cubiculum auguria

Predictions

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.


ECO Bubble Predictions

  • Gold – Down for the first week in the past 5; maintains rally state; hedge goes positive — upgrade to hold.
  • JETS ETF – Bucks the equity market for the week with a huge gain; little change in metrics — maintain buy.
  • Oil – Another tremendous up week for WTI; moves out of crash state; expected return and return rise further — maintain buy.
  • USLargeCapGrowth – Pummelled in risk-off week;  expected return and return no correction drop below zero — downgrade to sell.
  • USSmallCapValue –  Flat return in generally down equity markets beating out its large cap growth counterpart substantially; little change in metrics — maintain buy.
  • RealEstate ETF – Gives back most of 2021’s last week of gains; correction size drops — upgrade to buy.
  • TSLA – Down in the past week; still in crash state; expected return and return no correction dip — maintain buy.
  • USUnvGradeBond –  Relatively big drop for fixed income in the past week; maintains rally state; expected return and return no correction deteriorate further — maintain sell.
  • Technology ETF – Down big in tandem with its large cap growth cohort; still in crash state; expected return and return no correction drop below zero — downgrade to hold.
  • HealthCare ETF – Worst weekly return in over a year; expected return and return no correction drop — downgrade to sell.

For more details see ECO Explanatory Notes

“WEBSITE AND THE INFORMATION CONTAINED HEREIN IS NOT INTENDED TO BE A SOURCE OF ADVICE OR CREDIT ANALYSIS WITH RESPECT TO THE MATERIAL PRESENTED, AND THE INFORMATION AND/OR DOCUMENTS CONTAINED IN THIS WEBSITE DO NOT CONSTITUTE INVESTMENT ADVICE.” 


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.