AugurMax Asset Allocation Changes 2021-12-31
Equity exposure was throttled back substantially at month-end with the bulk of the reallocation going to cash. There was also a large decrease in bonds. Cash exposure is now at its highest allocation in over 4 years. Equities remain well below long term average exposures. Bonds are similarly below their longer term weighting. The equity decreases were concentrated in Canada, US Large Cap, and Japan. Equity allocations were increased in the UK, Euroland, and Australia. The decrease in VIX exposure (now zero) indirectly increases overall equity risk exposure. US REITs were reduced dramatically and now represent a short.
Within bonds, we see sizable shifts into Emerging Markets and US Treasuries. JGB exposure was throttled back and now represents the largest short. On the other hand, inflation sensitive Tips were added to once more as they remain the largest bond holding and are now just behind Cash as the biggest allocation.
Overall commodity exposure was bumped up marginally with only Corn being added to while Oil and NatGas exposures were pared.
Aggregate currency exposure was raised again such that in aggregate, currencies now represent a bet against the dollar. The Euro, the Mexican Peso and the SwissFranc represent some of the bigger increases to currencies.
December 2021 was marked by choppy equity markets for the first 20 days. Thereafter, a voracious Santa Claus risk-on rally ensued in keeping with the year-end tradition. In fact, one must go back 31 years to beat the 4.3% (US Large Cap) 2021 Santa Claus return. The decreased equity exposure prescribed here reflects a conservative portfolio positioned for a choppy market in January. 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.