HEDGEYE ASSET ALLOCATIONdocs.hedgeye.com/HE_TMS_4.14.16.pdf · 2016. 4. 14. · It’s early in...

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DISCLAIMER Hedgeye Risk Management is a registered investment advisor, registered with the State of Connecticut. Hedgeye Risk Management is not a broker dealer and does not provide investment advice to individuals. This research does not constitute an offer to sell, or a solicitation of an offer to buy any security. This research is presented without regard to individual investment preferences or risk parameters; it is general information and does not constitute specific investment advice. This presentation is based on information from sources believed to be reliable. Hedgeye Risk Management is not responsible for errors, inaccuracies or omissions of information. The opinions and conclusions contained in this report are those of Hedgeye Risk Management, and are intended solely for the use of Hedgeye Risk Management’s clients and subscribers. In reaching these opinions and conclusions, Hedgeye Risk Management and its employees have relied upon research conducted by Hedgeye Risk Management’s employees, which is based upon sources considered credible and reliable within the industry. Hedgeye Risk Management is not responsible for the validity or authenticity of the information upon which it has relied. TERMS OF USE This report is intended solely for the use of its recipient. Re-distribution or republication of this report and its contents are prohibited. For more detail please refer to the appropriate sections of the Hedgeye Services Agreement and the Terms of Use at www.hedgeye.com.

LEGAL

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4/11/2014 THE MACRO SHOW

April 14, 2016

HEDGEYE ASSET ALLOCATION

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April 14, 2016

0%

10%

20%

30%

40%

50%

60%

70%

80%

CASH U.S.EQUITIES

INT'LEQUITIES

COMMODITIES FOREIGNEXCHANGE

FIXED INCOME

64%

0% 0%

18% 12%

79%

HEDGEYE ASSET ALLOCATION

The maximum preferred exposure for cash is 100%. The maximum preferred exposure for each of the other asset classes is 33%.

1 2 3

EUROZONE

EARNINGS

JAPAN

EUROZONE Got inflation? #Nope! Eurozone CPI picked up 1.2% in March M/M but remains grounded at 0.0% Y/Y. We continue to pound the table via our Q2 2016 Macro Theme #BeliefSystem that ECB President Mario Draghi can’t bend economic gravity and a 2.0% inflation target over the intermediate term is pipe dream. #FadingHope.

EARNINGS It’s early in earnings season, but we got an early look at tough comps in commodity land (Monsanto and Agrium have both comped down double digits top and bottom line). Alcoa fired 1,000 people globally in the process. One of the key call-outs in our macro deck was that S&P 500 companies face tough comps for Q1 and Q2 (8 of 10 sectors comped higher in Q1 2015), with the flow through sparking the big question: with forward-looking earnings being taken down, what multiple will the market slap on declining forward looking expectations?

JAPAN The Japanese yen’s -1% decline to the mid-109’s on the USD cross in the WTD has been good for a major squeeze higher in the Nikkei this week. Today’s massive +3.2% rally puts the index up +6.9% WTD with one more day of trading to go. In a speech at Colombia University yesterday, BoJ Governor Haruhiko Kuroda doubled down on NIRP by highlighting how it “boosts the effects of existing policy measures by directly pushing down the short-end of the yield curve”. Despite this week’s spectacular gains, the Nikkei more-or-less remains in crash mode down -19.3% from its peak last June and we think it’ll take more than jawboning to perpetuate a series of lower-highs in the yen and higher-lows in the Nikkei from here. We expect the pressure of decelerating trends across headline, core and producer price inflation – as well as long-term breakeven rates – to cause the BoJ to add to its easing measures at its April 27-28 meeting. Will additional easing in Japan be met with additional repudiation of the central planning #BeliefSystem, or will Japan simply export this growing lack of faith to U.S. markets via a stronger dollar?

MACRO

DARIUS DALE

TACTICAL ASSET CLASS ROTATION MODEL

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The primary function of TACRM is to provide investors with an unparalleled degree of advanced market color across the liquid global macro investment universe (i.e. asset classes, regions,

countries, style factors and equity sectors).

TACRM is especially useful in alerting investors to critical breakouts and breakdowns at the individual factor exposure levels and collating those signals in a manner that significantly

enhances one’s ability to identify existing or developing regime changes at the primary asset class level.

TACRM employs a robust proprietary quantitative methodology to transform a myriad of individual momentum signals at the factor exposure level into amalgamated risk management

signals at the primary asset class level. This is especially helpful in quantifying the risk to increasing or reducing one’s allocation to a particular asset class, at the margin(s).

WHY TACRM?

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Multi-Factor Price, Volume and Volatility: TACRM uses volume-weighted average price (VWAP) data rather than single factor price data to infer the market’s conviction in a directional trend (or lack thereof).

Multi-Duration Short-term (1-3 months), Intermediate-term (3-6 months) and Long-term (6-12 months): TACRM applies a volatility overlay to account for the existence of developing and/or trending fundamental narratives. Specifically, if cross-asset volatility* is rising on a trending basis, TACRM records observations in the smaller of the two sample sizes (across each duration) and, conversely, if cross-asset volatility* is falling on a trending basis, TACRM records observations in the larger of the two sample sizes (across each duration).

Intuitive Z-Scores: For every liquid factor exposure in the world (roughly 200 in aggregate), TACRM computes a standalone Z-Score for each of the three aforementioned observation periods. The baseline assumption is that deviations from the mean in each sample of VWAP data represents the existence of positive or negative momentum. Specifically, a positive value on a specified date indicates that the associated price is n-standard deviations greater than the mean of the sample of observations in its respective trailing n-month period.

Easy To Interpret Standardization: For each date in the model, TACRM computes a weighted average of the three aforementioned Z-Scores for each factor exposure. This composite Z-Score is the VAMDMI metric that TACRM analyzes in various manners to produce actionable risk management signals. Moreover, because TACRM’s VAMDMI metric uses a Z-Score methodology to transform VWAP data, it’s signals are agnostic to an individual factor exposure’s historical beta and volatility – thus effectively normalizing the degree to which investors in different asset classes are observing momentum.

TACRM = MULTI-FACTOR, MULTI-DURATION OUR VOLATILITY-ADJUSTED MULTI-DURATION MOMENTUM INDICATOR (VAMDMI) METRIC IS THE KEY DIFFERENTIATOR BETWEEN TACRM AND OTHER QUANTITATIVE RISK MANAGEMENT TOOLS. SPECIFICALLY, THIS CALCULATION OF MOMENTUM COMBINES MULTIPLE FACTORS ACROSS MULTIPLE DURATIONS AND DISPLAYS THE OUTPUT IN A MANNER THAT IS BOTH INTUITIVE AND EASY TO INTERPRET.

*BANK OF AMERICA/MERRILL LYNCH GLOBAL FINANCIAL STRESS INDEX

TOP-DOWN RISK MANAGEMENT SIGNALS

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ASSET CLASS SUMMARY TABLE

DATA SOURCE: BLOOMBERG

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U.S. EQUITIES

DATA SOURCE: BLOOMBERG. BACKTESTS SINCE THE START OF 2008.

600

800

1,000

1,200

1,400

1,600

1,800

2,000

2,200

0

1

2

3

4

5

6

7

8

9

U.S. Equities - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 61.3%)

U.S. Equities - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: -6.3%)

S&P 500 Index (Current Signal: INCREASE Exposure)

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INTERNATIONAL EQUITIES


900

1,200

1,500

1,800

2,100

2,400

0

1

2

3

4

5

6

7

8

9

International Equities - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 26.9%)

International Equities - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: -34.6%)

MSCI World Excluding United States Index (Current Signal: INCREASE Exposure)

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EMERGING MARKET EQUITIES


400

500

600

700

800

900

1,000

1,100

1,200

1,300

1,400

0

1

2

3

4

5

6

7

8

9

Emerging Market Equities - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 19.9%)

Emerging Market Equities - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: -30.8%)

MSCI Emerging Markets Index (Current Signal: INCREASE Exposure)

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DOMESTIC FIXED INCOME, CREDIT & EQUITY INCOME


1,200

1,300

1,400

1,500

1,600

1,700

1,800

1,900

2,000

0

1

2

3

4

5

6

7

8

9

Domestic Fixed Income, Credit and Equity Income Plays - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 25%)

Domestic Fixed Income, Credit and Equity Income Plays - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: 11.1%)

Barclays US Agg Total Return Value Unhedged USD (Current Signal: INCREASE Exposure)

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FOREIGN EXCHANGE


20

21

22

23

24

25

26

27

28

29

30

0

1

2

3

4

5

6

7

8

9

Foreign Exchange - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 7.8%)

Foreign Exchange - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: -26.8%)

PowerShares DB US Dollar Index Bearish Fund (Current Signal: INCREASE Exposure)

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COMMODITIES


140

180

220

260

300

340

380

420

460

500

0

1

2

3

4

5

6

7

8

9

Commodities - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 26.6%)

Commodities - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: -84.3%)

Thomson Reuters/CoreCommodity CRB Commodity Index (Current Signal: INCREASE Exposure)

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INT’L FIXED INCOME, CREDIT & EQUITY INCOME


350

380

410

440

470

500

530

560

0

1

2

3

4

5

6

7

8

9

Int'l Fixed Income, Credit and Equity Income Plays (Unhedged) - Cumulative 1-week Forward Return of "INCREASE Exposure" Signal: 17.5%)

Int'l Fixed Income, Credit and Equity Income Plays (Unhedged) - Cumulative 1-week Forward Return of "DECREASE Exposure" Signal: 11.9%)

J.P. Morgan Global Agg Bond Index - Total Return Unhedged USD (Current Signal: INCREASE Exposure)

BOTTOM-UP RISK MANAGEMENT SIGNALS

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FACTOR EXPOSURE SUMMARY TABLE


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BUY SIGNAL: THE ADJUSTED VAMDMI READING IS GREATER THAN +1. SELL SIGNAL: THE ADJUSTED VAMDMI READING IS LESS THAN (1).

GLOBAL MACRO

This chart highlights the top-10 and bottom-10 Adjusted VAMDMI readings

across the universe of liquid global macro factor exposures. This snapshot

is helpful to investors in two ways:

First, it consistently identifies which markets are breaking out or breaking down by identifying where last price is within the context of a multi-duration

view of volume-weighted average price data, as well as the directional deviation within that prism. For

example, an Adjusted VAMDMI reading of ≥ +1x would represent a factor exposure that is decidedly bullish

across multiple durations and getting more bullish on the margin. The

opposite is true for Adjusted VAMDMI readings ≤ (1x).

Secondly, the composition of the top

and bottom Adjusted VAMDMI readings helps investors confirm

existing trends at the primary asset class level OR helps to prospectively

signal a bullish-to-bearish or bearish-to-bullish rotation in any of the

six primary asset classes tracked by TACRM.


2.82x

2.33x

1.98x

1.94x

1.92x

1.91x

1.83x

1.82x

1.78x

1.77x

-0.38x

-0.40x

-0.43x

-0.60x

-0.66x

-0.67x

-0.69x

-1.00x

-1.30x

-1.41x

-3.0x -2.0x -1.0x 0.0x 1.0x 2.0x 3.0x

(SOYB) Teucrium Soybean Fund

(EPU) iShares MSCI All Peru Capped ETF

(BZF) WisdomTree Brazilian Real Fund

(EWZ) iShares MSCI Brazil Capped ETF

(EWZS) iShares MSCI Brazil Small-Cap ETF

(CCX) WisdomTree Commodity Currency Fund

(IHI) iShares U.S. Medical Devices ETF

(SLV) iShares Silver Trust

(LQD) iShares iBoxx $ Investment Grade Corporate Bond ETF

(TUR) iShares MSCI Turkey ETF

(NGE) Global X Nigeria Index ETF

(FXB) CurrencyShares British Pound Sterling Trust

(NIB) iPath Dow Jones-AIG Cocoa Total Return Sub-Index ETN

(COW) iPath Dow Jones-UBS Livestock Total Return Sub-Index ETN

(SGG) iPath Dow Jones AIG Sugar Total Return Sub-Index ETN

(FOIL) iPath Pure Beta Aluminum

(WEAT) Teucrium Wheat Fund

(STPP) iPath US Treasury Steepener ETN

(VXX) iPath S&P 500 VIX Short-Term Futures ETN

(UUP) PowerShares DB US Dollar Index Bullish Fund

Global Macro Top/Bottom 10 Adjusted VAMDMI*** Rankings

***The Adjusted VAMDMI reading is a weighted average of the current VAMDMI reading (75%) and the current delta from its trailing six-month average (25%).

HEDGEYE 24


U.S. EQUITIES

This chart highlights the top-10 and bottom-10 Adjusted VAMDMI

readings across the universe of broadly investable U.S. equity sector

and style factor exposures. This snapshot is helpful to investors in

two ways:

First, it consistently identifies which sectors and/or style factors are

breaking out or breaking down by identifying where last price is within the context of a multi-duration view of volume-weighted average price

data, as well as the directional deviation within that prism. For example, an Adjusted VAMDMI

reading of ≥ +1x would represent a factor exposure that is decidedly

bullish across multiple durations and getting more bullish on the margin. The opposite is true for Adjusted

VAMDMI readings ≤ (1x).

Secondly, the composition of the top and bottom Adjusted VAMDMI

readings helps investors confirm or dispel existing fundamental

narratives OR prospectively signal new ones.


1.83x

1.58x

1.35x

1.28x

1.28x

1.22x

1.21x

1.20x

1.19x

1.18x

0.76x

0.72x

0.63x

0.55x

0.55x

0.35x

0.23x

0.16x

-0.23x

-1.30x

-3.0x -2.0x -1.0x 0.0x 1.0x 2.0x 3.0x

(IHI) iShares U.S. Medical Devices ETF

(GDX) Market Vectors Gold Miners ETF

(USMV) iShares MSCI USA Minimum Volatility ETF

(IWS) iShares Russell Mid-Cap Value ETF

(ITB) iShares U.S. Home Construction ETF

(DIA) SPDR Dow Jones Industrial Average ETF Trust

(XOP) SPDR S&P Oil & Gas Exploration & Production ETF

(XLB) Materials Select Sector SPDR Fund

(ITA) iShares U.S. Aerospace & Defense ETF

(IWR) iShares Russell Mid-Cap ETF

(VLUE) iShares MSCI USA Value Factor ETF

(XLF) Financial Select Sector SPDR Fund

(PFF) iShares US Preferred Stock ETF

(IBB) iShares Nasdaq Biotechnology ETF

(KRE) SPDR S&P Regional Banking ETF

(IHE) iShares U.S. Pharmaceuticals ETF

(IAI) iShares U.S. Broker-Dealers ETF

(PBW) Powershares Wilderhill Clean Energy Portfolio

(TAN) Guggenheim Solar ETF

(VXX) iPath S&P 500 VIX Short-Term Futures ETN

U.S. Equities Top/Bottom 10 Adjusted VAMDMI*** Rankings


HEDGEYE 25


INTERNATIONAL EQUITIES


readings across the universe of broadly investable international

equity country and regional exposures. This snapshot is helpful

to investors in two ways:

First, it consistently identifies which countries and/or regions are










1.74x

1.72x

1.61x

1.51x

1.42x

1.29x

1.26x

1.24x

1.19x

1.10x

0.78x

0.77x

0.77x

0.73x

0.64x

0.46x

0.38x

0.11x

0.03x

-0.11x

-3.0x -2.0x -1.0x 0.0x 1.0x 2.0x 3.0x

(PICK) iShares MSCI Global Metals & Mining Producers ETF

(ENZL) iShares MSCI New Zealand Capped ETF

(EWC) iShares MSCI Canada ETF

(EWD) iShares MSCI Sweden ETF

(FILL) iShares MSCI Global Energy Producers ETF

(ENOR) iShares MSCI Norway Capped ETF

(EWS) iShares MSCI Singapore ETF

(EWGS) iShares MSCI Germany Small-Cap ETF

(EWN) iShares MSCI Netherlands ETF

(EIRL) iShares MSCI Ireland Capped ETF

(EZU) iShares MSCI EMU ETF

(EFNL) iShares MSCI Finland Capped ETF

(VEGI) iShares MSCI Global Agriculture Producers ETF

(PGAL) Global X FTSE Portgual 20 ETF

(EWUS) iShares MSCI United Kingdom Small-Cap ETF

(EWP) iShares MSCI Spain Capped ETF

(EUFN) iShares MSCI Europe Financials ETF

(DXJS) WisdomTree Japan Hedged Small-Cap Equity Fund

(EWI) iShares MSCI Italy Capped ETF

(DXJ) WisdomTree Japan Hedged Equity Fund

International Equities Top/Bottom 10 Adjusted VAMDMI*** Rankings


HEDGEYE 26


EMERGING MARKET EQUITIES


readings across the universe of broadly investable emerging market

equity country and regional exposures. This snapshot is helpful


First, it consistently identifies which countries and/or regions are










2.33x

1.94x

1.92x

1.77x

1.73x

1.68x

1.63x

1.59x

1.58x

1.56x

0.97x

0.95x

0.88x

0.88x

0.82x

0.77x

0.71x

0.50x

0.29x

-0.38x

-3.0x -2.0x -1.0x 0.0x 1.0x 2.0x 3.0x

(EPU) iShares MSCI All Peru Capped ETF

(EWZ) iShares MSCI Brazil Capped ETF

(EWZS) iShares MSCI Brazil Small-Cap ETF

(TUR) iShares MSCI Turkey ETF

(GML) SPDR S&P Emerging Latin America ETF

(ICOL) iShares MSCI Colombia Capped ETF

(EPHE) iShares MSCI Philippines ETF

(GUR) SPDR S&P Emerging Europe ETF

(UAE) iShares MSCI UAE Capped ETF

(ARGT) Global X FTSE Argentina 20 ETF

(CHIQ) Global X China Consumer ETF

(EPOL) iShares MSCI Poland Capped ETF

(SMIN) iShares MSCI India Small-Cap ETF

(EWW) iShares MSCI Mexico Capped ETF

(EWT) iShares MSCI Taiwan ETF

(EWM) iShares MSCI Malaysia ETF

(CHIX) Global X China Financials ETF

(CAF) Morgan Stanley China A Share Fund Inc.

(VNM) Market Vectors Vietnam ETF

(NGE) Global X Nigeria Index ETF

Emerging Market Equities Top/Bottom 10 Adjusted VAMDMI*** Rankings


HEDGEYE 27


DOMESTIC FIXED INCOME, CREDIT & EQUITY INCOME


readings across the universe of broadly investable domestic fixed income, credit and equity income

exposures. This snapshot is helpful to investors in two ways:

First, it consistently identifies which

markets are breaking out or breaking down by identifying where last price is within the context of a

multi-duration view of volume-weighted average price data, as well

as the directional deviation within that prism. For example, an Adjusted

VAMDMI reading of ≥ +1x would represent a factor exposure that is decidedly bullish across multiple

durations and getting more bullish on the margin. The opposite is true for Adjusted VAMDMI readings ≤ (1x).


and bottom Adjusted VAMDMI readings helps investors confirm or

dispel existing fundamental narratives OR prospectively signal

new ones.


1.78x

1.70x

1.64x

1.60x

1.37x

0.90x

0.89x

0.87x

0.79x

-1.00x

-3.0x -2.0x -1.0x 0.0x 1.0x 2.0x 3.0x

(LQD) iShares iBoxx $ Investment Grade Corporate Bond ETF

(BND) Vangaurd Total US Bond Market ETF

(AGG) iShares Core US Aggregate Bond ETF

(BKLN) Senior Loan Portfolio ETF

(TIP) iShares TIPS Bond ETF

(EDV) Vanguard Extended Duration Treasury ETF

(AMLP) Alerian MLP ETF

(XLU) Utilities Select Sector SPDR Fund

(ZROZ) PIMCO 25+ Year Zero Coupon US Treasury Bond ETF

(STPP) iPath US Treasury Steepener ETN

Domestic Fixed Income, Credit and Equity Income Plays Top/Bottom 5 Adjusted VAMDMI*** Rankings


HEDGEYE 28


FOREIGN EXCHANGE


readings across the universe of broadly investable currencies. This snapshot is helpful to investors in

two ways:

First, it consistently identifies which currencies are breaking out or

breaking down by identifying where last price is within the context of a








new ones.


1.98x

1.91x

1.77x

1.73x

1.67x

1.10x

1.04x

0.73x

-0.40x

-1.41x

-3.0x -2.0x -1.0x 0.0x 1.0x 2.0x 3.0x

(BZF) WisdomTree Brazilian Real Fund

(CCX) WisdomTree Commodity Currency Fund

(FXC) CurrencyShares Canadian Dollar Trust

(FXS) CurrencyShares Swedish Krone Trust

(CEW) WisdomTree Emerging Currency Fund

(FXF) CurrencyShares Swiss Franc Trust

(FXE) CurrencyShares Euro Trust

(CYB) WisdomTree Chinese Yuan Strategy Fund

(FXB) CurrencyShares British Pound Sterling Trust

(UUP) PowerShares DB US Dollar Index Bullish Fund

Foreign Exchange Top/Bottom 5 Adjusted VAMDMI*** Rankings


HEDGEYE 29


COMMODITIES


readings across the universe of broadly investable commodity

markets. This snapshot is helpful to investors in two ways:

First, it consistently identifies which

commodities are breaking out or breaking down by identifying where last price is within the context of a

multi-duration view of volume-weighted average price data,

as well as the directional deviation within that prism. For example, an Adjusted VAMDMI reading of ≥ +1x would represent a factor exposure

that is decidedly bullish across multiple durations and getting more

bullish on the margin. The opposite is true for Adjusted VAMDMI readings ≤

(1x).





2.82x

1.82x

1.43x

1.21x

1.07x

-0.43x

-0.60x

-0.66x

-0.67x

-0.69x

-3.0x -2.0x -1.0x 0.0x 1.0x 2.0x 3.0x

(SOYB) Teucrium Soybean Fund

(SLV) iShares Silver Trust

(RLY) SPDR Multi-Asset Real Return ETF

(DBB) PowerShares DB Base Metals Fund

(BNO) United States Brent Oil Fund

(NIB) iPath Dow Jones-AIG Cocoa Total Return Sub-Index ETN

(COW) iPath Dow Jones-UBS Livestock Total Return Sub-Index ETN

(SGG) iPath Dow Jones AIG Sugar Total Return Sub-Index ETN

(FOIL) iPath Pure Beta Aluminum

(WEAT) Teucrium Wheat Fund

Commodities Top/Bottom 5 Adjusted VAMDMI*** Rankings


HEDGEYE 30


INT’L FIXED INCOME, CREDIT & EQUITY INCOME


readings across the universe of broadly investable international fixed

income, credit and equity income exposures. This snapshot is helpful


First, it consistently identifies which markets are breaking out or

breaking down by identifying where last price is within the context of a








new ones.


1.77x

1.74x

1.73x

1.66x

1.62x

1.50x

1.46x

1.42x

1.20x

1.08x

-3.0x -2.0x -1.0x 0.0x 1.0x 2.0x 3.0x

(EMLC) Market Vectors Emerging Markets Local Currency Bond ETF

(WIP) SPDR DB International Government Inflation-Protected Bond ETF

(EMB) iShares JP Morgan USD Emerging Markets Bond ETF

(ALD) WisdomTree Asia Local Debt Fund

(BWZ) SPDR Barclays International Short-term Treasury Bond ETF

(IHY) Market Vectors International High Yield Bond ETF

(BWX) SPDR Barclays International Long-term Treasury Bond ETF

(IBND) SPDR Barclays International Investment Grade Bond ETF

(EMCB) WisdomTree Emerging Markets Corporate Bond Fund

(BNDX) Vangaurd Total International Bond Market ETF

Int'l Fixed Income, Credit and Equity Yield Plays Top/Bottom 5 Adjusted VAMDMI*** Rankings


BOTTOM-UP RISK MANAGEMENT BACKTESTS

HEDGEYE 32

AVERAGE RETURNS


0.6%

-1.5%

0.2%

-0.6%

-2.0% -1.5% -1.0% -0.5% 0.0% 0.5% 1.0%

Average 1-month Forward Return Average 3-months Forward Return

The Adjusted VAMDMI reading is a weighted average of the current VAMDMI reading (75%) and the current delta from its trailing six-month average (25%).

Backtests extend to the start of 2008 across all the individual factor exposures comprising the model; ~20,000 observations in aggregate.

Adjusted VAMDMI readings ≤ (1x).

Adjusted VAMDMI readings ≥ +1x.

HEDGEYE 33

POSITIVE HIT RATE


57%

49%

55%

49%

44% 46% 48% 50% 52% 54% 56% 58%

Cumulative 1-month Forward Hit Rate Cumulative 3-months Forward Hit Rate

The Adjusted VAMDMI reading is a weighted average of the current VAMDMI reading (75%) and the current delta from its trailing six-month average (25%).

Backtests extend to the start of 2008 across all the individual factor exposures comprising the model; ~20,000 observations in aggregate.

Adjusted VAMDMI readings ≤ (1x). Adjusted VAMDMI readings ≥ +1x.

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April 14, 2016

HEDGEYE MACRO PROCESS: RATE OF CHANGE

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April 14, 2016

HEDGEYE SECTOR PERFORMANCE

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April 14, 2016

HEDGEYE SECTOR RELATIVE PERFORMANCE

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April 14, 2016

HEDGEYE STYLE FACTOR PERFORMANCE

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April 14, 2016

HEDGEYE RATES & SPREADS

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April 14, 2016

CFTC NON-COMMERCIAL NET LONG POSITIONING

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April 14, 2016

MARKET SHARE VOLUME & TOTAL VALUE TRADED

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April 14, 2016

S&P REVENUE & EARNINGS COMP

Slide Number 1legalSlide Number 3Slide Number 4Slide Number 5Slide Number 6Slide Number 7Slide Number 8Slide Number 9Why TACRM?TACRM = Multi-factor, multi-durationTOP-DOWN RISK MANAGEMENT SIGNALSAsset class Summary tableU.S. equitiesInternational EquitiesEmerging Market EquitiesDomestic Fixed income, credit & equity incomeForeign exchangecommoditiesInt’l fixed income, credit & equity incomeBOTTOM-UP RISK MANAGEMENT SIGNALSFactor exposure Summary tableGlobal macroU.S. EquitiesInternational EquitiesEmerging market EquitiesDomestic Fixed income, credit & equity incomeForeign exchangecommoditiesInt’l fixed income, credit & equity incomeBOTTOM-UP RISK MANAGEMENT BACKTESTSAVERAGE RETURNSPositive hit rateSlide Number 34Slide Number 35Slide Number 36Slide Number 37Slide Number 38Slide Number 39Slide Number 40Slide Number 41

HEDGEYE ASSET ALLOCATIONdocs.hedgeye.com/HE_TMS_4.14.16.pdf · 2016. 4. 14. · It’s early in...

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Transcript of HEDGEYE ASSET ALLOCATIONdocs.hedgeye.com/HE_TMS_4.14.16.pdf · 2016. 4. 14. · It’s early in...