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Prometheus ETF Portfolio
New Positions Only: Research Update Later Today
We are working on some updates and will have research coverage that accompanies our weekly Prometheus ETF Portfolio a little later today. For those looking for our updated positions, please see below:
Positions: Cash (BIL): 41.95% UUP : 26.84% IEI : -13.01% DBC : -9.58% GLD : 5.57% UNG : -3.03%
At the asset class level:
This portfolio allocation has an expected volatility of 5.3%, with a maximum expected volatility of 10%. While the asset class base of this portfolio is adequately diverse, the combination of these bets reflects our system views that liquidity conditions are likely to drive markets lower, making cash and the dollar more attractive. We will discuss more of our views in context later today.
As a reminder:
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:
To understand the context within which our systematic approach is making its allocation decisions, 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:
Until later today.