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.
We visualize the simulated return path for the program below:
To complement this offering, we recently released our Crisis Protection Program. The Prometheus Crisis Protection program seeks to offer a portfolio diversifier during periods of economic and financial instability by blending active, long-only exposure to Gold, TIPS, and VIX. The program is designed to have minimal turnover, barring crisis periods, and is meant to be a portable solution for both active and passive equity market investors. With an average Sharpe Ratio of 2.0 during days when the equity market declines, we expect the Prometheus Crisis Protection Program to offer a valuable addition to investor portfolios.
You can read the full primer here as well:
Back to our ETF Program. Our observations are as follows:
Macro assets are experiencing strong upward trends in aggregate, with trends led by stocks and gold.
The business cycle remains in an expansion, pressures on monetary policy are now biased towards tightening, and capacity utilization remains muted.
Our forward-looking macro regime probabilities show a dominance of rising 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 continue to show extremely strong trend signals. Next, we turn to bond market trends:
Bond market trends are significantly positive. We now move on to broad commodity aggregates:
Commodity trends are showing instability. Finally, we examine our macro trend signals for gold:
Our trend signals continue to show robust trends in gold. Assets in aggregate are experiencing strong upward trends, suggesting stable financial conditions and moderate macro volatility.
Macro Cycle Monitor
Our systems aggregate a wide variety of fundamental economic data to create timely proprietary estimates for the current stages of the macro cycle. We share some of these gauges, starting with our signals for business cycle conditions: