Saxo Asset Allocation - 20090804

Published on February 2017 | Categories: Documents | Downloads: 30 | Comments: 0 | Views: 217
of 5
Download PDF   Embed   Report

Comments

Content

August 4, 2009

Saxo Asset Allocation – Outright Bearish Scenario
Allocation
Our Asset Allocation Model is currently maintaining the allocation from the past 16 months with an overweight (70%) in bonds and 30% being short stocks and commodities. Note that we shifted the bond exposure from long duration to short duration 2 months ago (beginning of June). Our model currently suggests the following weights: Asset Allocation Weights MSCI World MSCI EM Commodities -20% -5% -5%

SAXO BANK RESEARCH
David B. Karsbøl Chief Economist [email protected] John J. Hardy FX Strategist [email protected] Christian T. Blaabjerg Equity Strategist [email protected] Mads Koefoed Market Strategist [email protected] Robin B. Sjöback Market Strategist [email protected]

Scenario Outright Bearish

Bonds 70%

Portfolio
In order to directly or synthetically create the recommended exposure in the present scenario, an investor should allocate capital as follows: Portfolio Replication Name (Ticker) S&P 500 INDEX DJ EURO STOXX 50 = Pr NIKKEI 225 PROSHARES ULTRASHORT MSCI EM ETFS SHORT ALL COMM DJ-AIGCI ISHARES BARCLAYS 1-3 YEAR TR (SHY) ISHARES EURO GOVT BOND 1-3 (IBCA)

Position Short Short Short Long Long Long ** Long **

Exposure 12,0% 3,0% 3,0% 3,5% 5,0% 35,0% 35,0%

# (1 mio. EUR capital) -172 -11 -394 3277 623 6042 2556

*) A EUR-denominated investor should get rid of the implicit currency exposure in the portfolio by buying 3% EURJPY, 5% EURGBP and 50.5% EURUSD. For an investor with a 1 million EUR portfolio, this would equal 30,000 EURJPY, 50,000 EURGBP and 500,500 EURUSD. **) In order to yield the results in the back-testing, and investor should allocate capital to the bonds mentioned on page 3, but for smaller clients the iShares Bond Funds should give a sufficient return.

Performance
Our benchmark is an index consisting of returns from 33% EFFA +10 year Treasuries, 33% MSCI World and 33% CS Tremont Long/Short Equities. Given the back-testing since 1992 and the historical aggregated volatility of the individual allocations of the portfolio in the present scenario, the following risk measures and expected returns apply for the suggested portfolio: Historical Performance Metrics Sharpe Ratio VaR (95%-level) Std.dev (%) 0,45 4,60 2,80

Scenario Outright Bearish

Exp. Return (%) 1,26

For important disclosures, refer to the Disclosures Section, located at the end of this document.

Saxo Bank. Serious Trading. Worldwide.

Saxo Asset Allocation - Outright Bearish Scenario
Global Business Cycle Indicator
Our global business indicator in an expression of how much global economic activity is accelerating or decelerating. It seems that the pace with which the global economic activity is decelerating is petering out. However, it is still contracting dramatically. In our Asset Allocation Model, this scenario is characterized as “Outright Bearish”.

Allocation Weights
The capital allocation weights depend on the economic scenario. The current scenario is “outright bearish”, since the global economy is decelerating at a record pace. Deflation – or at least disinflation – is a likely outcome in this scenario and therefore the model is recommending a heavy exposure to bonds while shorting business cycle sensitive asset classes like especially EM stocks and Commodities and Stocks in general. Asset Allocation Weights MSCI EM 5% 7% 8% -5%

Scenario Outright Bullish Moderately Bullish Moderately Bearish Outright Bearish

MSCI World 30% 43% 12% -20%

Commodities 45% 11% 0% -5%

1-3-Year Bonds *** 20% 40% 80% 70%

*** Note that we have changed from the suggested +10-year maturity bonds to a maturity no longer than 3-years, as we are fearing that irresponsible fiscal policies will lead to a bond market dislocation – hurting the long-maturity bonds the most.

1

Saxo Asset Allocation - Outright Bearish Scenario
Backtesting and benchmarks
Our backtesting (since 1992) of the asset allocation model is done via MSCI World, MSCI Emerging Markets, The CRB Commodities Index and +10-Year Bloomberg/Effa Government Bond TR Benchmark Indices. The backtesting indicates that the model is able to yield a return of 12.5% per year (excluding dividends) with an average Sharpe ratio of 1.4. Backtesting Results for Saxo Bank Asset Allocation Model: 12.5% p.a.

Bond Model
Our Bond Model is based on national sub-indices of our Global Business Cycle Indicator. The overall idea is to buy government fixed income in the country with the most rapidbly deteriorating economy (from a rate perspective). The back-testing shows that this strategy is superior to the benchmark (an equal weighted index of returns for 10-year treasuries in the US, the Euro-Zone, Japan, UK, Canada, Switzerland, Norway, Sweden, New Zealand and Australia).

2

Saxo Asset Allocation - Outright Bearish Scenario
The Bond Model is backtested using the Bloomberg/EFFA Bond Indices. In the current environment, it recommends the Canadian Govt 10+ YRS Index, but we are advising to deviate from the model by going for short durations to avoid the “issuance risk”. To approximate that current exposure an investor should buy: 33.3% in CAN 2.750 12/1/10 33.3% in CAN 1.250 6/1/11 33.3% in CAN 6.000 6/1/11 Since the model is looking for the most decelerating country, the CAD might be under pressure. Therefore, it is recommended that investors with e.g. a EUR denominated account buy equal amounts of EURCAD to get rid of the implicit currency exposure from buying the bonds. Bond Model Output: Where to Invest EUR GBP JPY NOK -0,3 0,0 -0,2 0,0 -0,2 -0,4 -0,1 -0,3 -0,2 -0,2 -0,5 -0,2 -0,4 -0,5 -0,4 -0,8 -0,5 -0,6 -0,7 -0,6 -0,7 -0,6 -0,7 -0,9 -0,6

Month
jun-09 maj-09 apr-09 mar-09 feb-09

AUD 0,2 0,2 0,2 -0,1 -0,2

CAD -0,4 -0,5 -0,7 -1,0 -1,1

CHF

NZD 0,1 -0,1 -0,4 -0,7 -0,6

SEK 0,1 0,0 -0,1 -0,3 -0,5

USD 0,0 -0,1 -0,3 -0,6 -0,8

dec-08 jun-08

-0,5 -0,6

-0,6 -0,1

-0,6 -0,2

-0,6 -0,3

-0,7 -0,4

-0,7 -0,1

-0,5 -0,1

-0,1 -0,5

-0,7 -0,4

-0,9 -0,3

3

Saxo Asset Allocation - Outright Bearish Scenario
General
These pages contain information about the services and products of Saxo Bank A/S (hereinafter referred to as “Saxo Bank”). The material is Germany – HDAX provided for informational purposes only without regard to any particular user's investment objectives, financial situation, or means. Hence, no information contained herein is to be construed as a recommendation; or an offer to buy or sell; or the solicitation of an offer to buy or sell any Gainers Losers security, financial product, or instrument; or to participate in any particular trading strategy in any jurisdiction in which such an offer or solicitation, or trading strategy would be illegal. Saxo Bank does not guarantee the accuracy or completeness of any information or analysis Name 1D MTD YTD Name 1D MTD YTD quotations supplied TELEsupplied. Saxo Bank shall not be liable to any customer or third person for the accuracy AGthe information or any market 32,66% ATLAS NV #VALUE! #VALUE! #VALUE! VOLKSWAGEN of -7,53% 136,07% through this service to a customer, nor for any delays, inaccuracies, errors, interruptions or omissions in the furnishing thereof, for any direct or E.ON AG #VALUE! #VALUE! #VALUE! PFLEIDERER AG-REGISTERED -6,49% -15,89% -49,44% consequential damages arising from or occasioned by said delays, inaccuracies, errors, interruptions or omissions, or for any discontinuance of SHS AG the service. Saxo Bank accepts responsibility or liability for the contents of any other site, whether linked to this site or not, or any -67,02% DAIMLER AG-REGISTERED SHARES no8,94% -27,53% -61,42% LEONI -6,02% -48,10% consequences from your acting upon the contents of another site. Opening this website shall not render the user a customer of Saxo Bank nor DEUTSCHE POSTBANK AG 8,12% -16,09% -63,18% PRAKTIKER BAU-UND -5,91% -31,28% -78,14% shall Saxo Bank owe such users any duties or responsibilities as a result thereof. HEIMWERK A HYPO REAL ESTATE HOLDING 7,97% 50,12% -82,74% AUSTRIA TECHNOLOGIE & -5,88% -31,82% -69,98% SYSTEM

Analysis Disclosure & Disclaimer Index Technicals Risk warning

Austria – ATX

The pivot support and resistance levels and the trend indications displayed below are provided for trading purposes. Gainers Losers
Saxo Bank A/S shall not be responsible for any loss arising from any investment based on any recommendation, forecast or other information Name 1D MTD YTD Name 1D MTD YTD herein contained. The contents of this publication should not be construed as an express or implied promise, guarantee or implication by Saxo BOEHLER-UDDEHOLM profit from the strategies0,00% or that losses in connection therewith can or will be limited. Trades-36,08% #VALUE! 6,66% ERSTE GROUP BANK AG -8,21% Bank that clients will herein in accordance-54,60% with the recommendations in an analysis, 3,17% especially leveraged investments such as foreign exchange tradingAG investment in derivatives, can be very INTERCELL AG -8,44% -20,19% MAYR-MELNHOF KARTON and -6,76% -10,61% -35,03% speculative and may result in losses as well as profits, in particular if the conditions mentioned in the analysis do not occur as anticipated. VOESTALPINE AG 1,29% -20,28% -64,93% OEST ELEKTRIZITATSWIRTS-A -6,11% -17,01% -25,21% ZUMTOBEL AG BWIN INTERACTIVE ENTERTAINME 1,15% 1,12% -12,01% -27,38% -64,47% -49,27% A-TEC INDUSTRIES AG FLUGHAFEN WIEN AG -5,60% -4,57% -27,30% -29,04% -51,32% -60,06%

Switzerland – SMI Gainers
Name NOVARTIS AG-REG CREDIT SUISSE GROUP AG-REG SWISSCOM AG-REG ROCHE HOLDING AGGENUSSCHEIN NESTLE SA-REG 1D 7,90% 6,37% 6,12% 5,85% 5,43% MTD -2,05% -3,01% 0,68% -3,55% -10,50% YTD -7,65% -28,93% -24,07% -13,96% -17,04% Name SYNGENTA AG-REG UBS AG-REG ZURICH FINANCIAL SERVICEREG HOLCIM LTD-REG BALOISE HOLDING-REG

Losers
1D -2,68% -1,89% -1,14% -1,01% -0,28% MTD -31,07% 1,46% -31,83% -21,17% -29,99% YTD -43,33% -59,81% -37,26% -47,36% -52,78%

4

Sponsor Documents

Or use your account on DocShare.tips

Hide

Forgot your password?

Or register your new account on DocShare.tips

Hide

Lost your password? Please enter your email address. You will receive a link to create a new password.

Back to log-in

Close