Deutsche Bank – Synthetic Equity & Index Strategy – Global
The Flow Whisperer – TAARSS says Europe, Spain, US Large Caps, and Treasuries
04 June 2014 (13 pages/ 336 kb)
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Tactical Asset Allocation Relative Strength Signal (TAARSS) Monthly Update
Market review
Despite a slow start, global equities (ACWI) rallied into the end of the month and recorded gains of 2.01% for the month of May. In turn, US bonds (AGG) advanced 1.18% steadily throughout the month driven by a pull-back in rates; while Commodities dropped by 1.44% due to sustained weakness during last month.
TAARSS rotation strategy monthly performance review
Our Market, US Size, Fixed Income Sector, and Commodity Sector rotation strategies outperformed their respective benchmarks in May; while the Region and DM country rotation strategies lagged their respective benchmarks (Figure 1). Within equities, EM (2.95%), US Large Caps (2.32%), Asia Pacific (3.54%), and Hong Kong (4.68%) were the strongest performers per strategy; while Energy (0.74%) and EM Debt (3.47%) were the top categories within commodities and fixed income, respectively during the same period.
Tactical positioning for June 2014
For the month of June, TAARSS equity positioning indicates a preference for Large Caps within the US, Europe among regions, International DM for market allocations, and Spain for DM countries. In terms of fixed income sectors, TAARSS favors US Treasuries, albeit we are slightly cautious about this specific signal. Last but not least, diversified broad exposure is the chosen one for the current month. As a reminder, the preferred quarterly multi asset TAARSS allocation is Fixed Income during Q2.