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! 👀
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!
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
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 ?
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!
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?
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.
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.
+1 to the M1 Portfolio
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! 👀
Glad you found it useful! We’re here to help!
This is really impressive work! What does -5.3% mean on TLT allocation, is it TLT short?
Yes in the example it shows a short position in TLT.
Hi. What's the monthly subscription cost?
It’s free, the latest update is out!
Amazing guys! Great job
Thank you!
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!
It was the next logical step to help investors! Thank you!
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
That's the typical BW way!
!!!
I wish the "Prometheus ETF Portfolio" was an ETF I could buy, but if that isn't possible a M1 portfolio.
Is it possible to replicate this strategy in a non-margin account such as an IRA?
Yes. However, it would require to be a long-only version. Will still provide a strong base.
Any chance we get a preview for y’all’s read before this next cpi print?
can we get an outlook on pce inflation numbers coming in tomorrow?
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 ?
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!
Thank you!
great top down approach. thank you for sharing the framework and the allocations, looking forward for the weekly updates.
have a nice weekend
Glad you liked it, more to come!
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?
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.