Shift in our Equity Strategies: Positive to Balanced.
As already stated in our latest monthly letter, EyePerformance’s indicators have been broadly signaling a bullish landscape since the second week of November—immediately following the US elections—when they turned around and pointed to a risk-on stance. This switch translated into an extra performance of our USD models of 7.5% after fees and 3.5% for our EUR models in exactly two months. In line with this scenario, our different bond and equity strategies reached accordingly their maximum levels of exposure to risky assets and the start of the year has been very promising.
At EyePerformance we have recently developed a new feature in our Asset Allocation models that produce signals of extreme intrinsic valuations on a portfolio level vis a vis the different strategies, thereby, indicating points in time where the expected return at any given risk is sub-optimal. This asymmetry in the risk/return relationship is reflected in the loss of diversification and convexity, and therefore a switch to a less aggressive allocation should be implemented. This is what our models currently suggest, an extreme and not optimal scenario for the positive portfolios as per construction. Therefore, all EyePerformance Equity strategies are switching today from the Positive to the Balanced portfolio.