we will publish in positions-only format.

Basic Trend Program

Trend following is a good solution for many investors, as it is intuitive and provides solid risk control. However, the signals used in trend following are fairly basic, so we don’t think there should be a high barrier to entry for basic trend-following strategies. As such, we will provide access to a Basic Trend Program at zero cost to users for a portfolio of Stocks, Gold, Bitcoin, and Bonds. The program uses three layers of portfolio construction: a risk-parity base, a two-speed trend overlay, and a 15% maximum volatility cap. These layers are applied versus a benchmark beta of 60% Stocks, 15% Bonds, 15% Gold, and 10% Bitcoin. We will release a methodology note soon, but in the meantime, we share the summary statistics and current positioning below:

This program currently has a 100% max long position in Stocks, a 0% max long position in Bonds, a 50% max long position in Gold, and a 50% max long position in Bitcoin.

In risk-parity terms, this translates to Stocks: 47%, Bonds: 0%, Gold: 10%, Bitcoin: 6%, and Cash: 37%. This reflects an expected volatility target of 8%.

Please note that these positions do not directly reflect the Prometheus trend measures, which are relevant to our proprietary and paid programs. The positions in our Basic Trend Program use an equal split between 1-month and 6-month trends.

While basic trend following is a strong solution for many investors, there is a world of signals and strategies beyond it. We begin to address these in the following sections.

Macro Cycle Program

Our systems aggregate a wide range of fundamental economic data to produce timely, proprietary estimates of the current stages of the macro cycle. This process has navigated this year quite well thus far:

We visualize the simulated path of using this process below:

Combining our indicators, a Macro Cycle Allocation would be long

Read more

Subscribe now

To today’s note, which we will publish in positions-only format. We will update our macro cycle monitors and regime probabilities in our Week-Ahead note.

Basic Trend Program

Trend following is a good solution for many investors, as it is intuitive and provides solid risk control. However, the signals used in trend following are fairly basic, so we don’t think there should be a high barrier to entry for basic trend-following strategies. As such, we will provide access to a Basic Trend Program at zero cost to users for a portfolio of Stocks, Gold, Bitcoin, and Bonds. The program uses three layers of portfolio construction: a risk-parity base, a two-speed trend overlay, and a 15% maximum volatility cap. These layers are applied versus a benchmark beta of 60% Stocks, 15% Bonds, 15% Gold, and 10% Bitcoin. We will release a methodology note soon, but in the meantime, we share the summary statistics and current positioning below:

This program currently has a 100% max long position in Stocks, a 0% max long position in Bonds, a 100% max long position in Gold, and a 50% max long position in Bitcoin.

In risk-parity terms, this translates to Stocks: 46%, Bonds: 0%, Gold: 19%, Bitcoin: 6%, and Cash: 28%. This reflects an expected volatility target of 9%.

Please note that these positions do not directly reflect the Prometheus trend measures, which are relevant to our proprietary and paid programs. The positions in our Basic Trend Program use an equal split between 1-month and 6-month trends.

While basic trend following is a strong solution for many investors, there is a world of signals and strategies beyond it. We begin to address these in the following sections.

Macro Cycle Program

Our systems aggregate a wide range of fundamental economic data to produce timely, proprietary estimates of the current stages of the macro cycle. This process has navigated this year quite well thus far:

We visualize the simulated path of using this process below:

Combining our indicators, a Macro Cycle Allocation would be

Read more

Subscribe now

To today’s note, which we will publish in positions-only format. We will update our macro cycle monitors and regime probabilities in our Week-Ahead note.

Basic Trend Program

Trend following is a good solution for many investors, as it is intuitive and provides solid risk control. However, the signals used in trend following are fairly basic, so we don’t think there should be a high barrier to entry for basic trend-following strategies. As such, we will provide access to a Basic Trend Program at zero cost to users for a portfolio of Stocks, Gold, Bitcoin, and Bonds. The program uses three layers of portfolio construction: a risk-parity base, a two-speed trend overlay, and a 15% maximum volatility cap. These layers are applied versus a benchmark beta of 60% Stocks, 15% Bonds, 15% Gold, and 10% Bitcoin. We will release a methodology note soon, but in the meantime, we share the summary statistics and current positioning below:

This program currently has a 100% max long position in Stocks, a 0% max long position in Bonds, a 50% max long position in Gold, and a 50% max long position in Bitcoin. In risk-parity terms, this translates to Stocks: 42%, Bonds: 0%, Gold: 9%, Bitcoin: 6%, and Cash: 44%. This reflects an expected volatility target of 8%.

Please note that these positions do not directly reflect the Prometheus trend measures, which are relevant to our proprietary and paid programs. The positions in our Basic Trend Program use an equal split between 1-month and 6-month trends.

While basic trend following is a strong solution for many investors, there is a world of signals and strategies beyond it. We begin to address these in the following sections.

Macro Cycle Program

Our systems aggregate a wide range of fundamental economic data to produce timely, proprietary estimates of the current stages of the macro cycle. This process has navigated this year quite well thus far:

We visualize the simulated path of using this process below:

Combining these indicators, a Macro Cycle Allocation would be long-term

Read more

Subscribe now

To today’s note. Our observations are as follows:

• Macro assets continue to show inflation dominating cross-asset price action, with commodities leading and fixed income falling.

• The business cycle remains in an expansion, pressures on monetary policy to tighten have risen, and capacity utilization remains strong.

• A procyclical allocation looks attractive, but with inflationary tilts.

Let’s begin sharing the data that drives our current assessment of the macro regime and our subsequent risk management and positions.

Basic Trend Program

Trend following is a good solution for many investors, as it is intuitive and provides solid risk control. However, the signals used in trend following are fairly basic, so we don’t think there should be a high barrier to entry for basic trend-following strategies. As such, we will provide access to a Basic Trend Program at zero cost to users for a portfolio of Stocks, Gold, Bitcoin, and Bonds. The program uses three layers of portfolio construction: a risk-parity base, a two-speed trend overlay, and a 15% maximum volatility cap. These layers are applied versus a benchmark beta of 60% Stocks, 15% Bonds, 15% Gold, and 10% Bitcoin. We will release a methodology note soon, but in the meantime, we share the summary statistics and current positioning below:

This program currently has a 100% max long position in Stocks, a 50% max long position in Bonds, a 100% max long position in Gold, and a 50% max long position in Bitcoin.

In risk-parity terms, this translates to Stocks: 41%, Bonds: 31%, Gold: 17%, Bitcoin: 5%, and Cash: 6%. This reflects an expected volatility target of 11%.

Please note that these positions do not directly reflect the Prometheus trend measures, which are relevant to our proprietary and paid programs. The positions in our Basic Trend Program use an equal split between 1-month and 6-month trends. We share the Prometheus trend gauges for each asset below. We begin with stocks:

Equity trends have snapped back to positive. Next, we turn to bond market trends:

Bond market trends remain negative. We now move on to broad commodity aggregates:

Commodity trends remain extremely strong amid geopolitical tensions. Next, we examine our macro trend signals for Gold:

Gold trends are now neutral. Finally, we examine our trend signals for Bitcoin:

Bitcoin remains in a downtrend.

While basic trend following is a strong solution for many investors, there is a world of signals and strategies beyond it. We begin to address these in the following sections.

Macro Cycle Program

Our systems aggregate a wide range of fundamental economic data to produce timely, proprietary estimates of the current stages of the macro cycle. This process has navigated this year quite well thus far:

We visualize the simulated path of using this process below:

We share some of the underlying gauges driving these allocations, starting with our signals for business cycle conditions:

Our latest readings continue to indicate an expanding business cycle. Next, we turn to monetary policy pressures. Our monetary policy gauge measures the pressures on the Federal Reserve to move monetary policy based on the trade-off between growth and inflation data. The higher our readings, the more pressure there is to hike policy rates. The lower the gauge, the more pressure there is to cut policy rates.

Pressures on monetary policy to tighten have further increased due to the energy price shock. Next, we turn to measures of economic tightness. Our gauges of manufacturing tightness tell us whether the economy is running up against capacity constraints when its readings are high, or when there is a significant amount of economic slack when readings are low:

Our latest readings show that manufacturing capacity utilization is rising. Combining these indicators, a Macro Cycle Allocation would be

Read more

Subscribe now

To today’s note, which we will publish in positions-only format.

Basic Trend Program

Trend following is a good solution for many investors, as it is intuitive and provides solid risk control. However, the signals used in trend following are fairly basic, so we don’t think there should be a high barrier to entry for basic trend-following strategies. As such, we will provide access to a Basic Trend Program at zero cost to users for a portfolio of Stocks, Gold, Bitcoin, and Bonds. The program uses three layers of portfolio construction: a risk-parity base, a two-speed trend overlay, and a 15% maximum volatility cap. These layers are applied versus a benchmark beta of 60% Stocks, 15% Bonds, 15% Gold, and 10% Bitcoin. We will release a methodology note soon, but in the meantime, we share the summary statistics and current positioning below:

This program currently has a 100% max long position in Stocks, a 0% max long position in Bonds, a 50% max long position in Gold, and a 50% max long position in Bitcoin.

In risk-parity terms, this translates to Stocks: 30%, Bonds: 0%, Gold: 6%, Bitcoin: 4%, and Cash: 60%. This reflects an expected volatility target of 8%.

Please note that these positions do not directly reflect the Prometheus trend measures, which are relevant to our proprietary and paid programs. The positions in our Basic Trend Program use an equal split between 1-month and 6-month trends.

While basic trend following is a strong solution for many investors, there is a world of signals and strategies beyond it. We begin to address these in the following sections.

Macro Cycle Program

Our systems aggregate a wide range of fundamental economic data to produce timely, proprietary estimates of the current stages of the macro cycle. This process has navigated this year quite well thus far:

We visualize the simulated path of using this process below:

Combining these indicators,

Read more

Subscribe now

To today’s note, which we will publish in positions-only format.

Basic Trend Program

Trend following is a good solution for many investors, as it is intuitive and provides solid risk control. However, the signals used in trend following are fairly basic, so we don’t think there should be a high barrier to entry for basic trend-following strategies. As such, we will provide access to a Basic Trend Program at zero cost to users for a portfolio of Stocks, Gold, Bitcoin, and Bonds. The program uses three layers of portfolio construction: a risk-parity base, a two-speed trend overlay, and a 15% maximum volatility cap. These layers are applied versus a benchmark beta of 60% Stocks, 15% Bonds, 15% Gold, and 10% Bitcoin. We will release a methodology note soon, but in the meantime, we share the summary statistics and current positioning below:

This program currently has a 100% max long position in Stocks, a 0% max long position in Bonds, a 50% max long position in Gold, and a 50% max long position in Bitcoin.

In risk-parity terms, this translates to Stocks: 28%, Bonds: 0%, Gold: 6%, Bitcoin: 4%, and Cash: 63%. This reflects an expected volatility target of 8%.

Please note that these positions do not directly reflect the Prometheus trend measures, which are relevant to our proprietary and paid programs. The positions in our Basic Trend Program use an equal split between 1-month and 6-month trends.

While basic trend following is a strong solution for many investors, there is a world of signals and strategies beyond it. We begin to address these in the following sections.

Macro Cycle Program

Our systems aggregate a wide range of fundamental economic data to produce timely, proprietary estimates of the current stages of the macro cycle. This process has navigated this year quite well thus far:

We visualize the simulated path of using this process below:

Combining these indicators, a Macro Cycle Allocation would be

Read more

36% Off For New Annual Subscribers

The offer ends soon. See you on the other side.

Welcome to the ETF Program. The ETF Program is an investment program that combines active macro alpha and strict risk control, all in an easy-to-follow solution for individual investors.

Subscribe now

To today’s note, which we will publish in positions-only format.

Basic Trend Program

Trend following is a good solution for many investors, as it is intuitive and provides solid risk control. However, the signals used in trend following are fairly basic, so we don’t think there should be a high barrier to entry for basic trend-following strategies. As such, we will provide access to a Basic Trend Program at zero cost to users for a portfolio of Stocks, Gold, Bitcoin, and Bonds. The program uses three layers of portfolio construction: a risk-parity base, a two-speed trend overlay, and a 15% maximum volatility cap. These layers are applied versus a benchmark beta of 60% Stocks, 15% Bonds, 15% Gold, and 10% Bitcoin. We will release a methodology note soon, but in the meantime, we share the summary statistics and current positioning below:

This program currently has a 0% max long position in Stocks, a 0% max long position in Bonds, a 50% max long position in Gold, and a 0% max long position in Bitcoin.

In risk-parity terms, this translates to Stocks: 0%, Bonds: 0%, Gold: 5%, Bitcoin: 0%, and Cash: 95%. This reflects an expected volatility target of 2%.

Please note that these positions do not directly reflect the Prometheus trend measures, which are relevant to our proprietary and paid programs. The positions in our Basic Trend Program use an equal split between 1-month and 6-month trends.

While basic trend following is a strong solution for many investors, there is a world of signals and strategies beyond it. We begin to address these in the following sections.

Macro Cycle Program

Our systems aggregate a wide range of fundamental economic data to produce timely, proprietary estimates of the current stages of the macro cycle. We visualize the simulated path of using this process below:

Read more

Subscribe now

We visualize the simulated return path for the program below:

To today’s note. Our observations are as follows:

• Macro assets have experienced a geopolitical shock in the form of the war in Iran, resulting in a shift in macro price trends to a decidedly inflationary cross-asset trend environment.

• The business cycle remains in an expansion, pressures on monetary policy to tighten have risen, and capacity utilization remains strong.

• Our forward-looking macroeconomic regime probabilities indicate a predominance of rising inflation outcomes.

• A procyclical allocation looks attractive, but with inflationary tilts.

Let’s begin sharing the data that drives our current assessment of the macro regime and our subsequent risk management and positions.

Macro Trend Monitors

Asset prices in aggregate reflect changes in conditions relative to expectations. As such, carefully monitoring macro market trends is an integral part of evaluating conditions in the macroeconomy. To do this, we use our macro trend monitors, which we share here. We begin with stocks:

Equity trends are maximally negative now. Next, we turn to bond market trends:

Bond market trends have turned negative once again after a brief period of positivity. We now move on to broad commodity aggregates:

Commodity trends remain extremely strong amid geopolitical tensions. Next, we examine our macro trend signals for Gold:

Gold trends have deteriorated meaningfully. Finally, we examine our trend signals for Bitcoin:

Bitcoin remains in a material downtrend.

Trend following is a good solution for many investors, as it is intuitive and provides solid risk control. However, the signals used in trend following are fairly basic, so we don’t think there should be a high barrier to entry for basic trend-following strategies. As such, we will provide access to a Basic Trend Program at zero cost to users for a portfolio of Stocks, Gold, Bitcoin, and Bonds. The program uses three layers of portfolio construction: a risk-parity base, a two-speed trend overlay, and a 15% maximum volatility cap. These layers are applied versus a benchmark beta of 60% Stocks, 15% Bonds, 15% Gold, and 10% Bitcoin. We will release a methodology note soon, but in the meantime, we share the summary statistics and current positioning below:

This program currently has a 0% max long position in Stocks, a 0% max long position in Bonds, a 50% max long position in Gold, and a 50% max long position in Bitcoin.

In risk-parity terms, this translates to Stocks: 0%, Bonds: 0%, Gold: 7%, Bitcoin: 4%, and Cash: 89%. This reflects an expected volatility target of 4%.

Please note that these positions do not directly reflect the Prometheus trend measures, which are relevant to our proprietary and paid programs. The positions in our Basic Trend Program use an equal split between 1-month and 6-month trends.

While basic trend following is a strong solution for many investors, there is a world of signals and strategies beyond it. We begin to address these in the following sections.

Macro Cycle Monitor

Our systems aggregate a wide range of fundamental economic data to produce timely, proprietary estimates of the current stages of the macro cycle. We share some of these gauges, starting with our signals for business cycle conditions:

Our latest readings continue to indicate an expanding business cycle. Next, we turn to monetary policy pressures. Our monetary policy gauge measures the pressures on the Federal Reserve to move monetary policy based on the trade-off between growth and inflation data. The higher our readings, the more pressure there is to hike policy rates. The lower the gauge, the more pressure there is to cut policy rates.

Pressures on monetary policy to tighten have further increased due to the energy price shock. Next, we turn to measures of economic tightness. Our gauges of manufacturing tightness tell us whether the economy is running up against capacity constraints when its readings are high, or when there is a significant amount of economic slack when readings are low:

Our latest readings show that manufacturing capacity utilization is rising.

Combining these indicators, a Macro Cycle Allocation would be long stocks (34%), flat bonds (1%), and long commodities (34%). We visualize the simulated path of using this process below:

We turn next to our macro signal composites, which capture faster-moving price dynamics.

Macro Signal Composites

Using the macro cycle gauges, adding asset-specific factors, and leveraging carry, trend, and reversion, we can create asset-class-specific composite signals. We share these signals below and their latest readings. These signals are proportional to our conviction for a given asset and are directly tradeable. We begin with our stock signals for SPY:

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Energy markets have begun to rally dramatically, pricing in a massive inventory shock. We see this across energy markets:

The cross-asset macro trend implications are clear: markets have moved to price an inflationary shock. We show how our macro regime probabilities have shifted in the US to reflect this shock:

This inflationary shock will eventually make its way into reported inflation data, which we show below:

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We visualize the simulated return path for the program below:

To today’s note. Our observations are as follows:

• Macro assets have experienced a geopolitical shock in the form of the war in Iran, resulting in a shift in macro price trends.

• The business cycle is now in a slowing expansion, pressures on monetary policy to tighten have risen, and capacity utilization remains strong.

• Our forward-looking macroeconomic regime probabilities indicate a predominance of rising inflation outcomes.

• A procyclical allocation looks attractive, but with inflationary tilts.

Let’s begin sharing the data that drives our current assessment of the macro regime and our subsequent risk management and positions.

Macro Trend Monitors

Asset prices in aggregate reflect changes in conditions relative to expectations. As such, carefully monitoring macro market trends is an integral part of evaluating conditions in the macroeconomy. To do this, we use our macro trend monitors, which we share here. We begin with stocks:

Equity trends are decisively negative now. Next, we turn to bond market trends:

Bond market trends have turned negative once again after a brief period of positivity. We now move on to broad commodity aggregates:

Commodity trends remain extremely strong amid geopolitical tensions. Next, we examine our macro trend signals for Gold:

Despite the chop in Gold, the trend remains intact. Finally, we examine our trend signals for Bitcoin:

Bitcoin remains in a material downtrend.

Trend following is a good solution for many investors, as it is intuitive and provides solid risk control. However, the signals used in trend following are fairly basic, so we don’t think there should be a high barrier to entry for basic trend-following strategies. As such, we will provide access to a Basic Trend Program at zero cost to users for a portfolio of Stocks, Gold, Bitcoin, and Bonds. The program uses three layers of portfolio construction: a risk-parity base, a two-speed trend overlay, and a 15% maximum volatility cap. These layers are applied versus a benchmark beta of 60% Stocks, 15% Bonds, 15% Gold, and 10% Bitcoin. We will release a methodology note soon, but in the meantime, we share the summary statistics and current positioning below:

This program currently has a 50% max long position in Stocks, a 0% max long position in Bonds, a 100% max long position in Gold, and a 50% max long position in Bitcoin.

In risk-parity terms, this translates to Stocks: 23%, Bonds: 0%, Gold: 18%, Bitcoin: 5%, and Cash: 54%. This reflects an expected volatility target of 8%.

Please note that these positions do not directly reflect the Prometheus trend measures, which are relevant to our proprietary and paid programs. The positions in our Basic Trend Program use an equal split between 1-month and 6-month trends.

While basic trend following is a strong solution for many investors, there is a world of signals and strategies beyond it. We begin to address these in the following sections.

Macro Cycle Monitor

Our systems aggregate a wide range of fundamental economic data to produce timely, proprietary estimates of the current stages of the macro cycle. We share some of these gauges, starting with our signals for business cycle conditions:

Our latest readings continue to indicate an expanding business cycle, though we see further signs of slowing. Next, we turn to monetary policy pressures. Our monetary policy gauge measures the pressures on the Federal Reserve to move monetary policy based on the trade-off between growth and inflation data. The higher our readings, the more pressure there is to hike policy rates. The lower the gauge, the more pressure there is to cut policy rates.

Pressures on monetary policy to tighten have further increased due to the energy price shock. Next, we turn to measures of economic tightness. Our gauges of manufacturing tightness tell us whether the economy is running up against capacity constraints when its readings are high, or when there is a significant amount of economic slack when readings are low:

Our latest readings show that manufacturing capacity utilization is rising.

Combining these indicators, a Macro Cycle Allocation would be long

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