Asset Allocations

AugurMax Asset Allocation Changes 2024-05-31

Equity exposure was pushed up after stocks moved up in May.  Stocks remain the largest broad asset class and are above their longer term average weighting.  Bond exposures decreased and are below their long-term average weighting.  There was little change in Currency exposure and it remains a short.  This negative exposure suggests that the dollar will strengthen.  Commodity exposure went from positive to negative.  Commodities are a bit below their long term average weighting.

Several Equity regions received additional exposures with the Euroland, Emerging Markets, and US small caps getting bumped up the most.  Canada stocks were cut back along with Japanese stocks after both had hefty YTD gains.  The VIX exposure was essentially unchanged so its positive weight implies a decrease in equity exposure.  US REITs were reduced a fair amount.

Bond exposures were raised in US Tips and UK Gilts.  US High Yield, Emerging Markets, and Euroland Bonds were all lowered.  Cash exposure rose. 

Commodities moved down a lot and reductions were concentrated in Oil and NatGas.  Gold exposure rose.

The fairly sizable negative Currency exposure (indirectly) implies that US rates will be higher relative to the rest of world in the short term.  The Mexican Peso and the GB Pound were cut the most.  The Aussie dollar exposure is the largest and the Yen is the smallest. 

Stocks in May more than recouped their lost ground from April as equity investors shifted their focus back towards growth names in communication services and utilities and away from consumer discretionary.  Bonds around the globe were mixed as the stock-bond correlation remained weak.  US Tips performed in line with US Treasuries showing inflationary fears becoming somewhat benign (see breakeven inflation rates)US Large Caps are now 51% above their October lows (see worst drawdowns) with May’s gains 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.

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