AugurMax Asset Allocation Changes 2024-06-30
Equity exposure was pushed down after stocks surged in June. Stocks remain the largest broad asset class and reallocations at month-end brought them more in line with 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 once again that the dollar will strengthen. Commodity exposure went from negative to a slight positive. Commodities are in line with their longer term average weighting
Several Equity regions including Canada and US LargeCaps received additional exposures but the lion’s share went to Japan. Euroland stocks were cut back the most along with US Small Caps after both dropped in June. The VIX exposure was unchanged so its negative weight implies an increase in equity exposure. US REITs were added to in a big way.
Bond exposures were raised in US Tips and JGBs. US High Yield, Emerging Markets, and Euroland Bonds were all lowered. Cash exposure rose.
Commodities moved up and additions were concentrated in Oil and NatGas. Gold exposure fell considerably.
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 Aussie Dollar were cut the most yet the Aussie dollar exposure remains the largest. The Mexican Peso is the smallest.
Stocks in June surged on enormous moves in technology stocks spurred on by the promise of productivity enhancements from AI. Bonds around the globe were mixed as the stock-bond correlation remained weak. US Tips underperformed US Treasuries showing inflationary fears becoming somewhat benign (see breakeven inflation rates). US Large Caps are now 57% above their October lows (see worst drawdowns) with June’s gain 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.
