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 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.
