Asset Allocations

AugurMax Asset Allocation Changes 2021-07-31

At the end of July, we show a sizable reallocation to bonds from stocks along with a considerable negative bet on foreign currency exposure.  Within equities, Euroland, Emerging Market, and Japan stocks were cut back the most while US Large Caps had a moderate increase.  US Large caps, Canada, and Australia represent the only equity exposures currently.  We see the substantial shorts to Japan and US small caps persisting.  The VIX move from a short to a long indirectly reduces the overall equity risk exposure.

Within domestic bonds, High Yield, Tips, and Investment Grade all had dramatic increases.  Meanwhile, Emerging Market Bonds went to a short from a hefty long position.  Inflation sensitive Tips are the largest fixed income exposure along with Investment Grade Bonds.  Ten Year Treasuries have been kept as a short. 

Overall commodity exposure is now short as the reduction in Corn exposure moved it to a moderate short.  Gold remains a short while the energy exposure is de minimis. 

While aggregate currency exposure remains a considerable short, additions were actually made to the Swiss Franc, Yen, and GB Pound.  The Euro and the Mexican Peso were both cut.  The aggregate currency short bet implies that US dollar strength will continue and the reallocations within currencies resulted in a safer F/X profile.

July was a mixed bag for global stocks and the cutback in equity exposure here shows a modest equity correction in the offing.  Less risky bonds have picked up the slack.  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.