Bubbles, crashes, rallies, and corrections
The Efficient Crashes Optimizer (ECO) asset price model identifies signatures in price data indicating potential crashes or rallies and estimates the magnitudes, the probabilities, and the timing of expected moves. Using a set of assets of interest in the current market, various predictions from the modelling process are highlighted in the table below.
We track the simulated performance of this list by using the ‘hedge’ column to weight each asset return. Note that some assets can be levered up to 2X.
In addition to the assets shown here, these predictions and trading signals are useful to a wide variety of investors because they can be calculated on individual assets, index returns of equities, fixed income, commodities, or currencies over various periodicities. Portfolio managers, traders, CTAs, or risk managers around the globe can benefit from these timing tools.
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ECO Bubble Predictions
- Gold – Continues down for a second week as equities jump; stays in rally state; expected return and return no correction go negative — downgrade to sell.
- JETS ETF – Abrupt turnaround in the past week amidst equity market bounce; little change in metrics — maintain sell.
- Oil – Down slightly for the week; hedge improves — maintain sell.
- USLargeCapGrowth – Giant bounce in the past week; still in rally mode; expected return and return no correction skyrocket — upgrade to buy.
- USSmallCapValue – Rises with other equities but fails to keep up with its growth counterpart; expected return and return no correction improve — maintain sell.
- RealEstate ETF – Substantial gain for the week along with other interest-sensitive assets; maintains rally state; expected return and return no correction rise further — maintain buy.
- TSLA – Leaps out of its hole with a giant gain for the week; expected return and return no correction go negative — maintain hold.
- USUnvGradeBond – Records a decent gain for the week; rally state steady; expected return and return no correction go negative — downgrade to sell.
- Technology ETF – Big winner for the week along with its growth stock brethren; rally state steady; expected return and return go positive — upgrade to buy.
- HealthCare ETF – Finally bounces back and posts a huge gain for the week; maintains rally state; expected return and return no correction go positive — upgrade to buy.
- Bitcoin – Shows some resilience in the past week along with other risk assets; stays in rally state; expected return goes positive — upgrade to hold.
The simulated performance of this list is tracked here. For more details see ECO Explanatory Notes
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To download historical ECO scores or more information, contact kreuser@riskontroller.com.
ECO scores are an important input in the AugurMax investment process. A powerful, cutting edge asset allocation engine is created when combining ECO scores with the RisKontroller optimizer.