Etikett: Flow Whisperer

TAARSS says prefer Fixed Income in Q4

Deutsche Bank ETF TAARSS says prefer Fixed Income in Q4Deutsche Bank – Synthetic Equity & Index Strategy – Global – TAARSS says prefer Fixed Income in Q4

The Flow Whisperer – TAARSS says prefer Fixed Income in Q4 and extend duration
05 October 2015 (23 pages/ 1392 kb)

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Tactical Asset Allocation Relative Strength Signal (TAARSS) Monthly Update

Top recommendations for September: US Treasuries, and US, Europe, and Japan equities.

Market review

Risk assets plunged, while safer ones found support in September. Global equities (ACWI) and Commodities (DBC) both plunged by 3.4%, while US Bonds (AGG) recorded modest gains of 0.81%.

TAARSS rotation strategy monthly and quarterly performance review

Quarterly and monthly TAARSS strategies were mixed. Quarterly strategies underperformed; while most monthly strategies outperformed their benchmarks.

Tactical positioning for October 2015 and Q4 based on TAARSS

ETF flow trends clearly suggest a defensive positioning into year end. Our model suggests a clear preference for fixed income over equities, and away from commodities in Q4. In addition, our model suggests an increase in the duration of fixed income portfolios by adding long and intermediate exposure for the same period.

For the month of October, TAARSS suggests a positioning favoring US Treasuries, and investment grade over high yield credit within fixed income. For equity positions a defensive approach with a preference for DM and the US over Emerging Markets is recommended. Within the US, a broad all-cap or equal weighted exposure may be more suitable; while in Intl DM, Japan or European regional allocations seem to have better investment demand support. In EM countries, weakness in China and India remained, but seemed to be fading; while the significant selling pressure in Indonesia suggests investors should stay away. In general, specific country risk outside Japan and the US should be avoided in order to benefit from diversification particularly during times of higher volatility. In the commodity space we don’t see strong signals worth highlighting. See Figure 13 and Figure 14 for full allocation details for the month of October and Q4.

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

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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.