AugurMax Asset Allocation Changes 2021-05-31
At the end of May, we show bigger weights to bonds and commodities as currencies and especially cash were reduced. Within equities, Euro stocks got the biggest bump up and now represent the third biggest equity exposure behind US large caps and Canada. Australian and Emerging Market stocks were also increased as US small caps were reduced dramatically. We see the substantial shorts to Emerging Equities, Japan, and the UK offsetting the large bets on US large caps, Canada, and now Euro stocks. The recent tapering of the VIX exposure (still long) reduces the equity hedge and the latest move indirectly increases equity risk.
Cash exposure has moved to zero after being a drag on performance for most of 2021. Within domestic bonds, the big High Yield bet has been throttled back and now represents a short. Emerging market bonds were added to the most as they went from a big short to a long. Tips received a big boost and are now a big bet over Ten Year Treasuries which is a short. Commodities were boosted somewhat with pickups in Gold and NatGas more than offsetting the big drop in the Corn exposure (reduced to a short after its big loss in May). Currency exposure was trimmed a bit as the Swiss Franc was added to and the GB Pound was defunded. Canadian dollar exposure was increased and still represents the largest currency bet. All told, the net currency bet against the US dollar persists.
Despite increases in bond exposures and the elimination of cash, AugurMax’s risk exposure was largely unchanged. 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.