Prometheus ETF Portfolio

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At Prometheus, we are committed to equipping our clients with the most granular, high-frequency, and actionable understanding of macro conditions in the industry. We offer our clients a range of research solutions, from big-picture macro themes to actionable trading signals. In the spirit of giving back to the community, we are excited to offer an All-Access week in our Institutional Services. Each day this week, we will unveil one product offering from our extensive Institutional Offering. If you’re interested in institutional access, please contact us at [email protected].

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Welcome to Prometheus ETF Portfolio. The Prometheus ETF Portfolio aims to allow everyday investors to access an investment solution that combines active macro alpha, passive beta, and strict risk control, all in an easy-to-follow, low-turnover solution. We aim to achieve strong risk-adjusted returns relative to cash, with limited capital drawdowns in depth and duration. We do this in a highly accessible package, which rotates between five highly liquid ETFs, readily available to any investor with a brokerage account. Let us dive into our assessment of macroeconomic conditions:

  • Market Monitor: Markets have now moved to price the dominance of inflationary conditions. This dynamic is a significant shift from recent regime pricing and is a weight on disinflationary assets. The distribution of regime probabilities is now more mixed. These incremental changes will continue to weigh on bonds, but potentially even equities if they continue.
  • Economic Data Monitor: Economic data momentum decreased this week. However, these declines in data momentum are modestly inconsistent with the big-picture dynamics in the economy, i.e., stable nominal growth conditions.
  • Long-Only Portfolio: Our long-only strategy is looking to position long Stocks: 16%(SPY), long Commodities: 19% (DBC), flat Bonds: 0%(IEF), long Gold: 21%(IAU), and Cash: 43%(BIL).
  • Long/Short Portfolio: Our long-short strategy is to position long Stocks: 16%, long Commodities: 19%, short Bonds: -52%, long Gold: 21%.

Since inception in November last year, our ETF Portfolio strategies have performed in line with their objectives, providing extremely strong risk-adjusted returns while maintaining drawdown control. This performance was due in large part to our systematic process of correctly identifying a regime of rising nominal growth and liquidity.

You can access the full note below:

Prometheus Next Gen ETF Portfolio – 04.19.2024

 

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