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Underweight US, Europe and precious metals

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8 år sedan

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12 oktober, 2016

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ETF Securities Asset Allocation Research: Underweight US, Europe and precious metals

Summary

For October, in the equity space, the tactical portfolio continues to reallocate its weights from developed countries into emerging market stocks.
In the commodity space, we tactically underweight gold, platinum and palladium, increasing allocation across the board to keep commodities at 10% in the portfolio.
Our tactical portfolio has much lower volatility than its strategic benchmark since 2005, returning 5.2% per year and enhancing the Sharpe ratio by 65%.
In this second edition of our asset allocation strategy, we will review the performance of our tactical portfolio compared to its strategic benchmark over the past quarter. We will also detail our tactical positions for October 2016.

October 2016 positioning

The following table highlights how our positions have changed over the past quarter in the tactical portfolio compared to the strategic benchmark. It also shows our positioning for October, based on the output of the aforementioned model recommendations as of end of September 2016.

(click to enlarge)

While market volatility measured by the VIX index is heading toward its lower band, the equity-bond relative trade model continues to suggest underweighting equities by 1,000bps to 45% for October and overweighting bonds by 1,000bps to 45% as well. If the volatility index continues to decline, the model will likely match the 55/35 split of the strategic benchmark in favour of equities accordingly.

The CAPE model suggests to remain underweight the US, France, the Netherlands, Italy and Denmark. The CAPE of these countries rose by 10% on average since end of June except for Denmark. While at 60% above its 10-years median, Denmark’s CAPE fell 21% over the period. On the other hand, based on the model, Canada, Brazil, Russia and two new countries: Turkey and Singapore should be overweight. Brazil’s CAPE is 54% below its 10-years median and continues to decline while Turkey’s CAPE is 7.1% below its historical median but rose 33% since the end of June.

The CDS model tells the tactical portfolio to remain neutral on all bond components, using the weights set by the benchmark.

The ETFS contrarian model was the most active over the past quarter, overweighting precious metals in July and August before underweighting the sector in September. For October, the commodity model is reducing the weight of gold, platinum and palladium, increasing the weight of lead, cotton and coffee.

As the UK is heading for a hard exit of the European Union, as a rate hike by the Fed is imminent and as China continues on its soft landing, our fundamental-based equity and commodity models are telling us to underweight US stocks, selective European stocks and precious metals in our tactical portfolio, three areas where we see higher risk for near term uncertainty to affect potential returns.

Q3 performance

Whilst underperforming its strategic benchmark in Q3, the tactical portfolio continues to post a much lower level of volatility at 1.3% annualised versus 3.9% for the benchmark, allowing for an increase of the Sharpe ratio by 28% from 0.22 for the benchmark to 0.28 for the tactical portfolio.

A closer look at each asset class shows that commodities and equities were the main contributors to the improved Sharpe ratio of the tactical portfolio compared to its benchmark while bonds contributed to both portfolios in the same way.

(click to enlarge)

Model performance

The tactical portfolio has the lowest level of volatility compared to the 60/40 and strategic benchmarks, improving the Sharpe ratio by 48% on average.

(click to enlarge)
Whilst underperforming the 60/40 benchmark, the tactical portfolio outperforms its strategic benchmark by 0.3% per year since January 2005.

(click to enlarge)

Each asset class in the tactical portfolio also outperforms their equivalent in the strategic benchmark, by 0.3% for equities and bonds and 2.8% for commodities, illustrating the efficiency of our fundamental-based models in improving the risk/return profile of their respective asset class as well as the portfolio.

The tactical portfolio also provides higher protection from the downside risk with a maximum drawdown of -21.6% only compared to -38.5% for the 60/40 and -39% for the strategic benchmark. Finally, the tactical portfolio recovers faster to its previous peak (2 years versus 3.25 years for the benchmarks).

The portfolio methodologies

This section provides a short description of our strategic and tactical portfolio methodologies.
Our strategic benchmark follows a long-only strategy with 60 investments across three asset classes: commodities (25), equities (28) and bonds (7). The initial weights as illustrated below are based on the weighting methodology of:

The Bloomberg Commodity Index for commodities
The MSCI AC World Index for equities
The Barclays bond indices for bonds

(click to enlarge)

The strategic portfolio represents a balanced portfolio with 55%, 35% and 10% allocated in equities, bonds and commodities respectively. Every month, the strategic portfolio rebalances into the weights set by the above benchmarks.

Our tactical portfolio aims to outperform its strategic benchmark by applying fundamental-based models to reflect our expertise in each asset class and our views of the global economy. The tactical portfolio rebalances every month to a new set of weights determined by the models below:

The equity-bond relative trade model sets the weights at the asset class level between equities and bonds while commodities will remain at 10% all the time
The CAPE model sets the weight for equities
The CDS model sets the weight for bonds
The ETFS contrarian model sets the weight for commodities

Important Information

General

This communication has been issued and approved for the purpose of section 21 of the Financial Services and Markets Act 2000 by ETF Securities (UK) Limited (“ETFS UK”) which is authorised and regulated by the United Kingdom Financial Conduct Authority (the “FCA”).

Liknande ämnen:ETF Securities Precious metals

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Oct. 24 crypto market update & Performance attribution Hashdex Crypto Index ETPs

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8 timmar sedan

den

5 november, 2024

Redaktionen

Please find below Hashdex monthly crypto market update and performance attribution for Hashdex Crypto-Index ETPs for October 2024.

With October often showing strong seasonality for crypto assets, this month’s results reflect a promising trend for Bitcoin, although gains were more limited across Altcoins. As outlined in our latest CIO note, “Beyond Trump and Harris: Five Congressional Races That May Impact Crypto’s Future”, several upcoming US congressional races could shape the regulatory landscape for crypto, with potential implications for institutional adoption and future price action. Bipartisan support for the asset class is expected to grow, depending on the results of key races.

We will share some updates during the week, if you need any inputs on US elections, feel free to reach out to us.

Hashdex Crypto Index ETPs: performances (USD) as of end of October 24

• Beta Index ETP – Nasdaq Crypto Index ETP (HASH or HDX1) (largest Crypto Index ETP in Europe): October +7.1%, YTD +45%, 12M +89%.

• Smart-Beta Index ETP – Crypto Momentum Index ETP (HAMO or HDXM): October -0.5%, YTD +1.2%, 12M +71%.

Market Update – October 24

October, commonly known as ”Uptober” for its seasonally strong performance for Bitcoin, continued this trend in 2024. The month began with a volatile period, as the Nasdaq Crypto Index (NCI) initially gave back gains from September. All NCI constituents declined in the first ten days, with the exception of Uniswap, which announced plans for its own layer-two network on Ethereum.

Mid-month, the sentiment shifted, with a sharp rally that drove Bitcoin close to its all-time high by the 29th. The NCI ultimately closed the month up 7.1%, significantly outpacing traditional markets as both the S&P 500 and Nasdaq 100 declined slightly. This rally coincided with a sharp increase in former president Donald Trump’s odds in election betting markets, generating additional optimism around Bitcoin.

While Bitcoin posted a robust 10.6% gain, Altcoins generally underperformed. The notable positive exception among altcoins was Solana, which rose 9.0%. In contrast, Ripple declined 18.6% due to ongoing SEC litigation, and Polygon’s MATIC dropped over 20% as it migrated to a new token model (POL).

Nasdaq Crypto Index (NCI) relative to other asset class in October 24

Source: Hashdex, as of 30/10/24.

In comparison with traditional assets, the NCI’s 7.1% gain far outpaced the S&P 500 and Nasdaq 100, both of which posted slight declines. This performance underscores the potential for crypto assets to provide upside during periods of broader market uncertainty. The majority of this outperformance was driven by Bitcoin’s strength, underscoring its role as a cornerstone of the crypto asset class and its growing appeal as a macroeconomic hedge.

Performance attribution:

Nasdaq Crypto Index (NCI)

The NCI recorded positive returns for most of its primary constituents, with Bitcoin (+10.6%) leading the gains. Solana (SOL) also contributed positively, rising 9.0%. However, Ripple (XRP) and Polygon’s MATIC weighed on the index, with losses of 18.6% and over 20%, respectively. Ripple’s decline was largely attributed to ongoing legal issues with the SEC, while MATIC’s transition to the POL token created additional downward pressure.

Source: Hashdex, as of 31/10/24.

Crypto Momentum Factor Index

The Crypto Momentum Factor Index showed a slight monthly decline of 0.5% in October, reflecting the underperformance of altcoins in general. Although Tron (TRX) remained relatively stable, other altcoins in the index faced headwinds, leading to a small monthly loss for the index.

Source: Hashdex, as of 31/10/24.

Correlation (3m) to traditional asset classes

Source: Hashdex, as of 31/10/24. NCI for Nasdaq Crypto Index.

Hashdex Nasdaq Crypto Index ETP

Largest Crypto Index ETP in Europe, AUM ~$400m

ISIN: CH1184151731 / Tickers: HASH (SIX and Euronext) or HDX1 (Xetra) – tradable in USD, EUR, CHF and GBP

Hashdex Crypto Momentum Factor ETP

ISIN: CH1218734544 / Tickers: HAMO (SIX and Euronext) or HDXM (Xetra) – tradable in USD, EUR, CHF and GBP

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GSGR ETF investerar i gröna obligationer från hela världen

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9 timmar sedan

den

5 november, 2024

Redaktionen

Goldman Sachs Global Green Bond UCITS ETF EUR (Dist) (GSGR ETF) med ISIN IE000SYQFJV2strävar efter att spåra Solactive Global Green Bond Select-index. Solactive Global Green Bond Select-index följer gröna obligationer. Alla löptider ingår. Betyg: Investment Grade.

Den börshandlade fondens TER (total cost ratio) uppgår till 0,22 % p.a. Goldman Sachs Global Green Bond UCITS ETF EUR (Dist) är den enda ETF som följer Solactive Global Green Bond Select-indexet. ETFen replikerar det underliggande indexets prestanda genom fullständig replikering (köper alla indexbeståndsdelar). Ränteintäkterna (kuponger) i ETFen delas ut till investerarna (halvårsvis).

Denna ETF lanserades den 13 februari 2024 och har sin hemvist i Irland.

Mål

Goldman Sachs Global Green Bond UCITS ETF är en passivt förvaltad, hållbar global obligationsfond som uteslutande investerar i gröna obligationer enligt bedömningen av Goldman Sachs Asset Managements investeringsteam för gröna obligationer.

Handla GSGR ETF

Goldman Sachs Global Green Bond UCITS ETF EUR (Dist) (GSGR ETF) är en börshandlad fond (ETF) som handlas på London Stock Exchange.

London Stock Exchange är en marknad som få svenska banker och nätmäklare erbjuder access till, men DEGIRO gör det.

Börsnoteringar

Börs	Valuta	Kortnamn
London Stock Exchange	EUR	GSGR
SIX Swiss Exchange	EUR	GSGR

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Microsoft considers bitcoin, UBS launches tokenized fund, and MicroStrategy will buy $42B in BTC

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Crypto markets faced a volatile week as key macroeconomic events approached, with the upcoming US presidential election and anticipated Fed rate decision fueling uncertainty in risk assets. Bitcoin (BTC) rose 1.7%, ether (ETH) declined 1%, Solana (SOL) fell 8.2%, and the Nasdaq Crypto IndexTM (NCITM) was down 0.5%.

Microsoft to consider bitcoin investment starting December

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MicroStrategy discloses plans to buy $42B of BTC

The firm announced bold plans to raise $42 billion over the next three years to acquire more bitcoin. This new wave of capital will be split equally, with $21 billion from equity issuance and $21 billion from debt offerings, in a project called the ”21/21” plan. This move, led by founder Michael Saylor, underscores bitcoin’s potential as a valuable hedge against inflation and highlights its appeal as a strategic investment option.

UBS launches its first tokenized fund on Ethereum

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