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Transcript of Chart Book-11302016
MONTHLY CHART BOOK
December 2016
Sailesh Radha, Chief Investment Officer
Email: [email protected];
803-319-6628
www.borealisga.com
2
Country Allocation Report— Footnotes
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
The BGA Short-term Country Score is based on factor signals developed using a proprietary BGA
Global Country Allocation Framework (BGA G-CAF™) for projecting a country’s one- to six-
month return forecast. The score is scaled above and below zero. The countries with positive
scores have an allocation in the BGA model portfolio. The positive score followed by an upward
arrow reflects improvement, while positive score followed by a downward arrow shows a decline in
the return forecast. The countries with negative scores have no allocation in the portfolio. The
short term is defined as one to six months.
The Weighting is our proprietary portfolio weighting for this country, for the current month, rela-
tive to its weight in the benchmark. The potential values for this measure are Over-/Under-/
Market-/Zero- Weight. This weighting reflects the BGA short-term country score. The benchmark
is MSCI All Country World Index Ex USA.
Calendar Year Forecast Percentile Rank is the relative rank of a country in percentile terms based
on its calendar year return forecast expressed in real terms. The forecast is obtained by netting its
compounded cumulative market returns for the trailing five (full calendar) years from its com-
pounded cumulative returns over a six-year (full calendar) period based on its medium-term yield
forecast (CY-M™) from five years ago. For example, if the medium-term country yield forecast (CY
-M™) as of end of calendar year 2010 for the period 2011-2016 was 8%, which is an average annu-
al real return estimate and represents approximately 48% cumulatively over six years; is com-
pared to the actual 2011–2015 cumulative real return of 20%, the resulting calendar year estimate
would be approximately 28% (48% less 20%). The higher the rank the better.
The Medium-term Performance Quintile reflects the average annual real return forecast of a coun-
try for successive six years as it ranks relative to all countries in the benchmark. The average an-
nual real return forecast of the country for the successive six years is expressed by CY-M™ derived
from the proprietary modified CAPE model.
The Medium-term Country Yield Forecast (CY-M™)is the average annual real return expectations
of a country over successive six years based on our proprietary modified CAPE model, the Country
Yield Forecasting Mechanism (CY-FOREM™). The measure should not be used as a specific fore-
cast measure, but only as a comparative forecast measure. For example, we should be more opti-
mistic about the returns prospects of a country, over the next six years ,with a CY-M™ measure of
13% compared to a country with a measure of 9%. Correspondingly, a country with a negative CY-
M™ measure, we should be highly pessimistic about its return prospects. In other words, higher
the measure, the more optimistic, we should be of the country’s prospects and the lesser the meas-
ure, the more pessimistic of the country’s prospects.
Quantitative Factor Strength Charts:
BGA uses a proprietary multi-factor model, the BGA Global Country Allocation Model (BGA G-
CAM™) to forecast country prospects for successive one- to six- month horizon. The strength
charts reflect both the level and relative impact of the various factors in the model to determine
the country’s short-term score. The factors are scaled above and below zero, meaning factors above
zero are contributing positively, while those below zero have a negative impact on the country
score. The colors within the stacked bar chart represent the attribution of the factors in the model
estimating the country’s short-term return forecast, and they are as follows:
Value Factors Volatility Factors
Currency Factors Dividend Factors
Momentum Factor
Additional notes: BGA has for the time being excluded the following countries that exist in the benchmark from this chart
book - Czech Republic, Finland, Hungary, Qatar, and UAE. Czech Republic and Hungary have been excluded because of lack
of appropriate single-country ETFs in the market, UAE and Qatar for lack of sufficient data history, and Finland is under
review for inclusion in our model next month.
BGA Short-term Country
Score
1.2
Underweight
(zero last month)
Calendar Year Forecast
Percentile Rank
40%
Medium-term Performance
Quintile
3rd
Medium-term Country Yield
Forecast (CY-MTM)
6%
3
How to Decipher the Graphs?
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Quantitative Factor Strength
Look for strength in the number of factors and their sizes as
they rise above the zero score line. In addition, a rising score
line (in red), as it moves above the zero level is useful for short-
term forecasts. The rankings to the left (blue side panel) show
BGA’s short-term scoring as well as weighting relative to
benchmark.
BGA Medium-term Forecast
Look for a positive stable or a slowly rising line with projected
real returns above 0% or a chart with a significant rising valua-
tion line both in time-frame and degree from historic lows. The
calendar year forecast percentile rank is based on the inferred
CY-M™ for the current calendar year (see footnotes). The Medi-
um-term measures in the left panel reflect the real return fore-
cast for the coming six-year period.
Alert: Charts of Qatar and UAE have been excluded from the chart book due to limited
data history and lack of ETFs. Chart of Finland has been excluded as its ETF has been
in the market for less than five years.
4
Country Allocation Report—Australia
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.26
Underweight (Under last month)
Calendar Year Forecast
Percentile Rank
44%
Actual Return and Percentile as of
Nov. 30
8.9% (67%)
Medium-term Performance
Quintile
3rd
Medium-term Country Yield
Forecast (CY-MTM)
4.1%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
5
Country Allocation Report—Austria
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.14
Overweight (Zero last month)
Calendar Year Forecast
Percentile Rank
23%
Actual Return and Percentile as of
Nov. 30
7.4% (60%)
Medium-term Performance
Quintile
4th
Medium-term Country Yield
Forecast (CY-MTM)
-1.0%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
6
Country Allocation Report—Belgium
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.20
Overweight (Under last month)
Calendar Year Forecast
Percentile Rank
0%
Actual Return and Percentile as of
Nov. 30
-8.6% (18%)
Medium-Term Performance
Quintile
5th
Medium-Term Country Yield
Forecast (CY-MTM)
-16.8%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
7
Country Allocation Report—Brazil
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
-1.44
Zeroweight (Zero last month)
Calendar Year Forecast
Percentile Rank
51%
Actual Return and Percentile as of
Nov. 30
65.2% (100%)
Medium-term Performance
Quintile
1st
Medium-term Country Yield
Forecast (CY-MTM)
25.1%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
8
Country Allocation Report—Canada
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
1.16
Overweight (Over last month)
Calendar Year Forecast
Percentile Rank
64%
Actual Return and Percentile as of
Nov. 30
23.2% (89%)
Medium-term Performance
Quintile
2nd
Medium-term Country Yield
Forecast (CY-MTM)
9.2%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
9
Country Allocation Report—Chile
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.32
Overweight (Over last month)
Calendar Year Forecast
Percentile Rank
92%
Actual Return and Percentile as of
Nov. 30
17.2% (80%)
Medium-term Performance
Quintile
1st
Medium-term Country Yield
Forecast (CY-MTM)
15.8%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
10
Country Allocation Report—China
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.75
Overweight (Over last month)
Calendar Year Forecast
Percentile Rank
69%
Actual Return and Percentile as of
Nov. 30
5.4% (58%)
Medium-term Performance
Quintile
1st
Medium-term Country Yield
Forecast (CY-MTM)
13.6%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
11
Country Allocation Report—Colombia
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.55
Overweight (Over last month)
Calendar Year Forecast
Percentile Rank
100%
Actual Return and Percentile as of
Nov. 30
17.2% (80%)
Medium-term Performance
Quintile
1st
Medium-term Country Yield
Forecast (CY-MTM)
25.1%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
12
Country Allocation Report—Denmark
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
-.09
Zeroweight (Zero last month)
Calendar Year Forecast
Percentile Rank
5%
Actual Return and Percentile as of
Nov. 30
-19.3% (4%)
Medium-term Performance
Quintile
5th
Medium-term Country Yield
Forecast (CY-MTM)
-4.4%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
13
Country Allocation Report—Egypt
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
-.63
Zeroweight (Over last month)
Calendar Year Forecast
Percentile Rank
82%
Actual Return and Percentile as of
Nov. 30
-16.6% (7%)
Medium-term Performance
Quintile
1st
Medium-term Country Yield
Forecast (CY-MTM)
14.4%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
14
Country Allocation Report—France
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
-.28
Zeroweight (Zero last month)
Calendar Year Forecast
Percentile Rank
26%
Actual Return and Percentile as of
Nov. 30
0.4% (49%)
Medium-term Performance
Quintile
4th
Medium-term Country Yield
Forecast (CY-MTM)
-0.4%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
15
Country Allocation Report—Germany
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
-.30
Zeroweight (Zero last month)
Calendar Year Forecast
Percentile Rank
10%
Actual Return and Percentile as of
Nov. 30
-3.3% (38%)
Medium-term Performance
Quintile
4th
Medium-term Country Yield
Forecast (CY-MTM)
1.7%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
16
Country Allocation Report—Greece
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
-2.74
Zeroweight (Zero last month)
Calendar Year Forecast
Percentile Rank
62%
Actual Return and Percentile as of
Nov. 30
-13.2% (9%)
Medium-term Performance
Quintile
5th
Medium-term Country Yield
Forecast (CY-MTM)
-1.1%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
17
Country Allocation Report—Hong Kong
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.14
Underweight (Over last month)
Calendar Year Forecast
Percentile Rank
33%
Actual Return and Percentile as of
Nov. 30
9.3% (69%)
Medium-term Performance
Quintile
4th
Medium-term Country Yield
Forecast (CY-MTM)
3.7%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
18
Country Allocation Report—India
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
-.16
Zeroweight (Zero last month)
Calendar Year Forecast
Percentile Rank
38%
Actual Return and Percentile as of
Nov. 30
-1.4% (42%)
Medium-term Performance
Quintile
2nd
Medium-term Country Yield
Forecast (CY-MTM)
8.2%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
19
Country Allocation Report—Indonesia
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.02
Zeroweight (Over last month)
Calendar Year Forecast
Percentile Rank
90%
Actual Return and Percentile as of
Nov. 30
11.4% (76%)
Medium-term Performance
Quintile
1st
Medium-term Country Yield
Forecast (CY-MTM)
21.1%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
20
Country Allocation Report—Ireland
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.50
Overweight (Over last month)
Calendar Year Forecast
Percentile Rank
3%
Actual Return and Percentile as of
Nov. 30
-10.8% (11%)
Medium-term Performance
Quintile
5th
Medium-term Country Yield
Forecast (CY-MTM)
-30.4%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
21
Country Allocation Report—Israel
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.10
Underweight (Over last month)
Calendar Year Forecast
Percentile Rank
13%
Actual Return and Percentile as of
Nov. 30
-24.3% (0%)
Medium-term Performance
Quintile
2nd
Medium-term Country Yield
Forecast (CY-MTM)
12.0%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
22
Country Allocation Report—Italy
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
-0.57
Zeroweight (Zero last month)
Calendar Year Forecast
Percentile Rank
15%
Actual Return and Percentile as of
Nov. 30
-19.9% (2%)
Medium-term Performance
Quintile
5th
Medium-term Country Yield
Forecast (CY-MTM)
-8.8%
BGA Quantitative Factor Strength
.BGA Medium-term Forecast (next update February, 2017)
23
Country Allocation Report—Japan
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.06
Underweight (Under last month)
Calendar Year Forecast
Percentile Rank
28%
Actual Return and Percentile as of
Nov. 30
1.7% (53%)
Medium-term Performance
Quintile
3rd
Medium-term Country Yield
Forecast (CY-MTM)
7.4%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
24
Country Allocation Report—Korea
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.49
Overweight (Over last month)
Calendar Year Forecast
Percentile Rank
85%
Actual Return and Percentile as of
Nov. 30
8.3% (62%)
Medium-term Performance
Quintile
2nd
Medium-term Country Yield
Forecast (CY-MTM)
9.8%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
25
Country Allocation Report—Malaysia
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.34
Overweight (Over last month)
Calendar Year Forecast
Percentile Rank
74%
Actual Return and Percentile as of
Nov. 30
-4.4% (33%)
Medium-term Performance
Quintile
2nd
Medium-term Country Yield
Forecast (CY-MTM)
11.7%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
26
Country Allocation Report—Mexico
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.03
Zeroweight (Over last month)
Calendar Year Forecast
Percentile Rank
79%
Actual Return and Percentile as of
Nov. 30
-9.5% (16%)
Medium-term Performance
Quintile
3rd
Medium-term Country Yield
Forecast (CY-MTM)
5.6%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
27
Country Allocation Report—Netherlands
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.28
Overweight (Over last month)
Calendar Year Forecast
Percentile Rank
8%
Actual Return and Percentile as of
Nov. 30
1.5% (51%)
Medium-term Performance
Quintile
5th
Medium-term Country Yield
Forecast (CY-MTM)
-10.6%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
28
Country Allocation Report—New Zealand
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.78
Overweight (Over last month)
Calendar Year Forecast
Percentile Rank
41%
Actual Return and Percentile as of
Nov. 30
22.6% (87%)
Medium-term Performance
Quintile
5th
Medium-term Country Yield
Forecast (CY-MTM)
-3.7%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
29
Country Allocation Report—Norway
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
-.30
Zeroweight (Zero last month)
Calendar Year Forecast
Percentile Rank
56%
Actual Return and Percentile as of
Nov. 30
10.8% (73%)
Medium-term Performance
Quintile
3rd
Medium-term Country Yield
Forecast (CY-MTM)
8.1%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
30
Country Allocation Report—Peru
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
1.35
Overweight (Over last month)
Calendar Year Forecast
Percentile Rank
95%
Actual Return and Percentile as of
Nov. 30
55.4% (98%)
Medium-term Performance
Quintile
1st
Medium-term Country Yield
Forecast (CY-MTM)
32.3%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
31
Country Allocation Report—Philippines
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.11
Overweight (Over last month)
Calendar Year Forecast
Percentile Rank
77%
Actual Return and Percentile as of
Nov. 30
-6.9% (27%)
Medium-term Performance
Quintile
3rd
Medium-term Country Yield
Forecast (CY-MTM)
5.1%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
32
Country Allocation Report—Poland
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
-.62
Zeroweight (Zero last month)
Calendar Year Forecast
Percentile Rank
67%
Actual Return and Percentile as of
Nov. 30
-6.9% (27%)
Medium-term Performance
Quintile
3rd
Medium-term Country Yield
Forecast (CY-MTM)
8.3%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
33
Country Allocation Report—Portugal
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.22
Overweight (Over last month)
Calendar Year Forecast
Percentile Rank
21%
Actual Return and Percentile as of
Nov. 30
-1.1% (44%)
Medium-term Performance
Quintile
5th
Medium-term Country Yield
Forecast (CY-MTM)
-2.7%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
34
Country Allocation Report—Russia
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.32
Overweight (Over last month)
Calendar Year Forecast
Percentile Rank
59%
Actual Return and Percentile as of
Nov. 30
38.5% (96%)
Medium-term Performance
Quintile
2nd
Medium-term Country Yield
Forecast (CY-MTM)
11.0%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
35
Country Allocation Report—Singapore
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
-.86
Zeroweight (Zero last month)
Calendar Year Forecast
Percentile Rank
54%
Actual Return and Percentile as of
Nov. 30
3.3% (56%)
Medium-term Performance
Quintile
2nd
Medium-term Country Yield
Forecast (CY-MTM)
9.7%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
36
Country Allocation Report—South Africa
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
-.15
Zeroweight (Zero last month)
Calendar Year Forecast
Percentile Rank
46%
Actual Return and Percentile as of
Nov. 30
12.3% (78%)
Medium-term Performance
Quintile
2nd
Medium-term Country Yield
Forecast (CY-MTM)
8.4%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
37
Country Allocation Report—Spain
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
-1.01
Zeroweight (Zero last month)
Calendar Year Forecast
Percentile Rank
72%
Actual Return and Percentile as of
Nov. 30
-8.1% (22%)
Medium-term Performance
Quintile
4th
Medium-term Country Yield
Forecast (CY-MTM)
0.7%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
38
Country Allocation Report—Sweden
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
-.37
Zeroweight (Zero last month)
Calendar Year Forecast
Percentile Rank
31%
Actual Return and Percentile as of
Nov. 30
-2.4% (40%)
Medium-term Performance
Quintile
3rd
Medium-term Country Yield
Forecast (CY-MTM)
6.0%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
39
Country Allocation Report—Switzerland
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.34
Underweight (Under last month)
Calendar Year Forecast
Percentile Rank
18%
Actual Return and Percentile as of
Nov. 30
-7.9% (24%)
Medium-term Performance
Quintile
4th
Medium-term Country Yield
Forecast (CY-MTM)
-0.2%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
40
Country Allocation Report—Taiwan
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.17
Underweight (Under last month)
Calendar Year Forecast
Percentile Rank
36%
Actual Return and Percentile as of
Nov. 30
21.1% (84%)
Medium-term Performance
Quintile
4th
Medium-term Country Yield
Forecast (CY-MTM)
2.8%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
41
Country Allocation Report—Thailand
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
.38
Overweight (Under last month)
Calendar Year Forecast
Percentile Rank
97%
Actual Return and Percentile as of
Nov. 30
24.4% (91%)
Medium-term Performance
Quintile
1st
Medium-term Country Yield
Forecast (CY-MTM)
18.3%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
42
Country Allocation Report—Turkey
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
-.45
Zeroweight (Zero last month)
Calendar Year Forecast
Percentile Rank
87%
Actual Return and Percentile as of
Nov. 30
-10.2% (13%)
Medium-term Performance
Quintile
2nd
Medium-term Country Yield
Forecast (CY-MTM)
12.0%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
43
Country Allocation Report—United Kingdom
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
BGA Short-term Country
Score
1.15
Underweight (Under last month)
Calendar Year Forecast
Percentile Rank
49%
Actual Return and Percentile as of
Nov. 30
-4.0% (36%)
Medium-term Performance
Quintile
4th
Medium-term Country Yield
Forecast (CY-MTM)
2.8%
BGA Quantitative Factor Strength
BGA Medium-term Forecast (next update February, 2017)
44
Tranche Forecast Report As of February, 2016
December 5, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
This chart plots the average CY-M™ measure of the countries in each tranche
across time. Look for a positive stable or a slowly rising lines with projected real
returns above 0% or a chart with a significant rising valuation lines both in time-
frame and degree from historic lows.
The countries in the benchmark are carved into three tranches—Upper Tranche,
Middle Tranche, and Lower Tranche.
The BGA Upper Tranche is made of Australia, Canada, France, Germany, Hong
Kong, Italy, Japan, Netherlands, Singapore, Spain, Sweden, Switzerland, and UK;
The Middle Tranche is composed of Brazil, China, India, Korea, Mexico, Russia,
South Africa, and Taiwan; and
The Lower Tranche is composed of Austria, Belgium, Chile, Colombia, Czech Re-
public, Denmark, Egypt, Finland, Greece, Hungary, Indonesia, Ireland, Israel, Ma-
laysia, New Zealand, Norway, Peru, Philippines, Poland, Portugal, Qatar, Thailand,
Turkey, and UAE.
Next update February 2017.
45
BGA Model Country Allocation Weights
as of end of November, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
December 5, 2016
Country Tranche
Short-
term
Score Allocation
Australia Upper 0.258 3.53%
Canada Upper 1.163 12.67%
France Upper -0.277 0.00%
Germany Upper -0.299 0.00%
Hong Kong Upper 0.137 1.95%
Italy Upper -0.574 0.00%
Japan Upper 0.064 1.00%
Netherlands Upper 0.276 3.76%
Singapore Upper -0.861 0.00%
Spain Upper -1.007 0.00%
Sweden Upper -0.366 0.00%
Switzerland Upper 0.337 4.53%
UK Upper 1.148 12.57%
Brazil Middle -1.435 0.00%
China Middle 0.751 8.70%
India Middle -0.164 0.00%
Korea Middle 0.492 5.84%
Mexico Middle 0.025 0.00%
Russia Middle 0.317 3.70%
South Africa Middle -0.153 0.00%
Taiwan Middle 0.168 1.76%
Austria Lower 0.137 0.84%
Belgium Lower 0.196 1.44%
Chile Lower 0.316 2.65%
Colombia Lower 0.550 4.87%
Denmark Lower -0.087 0.00%
Egypt Lower -0.627 0.00%
Finland Lower -0.169 0.00%
Greece Lower -2.743 0.00%
Indonesia Lower 0.016 0.00%
Ireland Lower 0.501 4.43%
Israel Lower 0.095 0.40%
Malaysia Lower 0.341 2.90%
New Zealand Lower 0.783 6.81%
Norway Lower -0.302 0.00%
Peru Lower 1.352 10.17%
Philippines Lower 0.109 0.55%
Poland Lower -0.620 0.00%
Portugal Lower 0.221 1.69%
Thailand Lower 0.379 3.27%
Turkey Lower -0.449 0.00%
46
BGA Model Country Allocation Weights
as of end of November, 2016
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
December 5, 2016
Country Tranche
Short-
term
Score Allocation
Peru Lower 1.352 10.17%
Canada Upper 1.163 12.67%
UK Upper 1.148 12.57%
New Zealand Lower 0.783 6.81%
China Middle 0.751 8.70%
Colombia Lower 0.550 4.87%
Ireland Lower 0.501 4.43%
Korea Middle 0.492 5.84%
Thailand Lower 0.379 3.27%
Malaysia Lower 0.341 2.90%
Switzerland Upper 0.337 4.53%
Russia Middle 0.317 3.70%
Chile Lower 0.316 2.65%
Netherlands Upper 0.276 3.76%
Australia Upper 0.258 3.53%
Portugal Lower 0.221 1.69%
Belgium Lower 0.196 1.44%
Taiwan Middle 0.168 1.76%
Austria Lower 0.137 0.84%
Hong Kong Upper 0.137 1.95%
Philippines Lower 0.109 0.55%
Israel Lower 0.095 0.40%
Japan Upper 0.064 1.00%
Mexico Middle 0.025 0.00%
Indonesia Lower 0.016 0.00%
Denmark Lower -0.087 0.00%
South Africa Middle -0.153 0.00%
India Middle -0.164 0.00%
Finland Lower -0.169 0.00%
France Upper -0.277 0.00%
Germany Upper -0.299 0.00%
Norway Lower -0.302 0.00%
Sweden Upper -0.366 0.00%
Turkey Lower -0.449 0.00%
Italy Upper -0.574 0.00%
Poland Lower -0.620 0.00%
Egypt Lower -0.627 0.00%
Singapore Upper -0.861 0.00%
Spain Upper -1.007 0.00%
Brazil Middle -1.435 0.00%
Greece Lower -2.743 0.00%
47
BGA Medium-term Country Forecasts
Period 2016-21
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
December 5, 2016
Next update February 2017.
48
About the Author
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
Sailesh Radha is President, Chief Investment Officer, and co-founder of Borealis
Global Advisory (BGA). Sailesh’s development of the multi-pillar global capital allo-
cation framework (G-CAF) is unique and has a patent pending (15/047680). He also
developed the novel country yield forecasting mechanism (CY-FOREM) to forecast
medium-term equity yields for countries and the Double “Z” methodology to rank,
select, and allocate countries for international equity investments. Prior to co-
founding BGA, he founded the investment research firm IMRA LLC and worked
with Yardeni Research, Inc. as a global macroeconomic strategist to develop their
Leading Economic Index (LEI) and Coincident Economic Index (CEI); at CCM In-
vestment Advisers as an international portfolio manager/chief economist; at the
World Health Organization (WHO) in Geneva, Switzerland as a research economist;
and at the Strategic Finance Group (SFG) of ICICI Bank at Mumbai, India as a
quantitative analyst. He received his master’s degree with a focus in global macroe-
conomics & international development from the Fletcher School of Law & Diploma-
cy, Tufts University, and his MBA in Finance from the Darla Moore School of Busi-
ness, University of South Carolina. His undergraduate degree is in Electrical & Elec-
tronics Engineering from National Institute of Technology (NIT), Warangal, India.
BGA provides global equity recommendations for financial advisors, money manag-
ers, and institutions. Visit him at borealisga.com, and contact him at 803-319-6628
49
Disclosures
www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628
The information contained herein is based on data gathered from sources we believe to be reliable. It is not guar-
anteed against errors and or omissions, and is not intended as the primary basis for investment decisions. Addi-
tionally, it should not be construed as advice meeting the particular individual investment needs or any investor.
All references made to investment or portfolio performance are based on historical data. One should not assume
that this performance will continue in the future. BGA is registered in the state of South Carolina. This publica-
tion is not intended to be a solicitation for clients in any other state. BGA welcomes residents (institutions and
individuals) of other states to contact BGA directly concerning their individual state’s compliance requirements.
BGA services will only be rendered after compliance regulations are satisfied and prospective clients have re-
ceived Borealis Global Advisory brochure (ADV Form Part 2).