Prometheus continues to grow and remains committed to bringing institutional-grade systematic investment strategies and research to everyday investors. We’re now 15,000 strong. To welcome you all, we’re offering a discount to new subscribers for the next year:
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.
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:
