Global Multi-Asset Investment Strategist, True Insights

Jeroen Blokland

Global Multi-Asset Investment Strategist

Build Well-Diversified Multi-Asset Portfolios

True Insights

Our research helps investors build well-diversified multi-asset portfolios and profit from market developments. In addition, our unique and proven Macro – Sentiment – Valuation (MSV) investment framework ensures a consistent flow of new investment opportunities. Together with our market views, these opportunities will be reflected in our live ETF-based Global Multi-Asset Portfolios.

Cross Asset Strategy

<ul>
<li>In the past four months or so, stock prices haven’t done all that much. The MSCI World Index measured stands 1.5% higher than at the beginning of July.</li>
<li>However, cash has performed just as well as equities, or even slightly better in the case of the MSCI World Index, with much lower risk.</li>
<li>If we were to compare the Sharpe ratios (return divided by realized volatility) of stocks and cash over the past months, the gap between the two categories would be huge.</li>
</ul>


In the past four months or so, stock prices haven’t done all that much. The MSCI World Index measured stands 1.5% higher than at the beginning of July.
However, cash has performed just as well as equities, or even slightly better in the case of the MSCI World Index, with much lower risk.
If we were to compare the Sharpe ratios (return divided by realized volatility) of stocks and cash over the past months, the gap between the two categories would be huge.


Investing Is About Return and Risk – Update 34027

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

<ul>
<li>Ongoing developments have been almost exclusively of the risk-on variety ever since we discussed that risk/reward favored buyers in late-October (10/24/23 and 10/31/23 Compass reports).</li>
<li>The latest risk-on developments include the Russell2000 (IWM) and DJI breaking above resistances of $180 and 35,650, to go along with bullish 9-month RS reversals for small-, mid-, and micro-caps.</li>
<li>Breadth improvement and broadening participation was a big reason why we recommended buying the IWM when it was testing $162-$163 support (10/31/23 Compass). We remain bullish</li>
</ul>


Ongoing developments have been almost exclusively of the risk-on variety ever since we discussed that risk/reward favored buyers in late-October (10/24/23 and 10/31/23 Compass reports).
The latest risk-on developments include the Russell2000 (IWM) and DJI breaking above resistances of $180 and 35,650, to go along with bullish 9-month RS reversals for small-, mid-, and micro-caps.
Breadth improvement and broadening participation was a big reason why we recommended buying the IWM when it was testing $162-$163 support (10/31/23 Compass). We remain bullish


Upgrading Real Estate, Transportation to Market Weight; Smid-Caps With Bullish RS Reversals

Research from Water Tower Research, Water Tower Research

Water Tower Research

Research from Water Tower Research

Water Tower Research is a leading equity research firm that provides research on micro, small and mid cap companies.

Water Tower Research was founded by Wall Street veterans after witnessing a fundamental shift in the investment research industry with the result being a declining knowledge base among investors, a lack of awareness and a shrinking pool of fundamental research being conducted on companies across the small-cap and micro-cap spectrum. The same issues are now increasingly occurring in the mid-cap space. This sea change within the investment community is impacting not only the companies themselves but also current shareholders and potential investors. With significantly less active sell-side sponsorship by Wall Street, a substantial information gap has developed between companies and various constituents in the financial community. The net result is fewer channels for insight and information to flow between companies and investors.

Equity Research Firm

Thematic (Sector/Industry)

<ul><li>The WTR Sustainable Index was up by 0.9% W/W versus the S&amp;P 500 Index (up 0.8%), the Russell 2000 Index (up 3.1%), and the Nasdaq Index (up 0.1%).</li><li>Energy Technology (13.7% of the index) was up by 11.3%, while Industrial Climate and Ag Technology (49.8% of the index) was up 1.7%, ClimateTech Mining was down 2.7%, and Advanced Transportation Solutions was down 4.2%.</li><li>Top 10 Performers<span style="font-size: var(--content-font-size);">: HTOO, FLNC, HLGN, PLUG, REX, OPTT, STEM, RUN, MVST, AMRS</span></li></ul>

The WTR Sustainable Index was up by 0.9% W/W versus the S&amp;P 500 Index (up 0.8%), the Russell 2000 Index (up 3.1%), and the Nasdaq Index (up 0.1%).Energy Technology (13.7% of the index) was up by 11.3%, while Industrial Climate and Ag Technology (49.8% of the index) was up 1.7%, ClimateTech Mining was down 2.7%, and Advanced Transportation Solutions was down 4.2%.Top 10 Performers: HTOO, FLNC, HLGN, PLUG, REX, OPTT, STEM, RUN, MVST, AMRS

Industry Report - Climatetech & Sustainable Investing

Global Economist, DeSaque Macro Research

Said Desaque

Global Economist

Delivering Global Macro Investment Insights

DeSaque Macro Research

DeSaque Macro Research Limited was formed by Said DeSaque in April 2012 with the view to delivering global macro investment insights aimed at providing new ideas to clients.

Said DeSaque has over 26 years of experience working as a professional economist in financial services. Prior to establishing DeSaque Macro Research, Said held positions as Senior Economist at Robert W Baird and William Blair. He began his career as a graduate at PaineWebber in 1986, where he eventually became Head of the London Economics Department.

Said takes a very keen interest in international relations, along with their implications for economic development. His research interests include the economic transformation of China and its implications for global capital markets, particularly in the United States. He is a member of Chatham House in London.

The US economy and capital markets have historically been Said’s main focus of attention. He frequently presents his views to institutional investors in diverse geographic locations. In recent years, Said has also been carefully monitoring economic developments in Asia, particularly China and Japan.

<ul>
<li>The twin pillars that underpinned US monetary policy since the global financial crisis made policy normalisation difficult. Investors believe quantitative tightening (QT) ceases once the federal funds rate is lowered.</li>
<li>Contrary to the fears encountered during the taper tantrum in 2013, QT has not dramatically tightened US financial conditions since 2017, thereby raising questions about whether any cessation is required.</li>
<li>High levels of bank reserves do not guarantee financial stability, but elevated Treasury borrowing and lower repo market liquidity pose threats that could ultimately force the Fed to end QT.</li>
</ul>


The twin pillars that underpinned US monetary policy since the global financial crisis made policy normalisation difficult. Investors believe quantitative tightening (QT) ceases once the federal funds rate is lowered.
Contrary to the fears encountered during the taper tantrum in 2013, QT has not dramatically tightened US financial conditions since 2017, thereby raising questions about whether any cessation is required.
High levels of bank reserves do not guarantee financial stability, but elevated Treasury borrowing and lower repo market liquidity pose threats that could ultimately force the Fed to end QT.


The Fate of Quantitative Tightening: Not Solely in the Hands of the Fed

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Event-Driven

<ul>
<li>The announcement of the inclusion of <a href="https://www.smartkarma.com/entities/uber-technologies-inc" target="_blank" data-smartkarma-citation="entities:430:1" rel="noopener">Uber Technologies (UBER US)</a> in the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> was a big one last week. There were announcements for some other indices too.</li>
<li>There are many indices in China that will be rebalanced at the close on Friday, the biggest being the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300</a>, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500</a>, <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50</a>, <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50</a> and <a href="https://www.smartkarma.com/entities/kraneshares-csi-china-internet-etf" target="_blank" data-smartkarma-citation="entities:28208:1" rel="noopener">KWEB US</a>.</li>
<li>Relatively quiet in ETF world with net inflows to China focused ETFs and net outflows for Japan.</li>
</ul>


The announcement of the inclusion of Uber Technologies (UBER US) in the S&amp;P 500 INDEX was a big one last week. There were announcements for some other indices too.
There are many indices in China that will be rebalanced at the close on Friday, the biggest being the CSI 300, CSI 500, STAR50, SSE50 and KWEB US.
Relatively quiet in ETF world with net inflows to China focused ETFs and net outflows for Japan.


Index Rebalance & ETF Flow Recap: KWEB, CSI300/500, STAR50, SSE50, ChiNext, SET50, Chips, Denso, SPX

United States

The S&P 500® is widely regarded as the best single gauge of large-cap U.S. equities and serves as the foundation for a wide range of investment products. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization.

S&P 500 INDEX (SPX INDEX)

Investing Is About Return and Risk – Update 34027

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Jeroen Blokland

Upgrading Real Estate, Transportation to Market Weight; Smid-Caps With Bullish RS Reversals

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