Prometheus ETF Portfolio
Unconstrained Risk
Welcome to Prometheus ETF Portfolio. The Prometheus ETF Portfolio aims to allow everyday investors to access an investment solution that combines active macro alpha, passive beta, and strict risk control, all in an easy-to-follow, low-turnover solution. We aim to achieve strong risk-adjusted returns relative to cash, with limited capital drawdowns in depth and duration. We do this in a highly accessible package, which rotates between three highly liquid ETFs, readily available to any investor with a brokerage account.
We visualize the simulated return path for the program below:
Our observations are as follows:
The distribution of forward-looking macroeconomic regime probabilities is now dominated by falling growth.
Our high-frequency tracking of macroeconomic fundamentals suggests low realized volatility in fundamental macroeconomic conditions, but high prospective volatility as indicated by markets.
Our systems take signals from markets and the economy to create a comprehensive, high-frequency macro view. Following the significant rally in assets and the compression in volatility relative to recent history, our systems have now increased their risk exposures.
Let's begin sharing the data that drives our current assessment of the macro regime and our subsequent risk management and positions.
Macro Regime Monitor
Our Macro Regime Monitors combine measures of macro trend, mean reversion, expected returns, and fundamental economic conditions to estimate tomorrow’s cross-asset, macro market environment. We recommend checking out the primer if you’re unfamiliar with these tools:
We share the latest readings below:
Our Macro Regime Monitors have moved towards falling growth as the dominant regime after explosive gains in growth assets on Monday. We visualize the expected return profiles that one can expect during this distribution of predicted regimes below:
Once again, a mix of stocks and bonds looks attractive.