Bubbles, crashes, rallies, and corrections
The Efficient Crashes Optimizer (ECO) asset price model identifies signatures in price data indicating potential crashes or rallies and estimates the magnitudes, the probabilities, and the timing of expected moves. Using a set of assets of interest in the current market, various predictions from the modelling process are highlighted in the table below.
We track the simulated performance of this list by using the ‘hedge’ column to weight each asset return. Note that some assets can be levered up to 2X.
ECO Bubble Predictions
- Gold – Up marginally for the week; both expected return and return no correction go positive– upgrade to buy.
- JETS ETF – Another nice rebound for the week but metrics little changed — maintain sell.
- Oil – Hefty positive return for the week; return no correction goes positive; still in crash state — upgrade to hold.
- USLargeCapGrowth – Down more than the market for the past week as value outperforms; little change in metrics — maintain buy.
- USSmallCapValue – Big gain over large cap growth for the week; moves to crash state; return no correction goes positive; hedge still negative — maintain sell.
- RealEstate ETF – Up again for the week; still in crash state; little change in metrics — maintain buy.
- TSLA – Up big for the week on positive earnings surprise; moves out of crash state; most metrics improve slightly — upgrade to hold.
- USUnvGradeBond – Steady winner yet another week; little change in metrics — maintain buy.
- Technology ETF – Moves down but not as much as Large Cap Growth brethren; little change in metrics — maintain buy.
- HealthCare ETF – Decent return for the week; little change in metrics — maintain buy.
For more details see ECO Explanatory Notes
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ECO scores are an important input in the AugurMax investment process. A powerful, cutting edge asset allocation engine is created when combining ECO scores with the RisKontroller optimizer.