Prometheus S&P 500 Program

Risk Control & Diversification

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 during which 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 may lag behind indexes during extremely strong and 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 10%, the Prometheus S&P 500 Program is down a much lower 4.4%. This is consistent with the portfolio’s objectives, i.e., maintaining upside exposure to equities while reducing or avoiding drawdowns.

In our previous note, we highlighted the importance of diversification in a period of low signal strength and high uncertainty. This diversification paid off well over the last week.

Today, the portfolio is positioned as follows: