MacroR esearchBoard mrbpartners 1 March 6, 2020 ......MacroR esearchBoard mrbpartners Independent...
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MacroResearchBoard partners mrb Independent Investment Strategy MRB Asset Allocation Recommendations 1 March 6, 2020 Fixed Income Duration Government Bonds Yield Curve 6 Inflation Protection Corporate Bonds 7 : Investment-Grade High-Yield EM Sovereign: USD Debt Local Currency Debt Overall Asset Allocation Equities Fixed Income Cash Commodities + - N DM Government Bonds 7 (Currency Hedged) Australia Canada Euro Area Ex- Germany Germany Japan New Zealand Norway Sweden Switzerland U.K. U.S. Regional Equities 2 Australia Canada Euro Area Ex- Germany Germany Hong Kong Japan Sweden Switzerland U.K. U.S. Emerging Markets Commodity Exporters 3 Commodity Importers 4 U.S. Equity Sectors 2 Consumer Discretionary Communication Services Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Real Estate Utilities Currencies (vs US$) Australia Canada Euro Area Japan New Zealand Norway Singapore Sweden Switzerland U.K. Emerging Markets Emerging Markets Currencies (vs EM Basket) Brazil China India Indonesia Korea Mexico Russia South Africa Taiwan Turkey Emerging Markets Equities 5 Brazil China India Indonesia Korea Mexico Russia South Africa Taiwan Turkey Peripheral EMs MRB Partners Inc © 03/2020 + - N 1 6-12 month horizon 2 Relative to common currency U.S. equity benchmark 3 Includes Brazil, Chile, Colombia, Indonesia, Malaysia, Peru, Russia, South Africa 4 Includes China, Czech Republic, Hungary, India, Korea, Mexico, Philippines, Poland, Taiwan, Thailand, Turkey 5 Relative to common currency emerging markets equity benchmark 6 + = Steepener and - = Flattener 7 Relative to hedged global fixed income benchmark Note: Apart from the Asset Allocation section, recommendations are within asset classes; + = maximum overweight, N = neutral and – = maximum underweight
Transcript of MacroR esearchBoard mrbpartners 1 March 6, 2020 ......MacroR esearchBoard mrbpartners Independent...
Macro Resea rchBoard
partnersmrbI n d e p e n d e n t I n v e s t m e n t S t r a t e g y
MRB Asset Allocation Recommendations1
March 6, 2020
Fixed IncomeDurationGovernment BondsYield Curve6
Inflation ProtectionCorporate Bonds7:
Investment-GradeHigh-Yield
EM Sovereign:
USD DebtLocal Currency Debt
Overall Asset Allocation
EquitiesFixed IncomeCashCommodities
+- N
DM Government Bonds7 (Currency Hedged)AustraliaCanadaEuro Area
Ex- GermanyGermany
JapanNew ZealandNorwaySwedenSwitzerlandU.K.U.S.
Regional Equities2
AustraliaCanadaEuro Area
Ex- GermanyGermany
Hong KongJapanSwedenSwitzerlandU.K.U.S.Emerging Markets
Commodity Exporters3
Commodity Importers4
U.S. Equity Sectors2
Consumer DiscretionaryCommunication ServicesConsumer StaplesEnergyFinancialsHealth CareIndustrialsInformation TechnologyMaterialsReal EstateUtilities
Currencies (vs US$)AustraliaCanadaEuro AreaJapanNew ZealandNorwaySingaporeSwedenSwitzerlandU.K.Emerging Markets
Emerging Markets Currencies (vs EM Basket)BrazilChinaIndiaIndonesiaKoreaMexicoRussiaSouth AfricaTaiwanTurkey
Emerging Markets Equities5
BrazilChinaIndiaIndonesiaKoreaMexicoRussia South AfricaTaiwanTurkeyPeripheral EMs
MRB Partners Inc © 03/2020
+- N
1 6-12 month horizon2 Relative to common currency U.S. equity benchmark3 Includes Brazil, Chile, Colombia, Indonesia, Malaysia, Peru, Russia, South Africa4 Includes China, Czech Republic, Hungary, India, Korea, Mexico, Philippines, Poland, Taiwan, Thailand, Turkey5 Relative to common currency emerging markets equity benchmark6 + = Steepener and - = Flattener7 Relativetohedgedglobalfixedincomebenchmark
Note: Apart from the Asset Allocation section, recommendations are within asset classes; + = maximum overweight, N = neutral and – = maximum underweight
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mrb March 6, 2020
Reference Charts
40
60
80
100
40
60
80
100Global**
Stock-To-Bond Total Return*:
Global**
Stock-To-Bond Total Return*:
40
80
120
40
80
120Global: Equity Prices / Commodities*
Relative Total Return:
Global: Equity Prices / Commodities*
Relative Total Return:
40
80
40
80
U.S.U.S.
60
80
100
120
60
80
100
120Government Bonds / Commodities*Government Bonds / Commodities*
40
60
80
100
40
60
80
100Euro AreaEuro Area
120
160
200
120
160
200
High Yield Bonds / Stock PricesHigh Yield Bonds / Stock Prices
40
60
80
100
40
60
80
100U.K.U.K.
80
100
120
80
100
120
High Yield Bonds / Corporate Bond MasterHigh Yield Bonds / Corporate Bond Master
80
120
80
120
2000 2005 2010 2015 2020
Emerging Markets**
* MSCI stock market total return index divided by government bond total return index** U.S. dollarsNote: All series rebased to January 2000 = 100; - - - 40-week moving average
Emerging Markets**
* MSCI stock market total return index divided by government bond total return index** U.S. dollarsNote: All series rebased to January 2000 = 100; - - - 40-week moving average
40
80
40
80
2000 2005 2010 2015 2020
Stock Prices / Gold Price
* Continuous Commodity Index; source Commodity Research BureauNote: All series rebased to January 2000 = 100; - - - 40-week moving average
Stock Prices / Gold Price
* Continuous Commodity Index; source Commodity Research BureauNote: All series rebased to January 2000 = 100; - - - 40-week moving average
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Relative Asset Performance*
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Regional Equities
100
200
300
100
200
300
Local currencyUS$(for all panels)
AustraliaAustralia
60
80
100
60
80
100
JapanJapan
100
150
200
100
150
200CanadaCanada
75
100
125
75
100
125SwedenSweden
100
200
100
200
Emerging MarketsEmerging Markets
120
160
120
160SwitzerlandSwitzerland
80
100
120
80
100
120Euro AreaEuro Area
80
100
120
80
100
120U.K.U.K.
80
120
160
80
120
160
2000 2005 2010 2015 2020
Hong Kong
Note: Relative to global total return index; rebased to January 2000 = 100; source: MSCI
Hong Kong
Note: Relative to global total return index; rebased to January 2000 = 100; source: MSCI
80
100
120
80
100
120
2000 2005 2010 2015 2020
U.S.
Note: Relative to global total return index; rebased to January 2000 = 100; source: MSCI
U.S.
Note: Relative to global total return index; rebased to January 2000 = 100; source: MSCI
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mrb March 6, 2020
Emerging Market Equities
100
150
200
100
150
200
BrazilBrazil
120
160
120
160
MexicoMexico
80
100
120
80
100
120ChinaChina
100
200
300
100
200
300RussiaRussia
80
120
160
80
120
160IndiaIndia
100
120
140
160
100
120
140
160South AfricaSouth Africa
100
200
100
200
IndonesiaIndonesia
40
80
40
80
TaiwanTaiwan
80
100
120
140
80
100
120
140
2000 2005 2010 2015 2020
Korea
Note: Relative to emerging markets total return index; - - - 40-week moving average;U.S. dollars; rebased to January 2000 = 100; source: MSCI
Korea
Note: Relative to emerging markets total return index; - - - 40-week moving average;U.S. dollars; rebased to January 2000 = 100; source: MSCI
50
100
50
100
2000 2005 2010 2015 2020
Turkey
Note: Relative to emerging markets total return index; - - - 40-week moving average;U.S. dollars; rebased to January 2000 = 100; source: MSCI
Turkey
Note: Relative to emerging markets total return index; - - - 40-week moving average;U.S. dollars; rebased to January 2000 = 100; source: MSCI
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mrb March 6, 2020
Fixed Income
100
120
140
160
100
120
140
160
Global Bond Total Return*:Government / Cash
Global Bond Total Return*:Government / Cash
100
120
140
160
100
120
140
160
U.S. Bond Total Return*:Government / Cash
U.S. Bond Total Return*:Government / Cash
90
100
110
90
100
110
Corporate / GovernmentCorporate / Government
90
100
110
120
90
100
110
120
Corporate / Government Corporate / Government
80
100
120
80
100
120
High-Yield / CorporateHigh-Yield / Corporate
80
120
80
120
High-Yield / Government High-Yield / Government
100
120
140
160
100
120
140
160
Euro Area Bond Total Return*:Government / Cash
Euro Area Bond Total Return*:Government / Cash
120
160
200
120
160
200
2000 2005 2010 2015 2020
Emerging Market Sovereign*** / Global Government
* Local currency terms; rebased to January 2000 = 100; source: BofA Merrill Lynch** U.S. dollar denominated debtNote: - - - 40-week moving average
Emerging Market Sovereign*** / Global Government
* Local currency terms; rebased to January 2000 = 100; source: BofA Merrill Lynch** U.S. dollar denominated debtNote: - - - 40-week moving average
90
95
100
90
95
100
2000 2005 2010 2015 2020
Corporate / Government
* Local currency terms; rebased to January 2000 = 100; source: BofA Merrill LynchNote: - - - 40-week moving average;
Corporate / Government
* Local currency terms; rebased to January 2000 = 100; source: BofA Merrill LynchNote: - - - 40-week moving average;
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mrb March 6, 2020
500400
300
200
150
100
500400
300
200
150
100
CCI Commodity Prices*:
Energy
CCI Commodity Prices*:
Energy
120
160
200
120
160
200
Relative CCI Commodity Prices*:
Energy
Relative CCI Commodity Prices*:
Energy
500400
300250200
150
100
500400
300250200
150
100
Precious MetalsPrecious Metals
120
160
120
160
Precious MetalsPrecious Metals
400
300250200
150
100
400
300250200
150
100
IndustrialsIndustrials
80
100
120
80
100
120IndustrialsIndustrials
300
200
100
300
200
100
SoftsSofts
80
100
120
80
100
120SoftsSofts
300
200
100
300
200
100
2000 2005 2010 2015 2020
Grains
* Continuous Commodity Index; rebased to January 2000 = 100; source: Commodity Research BureauNote: - - - 40-week moving averag
Grains
* Continuous Commodity Index; rebased to January 2000 = 100; source: Commodity Research BureauNote: - - - 40-week moving averag
80
100
120
80
100
120
2000 2005 2010 2015 2020
Grains
* Relative to aggregate Continuous Commodity Index; rebased to January 2000 = 100; source: Commodity Research BureauNote: - - - 40-week moving average
Grains
* Relative to aggregate Continuous Commodity Index; rebased to January 2000 = 100; source: Commodity Research BureauNote: - - - 40-week moving average
Commodities
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mrb March 6, 2020
Exchange Rates
0.6
0.8
1.0
0.6
0.8
1.0
U.S. Dollar Exchange Rate / Australian DollarU.S. Dollar Exchange Rate / Australian Dollar
0.008
0.010
0.012
0.008
0.010
0.012
U.S. Dollar / Japanese Yen Exchange RateU.S. Dollar / Japanese Yen Exchange Rate
0.7
0.8
0.9
1.0
0.7
0.8
0.9
1.0
U.S. Dollar Exchange Rate / Canadian DollarU.S. Dollar Exchange Rate / Canadian Dollar
0.6
0.7
0.8
0.6
0.7
0.8
U.S. Dollar Exchange / Rate Singapore DollarU.S. Dollar Exchange / Rate Singapore Dollar
0.13
0.14
0.15
0.16
0.13
0.14
0.15
0.16
U.S. Dollar Exchange Rate / Chinese YuanU.S. Dollar Exchange Rate / Chinese Yuan
0.6
0.8
1.0
1.2
0.6
0.8
1.0
1.2
U.S. Dollar Exchange Rate / Swiss FrancU.S. Dollar Exchange Rate / Swiss Franc
0.018
0.020
0.022
0.024
0.018
0.020
0.022
0.024
U.S. Dollar Exchange Rate / Emerging Markets*U.S. Dollar Exchange Rate / Emerging Markets*
1.6
2.0
1.6
2.0
U.S. Dollar Exchange Rate / U.K. PoundU.S. Dollar Exchange Rate / U.K. Pound
1.2
1.6
1.2
1.6
2000 2005 2010 2015 2020
U.S. Dollar / Euro Exchange Rate
* Emerging market currency basket; source: MSCINote: - - - 40-week moving average
U.S. Dollar / Euro Exchange Rate
* Emerging market currency basket; source: MSCINote: - - - 40-week moving average
80
100
120
80
100
120
2000 2005 2010 2015 2020
U.S. Dollar Exchange Rate*
Note: - - - 40-week moving average* U.S. DXY index
U.S. Dollar Exchange Rate*
Note: - - - 40-week moving average* U.S. DXY index
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I n d e p e n d e n t I n v e s t m e n t S t r a t e g y
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