Asset Allocations

AugurMax Asset Allocation Changes 2021-10-08

On October 8th, asset allocation changes include backing off the dollar and oil bets, moving bonds to equities, and shifting even more into cash.  Despite the defunding, bonds remain the largest exposure.  The equity increases were concentrated in Australia and the US (large caps).  Japan, UK, and US REITs, on the other hand, were defunded.  The additional VIX allocation indirectly decreases the overall equity risk exposure.

Within bonds, we see a sizable shift into US Ten Yr Treasuries sourced from Tips.  European Bonds were also throttled back.  Inflation sensitive Tips remain the largest overall portfolio holding.

Overall commodity exposure was trimmed.  Oil was added to while Gold and NatGas allocations were lowered.

Aggregate currency exposure remains a short with considerable movements out of the Canadian Dollar and Swiss Franc and into the Aussie Dollar.

So far equities have snapped back in October.  The subtle increase in equity exposure here lends some credence to a continuation of the extraordinary bull market of the past 18 months.  The prescribed changes are largely influenced by our ECO methodology.  Performance results (on a stand-alone basis) for assets like gold and others using our ECO metrics are shown here.