Asset Allocations

AugurMax Asset Allocation Changes 2022-05-31

Equity exposure was decreased dramatically at month-end after stocks were mixed in May.  Bonds were pushed up a bit and currencies moved from a short to a substantial long position.  Cash exposure remains high and it continues to represent the largest single asset exposure.  Equity exposure is far below its long term average weighting.  Bonds are in line with its longer term average. 

Equity increases were concentrated in Austrailia and the Emerging Markets.  Stocks in the Euroland, Japan, US, UK, and Canada were throttled back.  VIX exposure was cut back slightly but remains positive; a positive VIX exposure implies an inverse equity bet.  US REITs were reduced further and remain a short. 

Within bonds, we see shifts into US High Yield and UK Gilts after their big YTD declines.  US TenYr Treasury and Europe Bond exposures were both sliced. 

Commodities outperformed the other broad asset classes again but commodities in aggregate were pared such that they now represent a short.  The Corn weighting was scaled back the most.

Aggregate currency exposure jumped up considerably and currency exposure in aggregate is a sizable long.  This move implies a big bet against the US dollar.  The Japanese Yen, Euro, and the GB Pound exposures were all jacked up.

US equities put in a short term bottom 5/19/2022.  In other words, the drawdown (see worst drawdowns) deepened such that it now ranks the 15th worst since 1928.  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–May drop was quite fast.  At May month-end, the heavy cash exposure prescribed here along with only a minor equity position reflects a fairly conservative portfolio positioned for yet another choppy market in June.  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.