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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:

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.

• 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

Read more

Subscribe now

We visualize the simulated return path for the program below:

To 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% maximum long position in Stocks, a 100% maximum long position in 30-year Treasuries, a 100% maximum long position in Gold, and a 0% position in Bitcoin.

In risk-parity terms, this translates to: Stocks: 32%, Bonds: 91%, Gold: 25%, Bitcoin: 0%. This is a leveraged portfolio targeting a 9.4% volatility.

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.

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 are experiencing cross-asset trends that are beginning to shift, with equity trends now in negative territory, commodity trends remaining strong, and bond trends remaining weak.

• The business cycle is now in a slowing expansion, pressures on monetary policy remain biased towards tightening, and capacity utilization remains strong.

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

• It is early days, but a more cautious asset allocation looks warranted.

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 have turned nascently negative. Next, we turn to bond market trends:

Bond market trends have turned positive. We now move on to broad commodity aggregates:

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

The gold uptrend 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% maximum long position in Stocks, a 100% maximum long position in 30-year Treasuries, a 100% maximum long position in Gold, and a 0% position in Bitcoin.

In risk-parity terms, this translates to: Stocks: 20%, Bonds: 53%, Gold: 15%, Bitcoin: 0%, and Cash: 12%.

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.

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 are experiencing cross-asset trends that are beginning to shift, with equity trends weakening, commodity trends remaining strong, and bond trends remaining weak.

• The business cycle is now in a slowing expansion, pressures on monetary policy remain biased towards tightening, and capacity utilization remains strong.

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

• A procyclical asset allocation remains appropriate, but caution is warranted.

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 have turned neutral as prices stagnate. Next, we turn to bond market trends:

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

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

Despite the sell-off 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 100% maximum long position in Stocks, a 100% maximum long position in 30-year Treasuries, a 100% maximum long position in Gold, and a 0% position in Bitcoin. In risk-parity terms, this translates to: Stocks: 22%; Bonds: 59%; Gold: 17%; Bitcoin: 0%; with cash at 1%.

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.

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 are experiencing cross-asset trends consistent with strong nominal growth: equities and commodities are rising, while bond trends are now more neutral.

• The business cycle remains in an expansion, pressures on monetary policy are now biased towards tightening, and capacity utilization is rising.

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

• A procyclical asset allocation remains appropriate.

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:

Equities trends remain positive, though they have moderated. Next, we turn to bond market trends:

Bond market trends have improved to neutral from negative. We now move on to broad commodity aggregates:

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

Gold trends remain 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% maximum long position in Stocks, a 100% maximum long position in 30-year Treasuries, a 100% maximum long position in Gold, and a 0% position in Bitcoin. In risk-parity terms, this translates to: Stocks: 18%, Bonds: 47%, Gold: 14%, Bitcoin: 0%, with cash at 21%.

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:

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 are experiencing cross-asset trends consistent with strong nominal growth: equities and commodities are rising, while bonds are falling.

• The business cycle remains in an expansion, pressures on monetary policy are now biased towards tightening, and capacity utilization is rising.

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

• A procyclical asset allocation remains appropriate.

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:

Equities trends remain positive, though they have moderated. Next, we turn to bond market trends:

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

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

Despite the sell-off 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 holds a 50% maximum long position in Stocks, 100% maximum long position in 30-Year Treasuries, a 100% maximum long position in Gold, and a 0% position in Bitcoin. In risk-parity terms, this translates to: Stocks: 18%, Bonds: 47%, Gold: 14%, Bitcoin: 0%, with cash at 21%.

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:

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 are experiencing cross-asset trends consistent with strong nominal growth: equities and commodities are rising, while bonds are falling.

• The business cycle remains in an expansion, pressures on monetary policy are now biased towards tightening, and capacity utilization is rising.

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

• A procyclical asset allocation remains appropriate.

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:

Equities trends remain positive, though they have moderated. Next, we turn to bond market trends:

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

Commodity trends remain strong. Finally, we examine our macro trend signals for gold:

Despite the sell-off in gold, the trend remains intact. Pro-growth assets continue to trend higher, while nominal bonds struggle.

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 show consistent signs of an expanding business cycle. Next, we turn to monetary policy pressures. Our monetary policy gauges measure 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 remain biased towards tightening. 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 (30%), flat bonds (0%), and long commodities (36%). We visualize the simulated path of using this process below:

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

Read more

We visualize the simulated return path for the program below:

Today, the ETF Program is positioned as follows:

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 are experiencing cross-asset trends consistent with strong nominal growth: equities and commodities are rising, while bonds are falling.

• The business cycle remains in an expansion, pressures on monetary policy are now biased towards tightening, and capacity utilization is rising.

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

• A procyclical asset allocation remains appropriate.

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:

Equities trends remain positive, though they have moderated. Next, we turn to bond market trends:

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

Commodity trends have gained considerable strength. Finally, we examine our macro trend signals for gold:

Gold markets continue to show positive trends. Pro-growth assets continue to trend higher, while nominal bonds struggle.

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 show consistent signs of an expanding business cycle. Next, we turn to monetary policy pressures. Our monetary policy gauges measure 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 remain biased towards tightening. 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 (33%), flat bonds (0%), and long commodities (33%). We visualize the simulated path of using this process below:

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

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 are experiencing cross-asset trends consistent with strong nominal growth: equities and commodities are rising, while bonds are falling.

• The business cycle remains in an expansion, pressures on monetary policy are now biased towards tightening, and capacity utilization is rising.

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

• A procyclical asset allocation remains appropriate.

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:

Equities trends remain strong and persistent. Next, we turn to bond market trends:

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

Commodity trends have gained considerable strength. Finally, we examine our macro trend signals for gold:

Gold markets continue to show positive trends. Pro-growth assets continue to trend higher, while nominal bonds struggle.

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:

Read more

We visualize the simulated return path for the program below:

To today’s note. The team will be on vacation through the New Year for some much-needed rest and relaxation. For the duration of this break, portfolios will be published in “positions-only” format. We’ll be back at it in full swing next week.

Today, the ETF Program is positioned as follows:

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