Positions Only: Staying Diversified
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 latest Month In Macro note, which contains the conceptual underpinnings of our systematic process within the context of the latest economic data:
This week, we will keep this note limited to new positions to allow readers to focus on the takeaways from our latest Month In Macro note released earlier today. The Prometheus ETF Portfolio was down 0.1%, while a 60/40 stocks & bonds portfolio was down 0.40%. Diversity was protected in this environment as expected, though it was largely downside mitigation.
Turning to next week, our systems are looking to position as follows:
POSITIONS: Cash: 34.89% IEI : 11.12% FXE : 7.97% IEF : 7.17% FXB : 6.18% VCIT: 5.27% USHY: 3.89% GLD : 3.16% XLV : 2.68% XLP : 2.44% SPX : 2.06% XLI : 1.96% XLC : 1.67% XLK : 1.59% XLY : 1.48% WEAT: -1.47% XHB : 1.43% USO : -1.13% CANE: 1.05% SLV : 0.75% UNG : -0.64%
We show this allocation at the asset class level:
This allocation has an expected volatility of 6.6% and a maximum expected volatility of 10%. Given the diversity of the portfolio, there is a low likelihood of achieving maximum expected volatility, barring a significant shock to policy expectations.
Starting next week, we will begin to unveil some of our new tools. Stay tuned!