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Long Cash & Dollar
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:
We will keep today’s note extremely brief as we are in the process of putting the final touches on the next edition of Month In Macro. We highly recommend you get acquainted with our outlook from the last edition prior to the next one.
This week, the Prometheus ETF Portfolio was down 0.30%. This loss came as the market moved against our bets that tightening liquidity conditions would take hold, causing losses on both our dollar longs and silver shorts. We show the composition of returns below:
These losses are well within the range of expected outcomes, and we see little cause for concern. Markets are at a difficult point in the cycle, with conflicting signals across economic data. As we progress through the cycle and cyclical conditions take hold, our systems will likely again size up positions. Turning to next week, our systems are looking to allocate as follows:
Positions: Cash (BIL): 49.34% UUP : 27.71% GLD : 5.75% XLI : 3.48% XLF : 3.3% XLB : 3.19% XLK : 2.71% XHB : 2.43% XLE : 2.09%
At the asset class level:
This allocation has an expected volatility of 6.3%, with a maximum expected volatility of 10%. Given the diversity of bets, we think it is unlikely to achieve maximum volatility on this allocation. We look forward to sharing our latest thoughts on the current dynamics in our latest Month In Macro. Until next week.