Our Asset Allocation strategy: 08/04/19

Equities:

Full box for Equities: All areas are in positive short-term and long-term trends, with the exception of Russel 2000 (US broad index), which is only in short-term neutral territory.

Our Global Global Macro portfolio therefore includes all geographies in its Allocation, for a total of 66% of equities.

Bonds:

This time the bonds weaken very slightly in the short term, which is consistent with the surge in equities. Bonds remain well oriented in both the short and long term.

All categories of Bonds are currently eligible in our Global Macro portfolio, which therefore includes 16% of Bonds in its allocation.

Gold:

Gold is weakening in the short term, reflecting a decrease in market tensions consistent with the rise in equities. But the short-term and long-term Gold scores, always showing positive trends, allow us to keep it in our Global Macro portfolio (7% of the portfolio).

Commodities:

Only Industrial Metals have a positive short-term and long-term trend, with unchanged scores compared to the previous week. These are therefore included in our Global Macro portfolio (3% of the total portfolio).

Agricultural Commodities and Energy are excluded from our portfolio, as they were the week before, as they remain in a negative long-term trend.

Cash:

In the Global Macro portfolio, we hold 8% of cash.

Short Term and Long Term trends by Asset classes:

Asset Classes Indices / ETFs Short Term trend Long Term trend
World Equities index ACWI - ACWI Positive Positive
USA Equities S&P500 USA - SP5 Positive Positive
USA Equities Nasdaq 100 USA - NDX Positive Positive
USA Equities Russel 2000 USA - RS2K Neutral Positive
Europe Equities Euro STOXX 600 - MEUD Positive Positive
Europe Equities Small Cap Europe - MMS Positive Positive
UK Equities FTSE 100 - L100 Positive Positive
Japan Equities Japan Topix - JPN Positive Positive
Asia Pacific ex Japan Equities Lyxor ETF - AEJ Positive Positive
China Equities Amundi ETF China - CC1 Positive Positive
Latin America Equities Lyxor ETF Latam - LTM Positive Positive
Africa Equities Lyxor Pan Africa - PAF Positive Positive
Govt Bonds EUROMTS 7-10 Years Amundi ETF-  C73 Positive Positive
Corporate Bonds Euro Amundi ETF - CC4 Positive Positive
Emerging Countries Bonds Amundi ETF - AGEB Positive Positive
US Treasury Bonds 7-10 years Amundi ETF - US7 Positive Positive
Corporate US Bonds Lyxor ETF - USIG Positive Neutral
Golds ETFS - BULLP  Positive Positive
Agricultural Commodities ETFS - AIGAP Negative Negative
Energy Commodities ETFS - AIGE Neutral Negative
Industrial Metals Commodities ETFS - AIGI Positive Positive

Methodology: 

Crash indicator

Our indicator is calculated based on quantitative criteria that qualify crash's risk based on the volatility market behavior (VIX), gold, US bonds (10 years) and the MSCI World. We adopt weightings of these different criteria in order to assess the market risk and its evolution on a weekly basis.

Short Term and Long Term Scores

The scores are calculated by our algorithms on the basis of quantitative criteria over several time horizons. These scores are between 0 and 100. Beyond 50 points the momentum is considered positive, under 50 points the momentum is negative, and the 50 points represent a neutral score. Dynamically, all comparisons are based on scores calculated one week earlier