Prometheus S&P 500 Program

Protecting Gains

Welcome to the Prometheus S&P 500 Program. The Prometheus S&P 500 Program seeks to outperform the S&P 500 over a full investment cycle. We define a full investment cycle as a period of time where markets have experienced bull and bear markets with a generalized upward drift.

For the purposes of this post, we will share the programmatic views of the conservative version of this program. This program targets a 15% maximum drawdown. This version will lag indexes during extremely strong, highly volatile bull markets. However, over the full investment cycle, this program seeks to outperform by maintaining responsible upside exposure while reducing or avoiding drawdowns. We visualize the simulated path below:

Today, this program continues to control the equity market drawdown using its risk control measures. While the S&P 500 is down 11.4%, the Prometheus S&P 500 Program is down a much lower 5.9%. This is consistent with the portfolio’s objectives, i.e., maintaining upside exposure to equities while reducing or avoiding drawdowns.

In our last update, we noted that the sell-off in equity markets made them look more attractive rather than less. Since that note, equity markets have rallied 7%. Our systems have judged this rally to be a material richening versus macro conditions, leading our systems to adjust their positions.

Today, the portfolio is positioned as follows: