27 Comments

Will be watching this with great interest. May I suggest making an M1 Portfolio so that we may follow along in a test account. Great job thus far.

Expand full comment

+1 to the M1 Portfolio

Expand full comment
Nov 20, 2022Liked by Prometheus Research

Really impressive and generous. 🙏🏼 Thanks for concentrating so much research and knowledge into a strategy that a lot of people can (probably) understand and follow. Let alone the promise of providing the weekly positions! 👀

Expand full comment
author

Glad you found it useful! We’re here to help!

Expand full comment
Nov 18, 2022Liked by Prometheus Research

This is really impressive work! What does -5.3% mean on TLT allocation, is it TLT short?

Expand full comment
Nov 20, 2022Liked by Prometheus Research

Yes in the example it shows a short position in TLT.

Expand full comment
Nov 18, 2022Liked by Prometheus Research

Hi. What's the monthly subscription cost?

Expand full comment
author

It’s free, the latest update is out!

Expand full comment

Amazing guys! Great job

Expand full comment
author

Thank you!

Expand full comment
Nov 18, 2022Liked by Prometheus Research

This is very exciting. You guys do awesome work and it sounds like this will make it even easier to implement these great ideas. Great job btw on recent CPI guidance!

Expand full comment
author

It was the next logical step to help investors! Thank you!

Expand full comment
Nov 26, 2022·edited Nov 30, 2022

It would be great if you publish a table with backtest monthly returns, to be able to check correlations with other portfolios/systems/assets. Congratulations for your work and thank you for all the free info

Expand full comment

That's the typical BW way!

Expand full comment

!!!

Expand full comment

I wish the "Prometheus ETF Portfolio" was an ETF I could buy, but if that isn't possible a M1 portfolio.

Expand full comment

Is it possible to replicate this strategy in a non-margin account such as an IRA?

Expand full comment
author

Yes. However, it would require to be a long-only version. Will still provide a strong base.

Expand full comment

Any chance we get a preview for y’all’s read before this next cpi print?

Expand full comment

can we get an outlook on pce inflation numbers coming in tomorrow?

Expand full comment

Really impressive work! A few questions:

1. What explains huge underperformance for past 12 years? (~2x for Prometheus vs ~4x for 60/40)

2. Does adding granular equity sectors really enhance risk-adjusted returns vs just SPY? Is it possible to separate out the equity portion of the portfolio and compare to SPY?

3. Is there a big penalty to use TAGS instead of granular CANE, WEAT, SOYB etc. ?

4. Is there a big penalty to use XME instead of granular GLD, SLV, PALL ?

Expand full comment
Nov 20, 2022Liked by Prometheus Research

1. “Our portfolio underperformed 60/40 during this period, but risk-adjusted returns were significantly better (Sharpe Ratio 0.76 vs. 0.49). Furthermore, the portfolio has managed to keep pace, despite one of the largest monetary & fiscal-fueled asset bubbles in history.” — also look at the first chart showing backtest to 1970s.

2-4. Using granular ETFs is required as the portfolio will trade in long/short on a specific factor/sector. This is a not a buy and hold portfolio!

Expand full comment
Nov 20, 2022Liked by Prometheus Research

Thank you!

Expand full comment

great top down approach. thank you for sharing the framework and the allocations, looking forward for the weekly updates.

have a nice weekend

Expand full comment
author

Glad you liked it, more to come!

Expand full comment

Looks like a very compelling strategy. I'll be following along to see how it does out of sample. One thing I noticed is that aside from the currencies you are only incorporating US assets - any reason why you aren't including non-US assets?

Expand full comment
author

Thank you. Our systematic fundamental tracking & forecasting is driven by our expertise in US macro. Given data variation globally, it will take some time to replicate in other geographies. Very much on our minds however, and will likely result in much more robust performance. In good time.

Expand full comment