Asset Allocation: August 2024
Monthly Report
The Prometheus Asset Allocation program offers a stable, macro-focused approach to asset management. Prometheus Asset Allocation aims to outperform a traditional stock and bond portfolio by leveraging our proprietary systematic macro process to rotate between 3 ETFs monthly (plus cash).
Our key takeaways are:
Macro Monitor: Markets have now moved to decisively price in a Slowing But Growing economy, with stocks flat this month, while bonds rallied dramatically, and commodities sold off. The consistency between market pricing a fundamental conditions continues to suggest regime stability. Currently, our systems see a limited risk of nominal or real growth contraction, expecting a nominal GDP of 3.8% in Q4 of 2024 versus one year prior. Slowing is the first step towards contraction, but the current slowing is inadequate to facilitate a contraction. We think this is a trend to watch very closely.
Asset Allocation: Our Asset Allocation program saw gains of 1.4% last month, on the back of gains from bonds. Consistent with our systematic fundamental
outlook, the Prometheus Asset Allocation Strategy is currently positioned long SPY (39%), flat TYA (18%), long DBC (19%), and Cash (25%). This allocation is consistent with a long-term expected volatility of 10%. Our equity positions continue to reflect an expanding economy with limited recessionary risks, while our commodity and bond positions reflect the lack of cyclical extremes in the economy. Without any large shifts in the economy, diversity is likely to outperform concentration.
You can access the full note below:
Additionally, the video can be accessed below:
Glad to hear it! Anything in particular? Some of the data may have updated between the two decks. The presentation is made after the positions are sent out
Do you have anything that shows a rough approximation of the models allocations to the different assets over time? Also, have you published anything diving into the various differences between the ETF portfolio and the asset allocation portfolio? Thanks in advance!