AugurMax Asset Allocation Changes 2024-09-30
Equity exposure was pushed up for the first time in four months after stock returns in September were buoyed by the Fed’s open market committee decision. Stocks are once again the largest broad asset class and re-allocations at month-end brought them a bit above their longer term average weighting. Bond exposures dipped and are more or less in line with their long-term average weighting. Currencies jumped up and represent an overweight. The positive Currency exposure suggests that the dollar will weaken vis-a-vis foreign currencies. Commodity exposure was essentially unchanged. Commodities are marginally below their longer term average weighting.
Canada, Australia, and Emerging Markets were the only equity regions receiving additional exposure — all other equities were cut. US Large Cap stocks were cut back the most along with stocks in the UK and Japan. The VIX exposure was reduced resulting in a negative weight which indirectly implies an increase in equity exposure. US REITs were cut.
Bond exposures were raised primarily in US High Yields and Emerging Markets. US Tips and UK Gilts were cut the most. Cash exposure fell.
Commodities were reduced in Oil and NatGas. Gold exposure rose.
The positive Currency exposure (indirectly) implies that rates in the US will be lower versus rates in the global market in the short term. The Japanese Yen was added to the most while exposure to the Euro was cut. The Swiss Franc exposure remains the largest while the Euro is the smallest.
Stocks in September were fairly strong even as early month volatility rattled international markets. Ultimately, Energy and Health Care stocks were spurned in favor of Utilities and Consumer Discretionary. Bonds rose in all regions for a second month. US Tips performed in line with US Treasuries implying benign inflationary fears (see breakeven inflation rates). US Large Caps are now 65% above their October 2022 lows (see worst drawdowns) with October’s gain contributing to that recovery. 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.