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.