Asset Allocations

AugurMax Asset Allocation Changes 2021-11-30

Equity exposure was throttled back substantially at month-end with the bulk of the reallocation going to bonds.  There was also an appreciable decrease in commodities.  Cash exposure meanwhile was bumped up.  Equities remain the largest exposure but the increased bond exposure has moved that broad asset class into the double digits.  The equity decreases were concentrated in the Euroland, US Small Cap, and Emerging MarketsEquity allocations were not increased in any region.  The jump in the VIX allocation (now long) indirectly decreases overall equity risk exposure.  US REITs continue to represent a sizable bet. 

Within bonds, we see sizable shifts into UK Gilts, JGBs, and Emerging Markets.  On the other hand, inflation sensitive Tips were reduced considerably such that US Large Caps now represent the asset class with the biggest allocation.  Tips remain the largest bond holding even though they were defunded.

Overall commodity exposure was trimmed.  Gold and Corn were added to while Oil and NatGas exposures were pared.

Aggregate currency exposure was raised such that the pro-dollar tilt was essentially neutralized. The Japanese Yen, the Mexican Peso and the Euro were all added to.

There was considerable dispersion in global equities in November and a late month downdraft moved all global equity asset classes into the red.  The decreased equity exposure prescribed here reflects a portfolio positioned for a choppy market going into year-end.  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.