Etikett: ACWI

TAARSS says prefer Asia Pac and Europe ex EUR countries in June

TAARSS says prefer Asia Pac and Europe ex EUR countries in JuneThe Flow Whisperer – TAARSS says prefer Asia Pac and Europe ex EUR countries in June

Download the complete report

TAARSS says prefer Asia Pac and Europe ex EUR countries in June Tactical Asset Allocation Relative Strength Signal (TAARSS) Monthly Update

Top recommendations for June: Hong Kong, European (non-EUR), Chinese and Indian equities, and EM Debt.

Market review

May was an overall weak month for the markets; Global equities (ACWI) were flat, while US Bonds (AGG) and Commodities (DBC) retreated by 0.44% and 3.17%, respectively.

TAARSS rotation strategy monthly performance review

Monthly TAARSS rotations were mixed in May. Most equity strategies underperformed their benchmarks, while non-equity strategies outperformed.

Tactical positioning for June 2015 based on TAARSS

This month in global equity markets prefer Intl DM and EM, and stay neutral to the US. Region wise prefer Asia Pacific and Europe, with neutral North American exposure, while staying away from Latin America. In US equities we don’t see much differentiation therefore we recommend a broad approach. Sector wise we see weakness across the board, but we expect Technology, Consumer Discretionary, and Health Care to be more resilient. In Intl DM countries prefer Hong Kong, Japan, and non-EUR countries such as Switzerland and the UK. Within EM countries, we recommend a country approach focusing on India, and China. In Fixed Income we prefer Credit over Rates, particularly EM debt. Within commodities, we saw some support in diversified broad exposure. See Figure 13 and Figure 14 for full allocation details for the month of June.

TAARSS says prefer International DM such as Europe and Japan

TAARSS says prefer International DM such as Europe and Japan Deutsche Bank – Synthetic Equity & Index Strategy – Global

The Flow Whisperer – TAARSS says prefer International DM such as Europe and Japan

Download the complete report

Tactical Asset Allocation Relative Strength Signal (TAARSS) Monthly Update
Top recommendations for March: European equities and Germany with currency hedge, Japan, US Aerospace & Defense, and Indian equities.
Market review

Risky assets received a boost in February with Global equities (ACWI) and Commodities (DBC) rising 5.5% and 4.4%, respectively. While US bonds (AGG) lagged behind losing 0.9% on rising rates concerns.
TAARSS rotation strategy monthly performance review

Last month, monthly TAARSS strategies outperformed or were in line with their benchmarks; while quarterly rotation strategies have been mixed QTD.

Tactical positioning for March 2015 based on TAARSS

Within equities we see strong investment demand support in DM Intl, and neutral support for the US, and EM for March. Within regions prefer Europe (with FX hedge) followed in the distance by Asia Pacific, remain neutral North America, and away from Latin America. Within the US, we again prefer Small and Mid Caps over Large Caps for March, or a total market or equal weighting approach. In terms of sectors, flows suggest a rotation into Global Cyclicals (Materials, Energy) away from Domestic Cyclicals, while maintaining some Defensives (Cons. Staples, Health Care) exposures. In International DM countries we see increased investor confidence, prefer Germany (with FX hedge) or Japan. For EM equities we continue to see India with the strongest support. Among other equity themes we see good support for US Aerospace & Defense. In fixed income, signals suggest credit over rates via US Corporate Debt (HY and IG). Lastly for commodities, we continue to see some support to Energy, but remain cautious.

TAARSS says prefer Intl DM and EM equities in May

TAARSS says prefer Intl DM and EM equities in May

Deutsche Bank – Synthetic Equity & Index Strategy – Global TAARSS says prefer Intl DM and EM equities in May

The Flow Whisperer – TAARSS says prefer Intl DM and EM equities in May
04 May 2015 (22 pages/ 827 kb)

Download the complete report

Tactical Asset Allocation Relative Strength Signal (TAARSS) Monthly Update

Top recommendations for May: Intl DM, EM, Hong Kong, and Indian equities, and Energy Commodity.

Market review

Risky assets had a good month in April with Global equities (ACWI) and Commodities (DBC) advancing by 2.9% and 7.1%, respectively. While US bonds (AGG) edged slightly lower by 0.3%.

TAARSS rotation strategy monthly performance review

The monthly equity regional and market, and the commodity sector TAARSS rotations recorded the best results of our model for the month of April.

Tactical positioning for May 2015 based on TAARSS

This month in global equity markets prefer Intl DM and EM, and stay neutral to the US. Region wise prefer Europe and Asia Pacific, with some Latin America exposure, while keeping a minimal allocation to North America. In US equities prefer Small and Mid caps over Large caps. Sector wise Defensives ex Utilities present the best support in the US, especially Telecom. Domestic Cyclicals are experiencing some selling pressure. In Intl DM countries prefer Hong Kong, Japan, and Germany. Within EM countries, most of them experienced positive support with India continuing to show strong investment demand support despite its second month of performance setback; in addition, China, Mexico, and Russia also exhibited some noteworthy support. In Fixed Income we did not see any notable flow trend readings. Within commodities, we saw some positive developments for energy. See Figure 13 and Figure 14 for full allocation details for the month of May.

TAARSS says prefer a mix of bonds and equities in Q1

TAARSS says prefer a mix of bonds and equities in Q1

Deutsche Bank – Synthetic Equity & Index Strategy – Global
The Flow Whisperer – TAARSS says prefer a mix of bonds and equities in Q1

Download the complete report:

Tactical Asset Allocation Relative Strength Signal (TAARSS) Monthly Update

In Q1, prefer fixed income, followed by equities, and away from commodities. Still prefer longer maturities, but lower the duration within fixed income.

Market review

The end of the year brought additional weakness to Commodities (DBC) and Global equities (ACWI) which lost 9.65% and 2.37%, respectively. While US Bonds (AGG) edged higher by 0.15%.

TAARSS rotation strategy quarterly and monthly performance review

Monthly and quarterly TAARSS strategies were mostly negative in December and Q4, respectively. However performance relative to benchmarks was mixed. In December, monthly strategies outperformed their benchmarks on the equity side; while they lagged their benchmarks outside equities. In Q4, the multi asset rotation outperformed most of its benchmarks, while the fixed income duration rotation outperformed its benchmark.

Tactical positioning for Q1 and January 2015

Unlike Q4, TAARSS signals suggest better investment demand support, and hence less volatility, for fixed income and equities in Q1. More specifically, TAARSS recommends a balanced allocation to fixed income and equities; away from commodities during Q1 2015. Within fixed income, TAARSS still recommends a preference for long term duration, but with some intermediate exposure for the current quarter.
For the month of January, TAARSS equity positioning indicates a preference for the US with some international DM exposure; and away from EM. Overall prefer North American equities, stay neutral towards Europe and Asia Pacific, and away from Latin America. For the US, a broad exposure seems appropriate, but with overweight to Small Caps; sector wise prefer Defensive sectors or Consumer Discretionary in the US. Specific DM countries seem weak across the board; prefer regional exposures with currency hedge, if desired. In EM countries prefer India and China. Other interesting equity themes are Infrastructure and Transportation. In terms of fixed income sectors, TAARSS favors MBS, Convertibles, Intl DM debt, and Municipals while steering away from EM debt and Senior Loans. Avoid commodities, according to TAARSS.

TAARSS says prefer US equities and US Treasuries

TAARSS says prefer US equities and US Treasuries

Deutsche Bank – Synthetic Equity & Index Strategy – Global TAARSS says prefer US equities and US Treasuries

The Flow Whisperer – TAARSS says prefer US equities and US Treasuries

Download the complete report

Tactical Asset Allocation Relative Strength Signal (TAARSS) Monthly Update
For November prefer US equities, including Large and Small Caps from domestic cyclical and defensive sectors, and US Treasuries as a risk diversifier.

Market review

October was a volatile month for the main asset classes. Global equities (ACWI) and US bonds (AGG) gained 1.21% and 1.06%, respectively. While Commodities (DBC) dropped by 3.88%.

TAARSS rotation strategy monthly performance review

TAARSS strategies and benchmarks were mostly positive in October. US Size, Market, and Commodity sector rotations were the best TAARSS strategies last month. Quarterly allocations, which suggest a diversified mix with a preference for equities and long duration in fixed income, have proved adequate both in the multi asset and fixed income duration rotations.

Tactical positioning for November 2014 based on TAARSS

Within equities we prefer US equities over EM and DM Intl in November. Overall we would prefer North America, staying away from Europe, and neutral towards Asia Pacific and Latin America when it comes to regions. Within the US, we highlight the trend in small caps and therefore we would recommend a large cap core with an increasing small cap satellite allocation. In terms of sectors, Domestic Cyclicals (e.g., Tech) continue to display support, while Defensives (e.g., Cons. Staples) support seems to be improving recently. However Global Cyclicals are turning weaker. For those that need to be in DM countries we recommend a selective approach with preference for Asia Pacific countries (e.g., Hong Kong) and away from European ones (e.g., Italy and Spain). In fixed income we prefer rates via US Treasuries as a risk diversifier, and Corp. HY, EM debt, and Munis for yield for November. Lastly for commodities, we prefer Energy and advice to stay away from Gold in November.