AugurMax Asset Allocation Changes 2021-03-31
At the end of March, we show shifts into riskier assets like equities and commodities concurrent with a big drop in currency exposure. Within equities, Euro stocks and US Small Caps were increased. Canadian stocks were cut the most and the defunding of Emerging Equities continues so that it now represents the largest short.
Some cash exposure remains but it has been curtailed substantially. Within domestic bonds, only High Yield shows a positive allocation while Investment Grade, Tips, and Ten Year Treasuries are all shorts. UK Gilts and Emerging Market bonds represent sizable shorts but Euro Bond exposure moved to a long at month-end. The sizable commodity increase stems from a new big bet on Corn. Net commodity exposure has now gone positive with this big reallocation. Currency exposure plummeted with the Aussie dollar, the Pound, and the Euro all getting cut dramatically. On the other hand, exposure to the (chronically underperforming) Mexican Peso leapt and now represents a long. The net currency bet against the US dollar has essentially been eliminated.
These month-end reallocations moved the AugurMax portfolio to a more aggressive mix. The 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 is shown here.