Long Commodities Into 2023
Welcome to our official publication of the Prometheus ETF Portfolio. The Prometheus ETF portfolio systematically combines our knowledge of macro & markets to create an active portfolio that aims to offer high risk-adjusted returns, durable performance, & low drawdowns. Given its systematic nature, we have tested the Prometheus ETF Portfolio through decades of history and have shown its durability. For those of you who are unacquainted with our systematic process, we offer a detailed explanation here:
In this publication, we will discuss the performance, positioning, & risks of the Prometheus ETF Portfolio and it will be published every week on Fridays to help investors understand how our systematic process is navigating through markets. Before diving into our ETF Portfolio positions, we think it is important for subscribers to understand the context within which our systems choose their exposures. Below, we offer our detailed Month In Macro note, which contains the conceptual underpinnings of our systematic process within the context of the latest economic data:
Our team is taking a short break for the holiday season this week, so we’ll keep our commentary concise for this note. This week, the Prometheus ETF Portfolio produced a positive return amidst a tough week for traditional 60/40 stocks and bonds. The portfolio allocation was up 0.20%, consistent with a low expected volatility of 7.5%. Below, we show the contributions to this portfolio returns:
This is a welcome outcome amidst an extension of the drawdowns of a traditional 60/40 portfolio. This is consistent with our long-term expectations, which come from our system design, i.e., we aim to outperform during periods of 60/40 drawdowns. We show some simulated historical context below:
Turning to next week, our systems are looking to allocate the Prometheus ETF Portfolio as follows:
As we can see above, our positioning remains roughly in line with last weeks allocation, with positions consistent with an expected volatility of 7.5% and amxium volatility of 10%. verall, our positioning reflects the predominance and persistence of stagflationary nominal growth. The potential for slowing inflation remains in place, but the first derivatives of inflation remain elevated. We continue to allocate with the cycle. We will continue to update the Prometheus ETF Portfolio through the holiday season, and our more detailed commentary will resume in the new year. Happy holidays.