Prefer Gold and US Treasuries in March

db x-trackers Prefer Gold and US Treasuries in MarchPrefer Gold and US Treasuries in March

The Flow Whisperer – TAARSS says prefer Gold and US Treasuries in March

Deutsche Bank – Synthetic Equity & Index Strategy – Global

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Tactical Asset Allocation Relative Strength Signal (TAARSS) Monthly Update

Top recommendations for March: Gold, US Treasuries, High Grade Credit, US Utilities, and Indonesia.

Recent market relief rally is not consistent with ETF flow trends

Since Feb 11, global equity markets experienced a relief rally of over 5% through the end of February. However the stock market hype was not enough to change investors’ sentiment as reflected in flow trends. Actually, although inflows into safe haven assets such as Gold, US Treasury, and IG Credit, and outflows from Equity both slowed down; the underlying trend of preference for defensive assets over riskier ones remained intact (Figure 1). Therefore we remain skeptic regarding the sustainability of the recent rally, and would rather wait for a clearer signal before calling for a switch back to risk-on mode.

Tactical positioning for March based on TAARSS

  • Overall we continue to see stronger support into defensive assets over risky assets.
  • For Global Equities we recommend to remain on the sidelines, or look for specific themes with attractive support such as Global Natural Resources.
  • For US equity prefer a sector approach. We again favor Utilities and Telecom for March. While for Intl DM equities we prefer Canada.
  • And for EM equities we prefer Indonesia and Latin America on recent support build-up.
  • In Fixed Income, prefer US Treasuries and IG credit over HY credit. In Commodities, prefer Gold on very strong support.

The Synthetic Equity & Index Strategy Team
Deutsche Bank – Equity Research

A balanced approach high on equities in Q1

A balanced approach high on equities in Q1

Deutsche Bank – Synthetic Equity & Index Strategy – Global A balanced approach high on equities in Q1

The Flow Whisperer – TAARSS says prefer a balanced approach high on equities in Q1
06 January 2016 (23 pages/ 885 kb)

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Tactical Asset Allocation Relative Strength Signal (TAARSS) Monthly Update

Top recommendations for January: US Broad, DM Global Regional, US Technology and Telecom, and EM Asia equities.

Global equities present the best investment support going into Q1

We recommend a balanced approach for Q1 preferring equities over fixed income, while avoiding commodities (Figure 1). Last quarter’s equity trend suggests a more positive investor sentiment towards risk assets, while the less consistent trend in fixed income suggest that investors have mixed views. Within fixed income we prefer the belly of the curve in Q1.

Tactical positioning for January based on TAARSS

  • For Global Equities continue to prefer positions in US, and DM equities; while adding some EM exposure
  • For US equity exposure prefer broad market cap exposure with a tilt to domestic cyclical sectors such as Tech and Telecom.
  • For Intl DM equities prefer global regional allocations (e.g. EAFE-like) instead of other sub regions or country exposures. Stay neutral to Europe, and away from Asia Pac.
  • For EM equities we see some level of support, particularly in Asia. We prefer regional Asia exposures over Latin America or single country allocations.
  • In Fixed Income, prefer IG credit over rates or HY credit.

Prefer US Equities into year-end

Deutsche Bank – Synthetic Equity & Index Strategy – Global The Flow Whisperer – TAARSS says prefer US Equities into year-end

07 December 2015 (22 pages/ 814 kb) The Flow Whisperer – TAARSS says prefer US Equities into year-end

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Tactical Asset Allocation Relative Strength Signal (TAARSS) Monthly Update

Top recommendations for December: US Broad, DM Global Regional, and US Technology equities.

ETF flow trends showed strong support from investors to US and Global DM regional equities, but not to DM countries

During November, equity ETFs experienced the most significant flow trends. US and DM equities both showed positive support, while EM flows signaled weakness. However, the divergent trends within DM equities caught our attention the most. ETFs tracking Global DM Regional exposures (think EAFE or World ex US) attracted very strong and consistent inflows; while, on the other hand, ETFs tracking specific DM countries experienced consistent outflows suggesting that investors are concerned with specific country risk outside the US (Figure 1).

Tactical positioning for December 2015 based on TAARSS

  • Prefer equities over fixed income and commodities into year end.
  • For Global Equities prefer positions in US, and DM equities; avoid EM.
  • For US equity exposure prefer broad market cap exposure with a tilt to domestic cyclical sectors such as Tech.
  • For Intl DM equities prefer global regional allocations (e.g. EAFE-like) instead of other sub regions or country exposures. Stay neutral to Europe and Japan, and away from Asia Pac ex Japan. Continue to implement Europe via regional exposures rather than country allocations.
  • For EM equities, we see pressure from flows across the board, and downside risk from a potential Fed hike. We recommend staying away.
  • In Fixed Income, US Treasuries continue to suggest weakness. Corporate credit (IG, HY, Sr Loans) also seemed weak. There may be some opportunities in EM Debt, however.

The Synthetic Equity & Index Strategy Team
Deutsche Bank – Equity Research

Prefer Equities and Corporates in November

Prefer Equities and Corporates in November

The Flow Whisperer – TAARSS says prefer Equities and Corporates in November

Deutsche Bank – Synthetic Equity & Index Strategy – Global

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Tactical Asset Allocation Relative Strength Signal (TAARSS) Monthly Update

Top recommendations for November: Corporate HY, and US, European, Indian, and Chinese equities.

US Large Cap-Small Cap positive spread supported by ETF flows

In October the Large Caps (SPY) outperformance over Small Caps (IWM) reached levels above 3% towards the month’s end. Interestingly, we saw a clear flow divergence between these two segments during the first half of the month with Large Caps receiving inflows and Small Caps recording outflows, before both segments began to receive inflows consistently (Figure 1).

Corporate credit ETFs received largest monthly allocations ever on risk comeback during October

US Treasury ETF flows opened with a strong momentum following the recent safe-haven trends; however the trend began to revert just before the mid-month mark. In the meantime, Corporate credit ETFs went on to register one of their strongest flow trends on record, fueled by the largest-ever dollar monthly flow allocations received by HY (+$5.5bn) and IG (+$3.3bn) as investors orchestrated a comeback to risk assets (Figure 2).

Tactical positioning for November 2015 based on TAARSS

  • Prefer global equities and high-beta-to-equity fixed income segments such as HY corporate credit. Continue to avoid commodities.
  • Prefer a balanced global equity approach including US, Intl DM and EM.
  • For US equity exposure prefer large caps, with support favoring particularly Consumer Staples and Tech.
  • For Intl DM equities prefer Europe over Asia Pacific, stay neutral to Japan. Implement Europe via regional exposures rather than country allocations.
  • For EM equities, continue to prefer Asia over Latin America and Eastern Europe. Within Asia we prefer India and China.
  • In Fixed Income, prefer credit over rates. Implement this via corporate IG or HY credit; while avoiding US Treasuries.

TAARSS says prefer Fixed Income in Q4

Deutsche 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.