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A week of consolidation for Equities and Bonds.
There is no general correction at this point even though the subclass analyzes of Assets need to be refined.
Our Krach indicator remains in the low risk zone, at 30.6 points, even though it has deteriorated slightly compared to the previous week (26 points). Volatility increased only marginally, gold benefited little from the decline in equities and some bonds. The raw materials are good.
Our Asset Allocation (Global Macro Portfolio) remains unchanged by Asset class: 39% Equities, 31% Bonds, 20% Commodities, 10% Gold.
Detail by Asset Class
Equities :
The overall score of the Shares is down, to 69 points (-7 points over 2 weeks). The Long Term Score is only slightly affected by this consolidation (76 points, -3 points over two weeks)
Although penalized by Southern Europe, which saw its short-term score rise to just 30 points (-23 points over two weeks), Europe is holding up well, with an overall score of 67 points, slightly higher than USA (62 points).
South America is an area to watch because it goes into a zone of negative momentum with a score of only 46 points. The Long Term trend is not questioned with a score that remains robust (70 points).
The Middle East - Africa zone continues to fall, like UAE (iShares MSCI UAE capped ETF) which loses 80 points, to 20 points now only in the short term. Israel, Qatar, Saudi Arabia and South Africa all have a negative short-term momentum. In the long term only South Africa is in positive momentum.
The area that stands out is Asia, which has not been affected by the consolidation that has affected other areas. His short-term score rose again (+4 over two weeks) to 87 points. It is also the area with the best Long Term score, with 88 points. Indonesia (EIDO - iShares MSCI Indonesia ETF) and the Philippines (EPH - iShares MSCI Philippines ETF) benefited particularly from this movement.
On the sector side, we note the weakness of the Healthcare sector on both sides of the Atlantic, with for example HLT (Lyxor Europe Healthcare) whose short term score has fallen to 0, and whose long term score is only 30. Some ETFs, however, escape this movement. XHE (SPDR Health Care Equipment) manages to maintain a short-term score of 90 points.
On the other hand, the Technology sectors remain in very positive momentum: XSD (SPDR S & P Semiconductors) and IYW (SPDR S & P US Technology) have a short-term score of 100 points, XSW (SPDR S & P Software & Services) a short-term score of 90 points.
Also note the strong growth of the oil sector. XES (SPDR S & P Oil and Gas Equipment & Services) posted the strongest increase in these two weeks: +70 points, with a short-term score of 80 points.
Bonds :
The Bonds suffered more than the Shares, with a 15-point drop in their Short-term score, to 47 points now (negative momentum). This is especially true for the High Yield, which fell in two weeks from 72 to 30 points. The Long Term trend remains strong despite everything, at 70 points.
Some ETFs were heavily affected, such as the Bloomberg Barclays High Yield Bonds (SPDR) or PowerShares Fundamental High Yield Bond (PHB), which each lost 60 points in two weeks.
In contrast, the best-rated sectors held up well: AM3A (Amundi ETF Bond Highest Rated) and CBBB (Amundi ETF BBB Euro Corporate Investment Grade), for example, have short-term scores of 90 and 80 points.
Commodities :
Commodities remain broadly stable, with a short-term score of 58 points, but a trend that remains fragile in the long term (46 points, +2 over two weeks).
Once again, metals (66 short-term points, -10 points over two weeks) should be distinguished from agricultural commodities that remain in the red but whose prospects are improving (44 points in Short Term, +6 in two weeks). Caution is needed over the long term on commodities with a very low long term score: 26 points only. A notable exception for Cocoa (NIB: iPath Bloomberg Subindex Cocoa Total Return), whose short-term score is 100 points (+30 in two weeks)
Gold :
Gold only benefited moderately from the consolidation of the other asset classes, with a short term score that remains low (30 points, +10 points over 2 weeks), but Long Term remains favorable (90 points, stable).
Detail of short-term and long-term scores by asset class:
Top 5 short term fall :
Top 5 short term rise :
Methodology :
Krach indicator
Our indicator is calculated based on quantitative criteria that qualify Krach'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 two weeks earlier.