Prisma Newsletter: July 2022
Summary
- In July, the Prisma Equity Risk Indicator (ERIC) still indicated high risk and continues to urge caution. As a reminder, the ERIC is the equally weighted combination of all Prisma indicators.
- Since the beginning of the year, Prisma indicators have outperformed the S&P 500 index by 4.5% on average.
- The Vega indicator fully benefited from the recovery this month, maintaining its outperformance of 8.4% year-to-date.
- Despite the strong rebound, Credit and Macroeconomic indicators remained very bearish as they indicated elevated risk throughout July, thereby missing the rebound. Nevertheless, both continue to show strong outperformance so far this year as they have correctly switched to de-risking since the beginning of 2022.
- Finally, we made several improvements to Prisma in July: The indicators can now be applied to any asset traded on major stock exchanges. The rebalancing frequency and threshold can be selected as parameters. The user can also choose his/her transaction costs.