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.
ECO Bubble Predictions
- Gold – Another down week in the new year and expected return goes negative — sell.
- JETS ETF – Rally state now and expected return goes positive — shift to buy.
- Oil – Yet another positive week. Expected return jumps. Buy.
- USLargeCapGrowth – Little change in metrics — maintain buy.
- USSmallCapValue – Outperformer yet again for the past week, correction size goes flat — maintain buy.
- RealEstate ETF – Little change in metrics — maintain sell.
- TSLA – Big dip on the week; correction size and mispricing are both big but expected return still positive — maintain buy.
- USUnvGradeBond – Little change in metrics — maintain buy.
- Technology ETF – Underperformed for the week but little change in the metrics otherwise — maintain buy.
- HealthCare ETF – Little change in metrics — maintain buy.
For more details see ECO Explanatory Notes
“WEBSITE AND THE INFORMATION CONTAINED HEREIN IS NOT INTENDED TO BE A SOURCE OF ADVICE OR CREDIT ANALYSIS WITH RESPECT TO THE MATERIAL PRESENTED, AND THE INFORMATION AND/OR DOCUMENTS CONTAINED IN THIS WEBSITE DO NOT CONSTITUTE INVESTMENT ADVICE.”
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.