Asset Allocations

AugurMax Asset Allocation Changes 2022-09-30

Equity exposure was raised at month-end after risky assets fell again in September.  Much of the increase in equity exposure was sourced from CashCash remains high but no longer represents the largest single broad asset class exposure.  Equity exposure is more in line now with its long term average weighting but bonds remain well below their longer term average. 

Equity increases were concentrated in Emerging Markets and US Small CapsAustralia and Canada were reducedVIX exposure (which shows a positive YTD return) was bumped up a bit.  US REITs were cut back

Within bonds, we see shifts into UK Gilts and US High Yield but Europe and US Investment Grade bonds were both sliced. 

Commodities did not continue their ascent in September and commodity exposure in aggregate was raised further with Gold and NatGas being favored over Oil and Corn.

Aggregate currency exposure was moved to a long from a short with the Mexican Peso and the Swiss Franc representing the largest bets.  In aggregate, these recent moves represent a shift to favoring foreign currencies vis-a-vis the US dollar.

After their big rally in July, US equities lost ground in August and September and bottomed below their June 2022 lows (see worst drawdowns).  Historically, the speed (number of days to trough) in which the market drops is highly correlated with the speed of the recovery.  In looking back decades, the January–September drop was quite fast.  At September month-end, the somewhat neutral equity exposure prescribed here combined with the big cash position points to a fairly conservative portfolio.  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.