Etikett: TAARSS

TAARSS says risk off prefer US Treasuries in September

TAARSS says risk off prefer US Treasuries in SeptemberTAARSS says risk off prefer US Treasuries in September

TAARSS says risk off prefer US Treasuries in September

Deutsche Bank – Synthetic Equity & Index Strategy – Global

The Flow Whisperer – The Flow Whisperer – TAARSS says risk off prefer US Treasuries in September

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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

All markets experienced weakness during August. Global equities (ACWI) plunged by 6.8%, while US Bonds (AGG), and Commodities (DBC) were down by 0.34% and 0.25%, respectively.

TAARSS rotation strategy monthly and quarterly performance review

Quarterly and monthly TAARSS strategies underperformed or were down in a similar way than their benchmarks.

Tactical positioning for September 2015 based on TAARSS

ETF flow trends clearly suggest risk off move by investors. We saw weakness in equities, particularly in EM, and in high yield credit within fixed income; while at the same time there was a clear surge in rates ETF flows via allocations to US Treasury products. Therefore, for this month we prefer US Treasury exposure (shorter duration, if concerned about Fed hike) along with handpicked equity exposures such as broad or equal-weighted US, regional Europe, or Japan. At the same time, we recommend to avoid other areas experiencing selling pressure such as EM at a country or regional level, and individual DM ex Japan countries within equities, and EM debt within Fixed Income. In the commodity space we continue to advice caution, despite the positive trends we saw in Energy and Gold. See Figure 13 and Figure 14 for full allocation details for the month of September and Q3.

 

TAARSS says prefer European and US equities in August

TAARSS says prefer European and US equities in August

TAARSS says prefer European and US equities in August

Deutsche Bank – Synthetic Equity & Index Strategy – Global

The Flow Whisperer – TAARSS says prefer European and US equities in August
11 August 2015 (22 pages/ 887 kb)

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Tactical Asset Allocation Relative Strength Signal (TAARSS) Monthly Update

Top recommendations for August: Europe, Japan, and US Consumer Staples equities, and US Treasuries.

Market review

Global equities and bonds ended up on the positive side on July. Global equities (ACWI) and US Bonds (AGG) rose by 0.82% and 0.86%, respectively; while Commodities (DBC) plunged by 12.61%

TAARSS rotation strategy monthly and quarterly performance review

Quarterly and monthly TAARSS strategies were mixed during July. Quarterly multi asset and monthly market rotations were the best TAARSS strategies.

Tactical positioning for August 2015 based on TAARSS

This month in global equity markets prefer Intl DM, and the US, while staying away from EM. Region wise prefer Europe and North America equities, while staying away from Latin America and Asia Pacific. In US equities we prefer large caps and small caps over mid caps. Sector wise we see support in Consumer Staples and Healthcare. In Intl DM countries prefer Japan and stay away from Canada. Within EM countries, we see weakness across the board especially in China and South East Asian countries such as Indonesia and Thailand. In Fixed Income trends suggest rates over credit; while within Commodities we see general weakness. See Figure 13 and Figure 14 for full allocation details for the month of August and Q3.

 

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

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

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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 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)

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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 risk appetite improving, prefer US and Japanese equities

TAARSS says risk appetite improving, prefer US and Japanese equities

 

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Tactical Asset Allocation Relative Strength Signal (TAARSS) Monthly Update

For December continue to prefer US equities from domestic cyclical and defensive sectors, as well as Japanese and Indian equities.

Market review

Outside commodities, November was fairly quiet. Global equities (ACWI) and US bonds (AGG) gained 1.38% and 0.66%, respectively. While Commodities (DBC) plunged by 8.51%.

TAARSS rotation strategy monthly performance review

TAARSS strategies were mixed during November. US Market, DM Country, and FI Sector 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, continue to be adequate both in the multi asset and fixed income duration rotations, respectively.

Tactical positioning for December 2014 based on TAARSS

Within equities we prefer US equities and DM Intl over EM in December. Overall we would prefer North America and Asia Pacific, staying away from Latin America, and neutral towards Europe when it comes to regions. Within the US, broad allocations seem appropriate at the time. In terms of sectors, Domestic Cyclicals (e.g., Tech and Cons. Discr.) and Defensives (e.g., Cons. Staples) continue to display support. However Global Cyclicals continue to look weak. For those looking at DM countries we recommend a selective approach with preference for Asia Pacific countries, especially Japan, and away from European ones (e.g., Italy, Spain, and Switzerland). For EM equities we see India and Thailand with the strongest demand support. In fixed income signals were discrete; we prefer Corp. IG, and Munis for December; while we see the weakness in US Treasuries as a sign of increasing risk appetite. Lastly for commodities, we see weakness across the board with the positive trend in Energy being related to speculative shorting activity most likely.