Asset Allocations

AugurMax Asset Allocation Changes 2024-02-29

Equity exposure was pushed up after stocks moved up in February.  Stocks are again the largest broad asset class and are above their longer term average weighting.  Bond exposures were throttled back a fair amount and are below their long term average weighting.  There was a marginal decrease in Currency exposure but it remains a short suggesting the dollar will strengthen.  Commodities exposure went positive.  Commodities are above their long term average weighting.

Additional Equity exposures were concentrated in Emerging Markets and the US Small CapsUS Large Cap stocks were cut back along with UK stocks.  The VIX exposure was moved down slightly so its positive weight essentially reduces equity exposure.  US REIT was unchanged.

Bond exposures were raised in the Emerging Markets.  US Investment Grade Bonds and TIPs were lowered.  Cash exposure slipped. 

Commodities moved up a fair amount and additions were concentrated in NatGas, Corn, and Gold.

The aggregate negative Currency exposure (indirectly) implies that US rates will be even higher relative to the rest of world in the short term.  The GB Pound exposure is the largest exposure and the Japanese Yen is the smallest. 

Stocks jumped in February as equity returns once again favored growth names in technology.  Bonds around the globe were mostly down as the stock-bond correlation broke down.  US Tips outperformed US Treasuries showing inflationary fears are still relevant (see breakeven inflation rates)US Large Caps are now 46% above their October lows (see worst drawdowns) with February’s gain adding 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.

 
  • unavailable
  • unavailable
  • unavailable