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 –Plummets in the past week; expected return and return no correction both go negative — downgrade to sell.
- JETS ETF – Drops precipitously again for the week amidst sizable volatility and COVID19 threats; both expected return and return continue to deteriorate — maintain sell.
- Oil – Another giant loss for the week; expected return and return no correction drop — maintain sell.
- USLargeCapGrowth – Pummeled in the past week as COVID19 threats resurface; metrics fairly undisturbed — maintain buy.
- USSmallCapValue – Drops in line with its large cap growth counterpart; both expected return and return no correction go negative — downgrade to sell.
- RealEstate ETF – Drops for the first time in 7 weeks; little change in metrics — maintain hold.
- TSLA – Volatile stock experiences another drop in the tumultuous week; expected return and return no correction hold up; crash probability slides — maintain hold.
- USUnvGradeBond – Slipped marginally in the prior week; maintains rally state; little change in metrics — maintain sell.
- Technology ETF – Big loser along with its large cap growth brethren; little change in metrics — maintain buy.
- HealthCare ETF – Slips yet again in the prior week; little change in metrics — maintain sell.
For more details see ECO Explanatory Notes
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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.