While August is usually associated with winding down the final weeks of summer, public markets did not appear to pay much attention to the calendar. A broad market pullback early in the month was followed by a rally across mid and large caps over the last two weeks, and the behavior of our primary Russell 2000 benchmark has reacted accordingly. The GeoSense tracking index is tied to the BlackRock iShares R2K ETF (ticker IWM), and has captured this activity, projecting a month end average August price of 210, down roughly 10 points from the previous month.
For August 2024, the GeoSense ensemble model has highlighted the following variables as key price determinants:
- Oil prices
- Unemployment statistics
- FX (primarily Yuan/Dollar and Dollar/Euro)
- Metals (gold, silver, copper, zinc)
- Soft commodities (cocoa, sugar)
- Climate factors related to La Niña
In last month’s GeoSense Market Intelligence discussion, we expanded the IRT weighting schemes the following three categories:
1. Equal Weight
2. Invested Capital-Weighted
3. Frequency-Weighted
The chart above begins the IRT performance comparison after the initial 2020 COVID market disruption and follows through to the end of the last full trading month (July 2024). We can see that the IRT hypothetical portfolio under all three experimental weighting schemes outperforms the selected benchmark (the BlackRock iShares Russell 2000 ETF) over this period while minimizing drawdowns in a diverse and low-concentrated portfolio. Looking ahead we plan to rebalance the portfolio monthly and expand the holdings to between 40–50 names. We will also expand the data sources we examine to point to investable opportunities.
We encourage you to reach out to us at AlphaGeo if you have any questions or would like to discuss opportunities to leverage our data in your investment strategies.
