Portfolio Rebalance / May 24 2022
Observations on Signal Sigma Strategies weekly positioning and transactions
As you know, Tuesday is the day when all of our strategies rebalance their asset class holding weights.
Not surprising for followers of our automated models, our focus remains on commodities and Gold this week as well. After establishing a short term bottom, Gold appears to be ready for a sustained move higher. Let’s take a look at the updated chart below.
GLD, the proxy for precious metals has managed a bounce from oversold conditions and has broken above key resistance. As long as the price holds up, we expect gold to act as a safe haven here, with a clear upward bias. As fear creeps into markets, gold will catch a bid. It will also benefit from the relative underperformance of the US Dollar, which is coming off its overbought condition. We stay long here, and find good reasons to also add to exposure.
DBC Analysis (Commodities Index ETF)
DBC, the proxy for commodities, is not as overbought as last week. It is therefore less prone to any major pullback. The move can also be interpreted as a loss of momentum, as price consolidates at higher levels.
Enterprise Strategy
Enterprise has 43% gold exposure, after adding 27% to the overall position at today’s market close.
Since this model only trades 4 asset class ETFs, we use it to judge overall portfolio positioning.
DBC allocation is slightly above target and will be sold on any sell signal. The strategy is aiming to adjust the position, and harvest some gains, after the explosive run-up
Cash reserves (USD) at 31% are dropping, but are still adequate to hedge volatility and chase emerging opportunities when they appear.
Nostromo Strategy
Nostromo is upping exposure to Gold this week as well, after the convincing bounce from oversold and break above significant resistance. It will order an exposure increase by 28% at today’s close.
Cash levels sit at 59%, so volatility is easily hedged.
Horizon Strategy
Horizon is our most aggressive model. It is always looking to gain exposure before the other models have a chance to trigger trades.
This week, Horizon is essentially a variant of Enterprise. The only significant difference comes from Horizon’s ETF evaluation technique, that also chooses Gold in the Commodities space.
This happens because the risk/reward for gold versus commodities in general is skewing positive for Gold, as it is exiting an oversold condition. Commodities, on the other hand, are looking hot and ripe for a pullback.
Cash is at 31% of allocation.
Andrei Sota