Finlight Research - Market perspectives - Feb 2015

Market Perspectives

February 2015

Feb. 2nd, 2015

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A retreating tide drops all boats…

“We have a free exchange rate once again”– Thomas Jordan (SNB President)

“2015 will become a trader's dream but an investor's hell”– Felix Zulauf (Swiss hedge fund manager)

“For the entire five years from September 2009 to September

2014, more than 25% of the gains in Europe's stock markets came on the days when the ECB met, probably because Mario

Draghi knew just what the market wanted to hear”– Jeff Kleintop (Schwab's Chief Global Investment Strategist)

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Executive Summary: Global Asset Allocation

� Globally, things are a mess… Every major economy is printing money and

injecting liquidity in the market, hoping for inflation and getting deflation…

� The crash in oil, the rise in the dollar, and the slowdown in global growth is a

big-picture concern.

� Volatility in commodities and currencies is propagating to stocks. Our

regime switching model is pointing to a major shift in the S&P500 volatility

regime

� ECB has finally joined the quantitative easing game. Most investors are

betting on a new rally in stocks.

� But not all QE programs are created equal. Mr. Draghi only has one arrow

in his quiver: monetary easing. BCB intervention needs to be completed by

the political consensus for fiscal stimulus and structural reforms…

� The divergence theme continues to propel the dollar higher

� The bull equity market remains intact. But, between slowing growth,

weakening earnings prospects, coming rate hikes, falling oil, and the strength

of the dollar, we still believe equity markets are on borrowed time.

� We remain underweight government bonds and corporate credit overall

(but with an intra-asset class preference for IG vs HY, and Eurozone non-

financials IG vs US IG), Overweight US dollar (supported by divergence Fed

policy from that of the ECB and BOJ) and UW commodities (specially on

energy and precious metals)

� We summarize our views as follows �

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MACRO VIEW

� The Good� ECB announced a larger QE program than expected� Conference Board Leading Economic Indicators increased 0.5% in Dec. ’14, probably

pointing to a steady growth for the next few months.� The strong spending found in the Q4 US GDP data offers some reason for optimism � Conference Board Consumer confidence rose to its highest level since Aug. ’07

� The Bad� Q4 GDP came in at a lower growth rate than was expected� It’s amazing to see the market about to reach new highs when two of its largest sectors (banks

~ 16% of the S&P500, energy ~ 10%) are weakening. Earnings season is showing lower guidance and slower growth. Forward earnings estimates continue to decline.

� Because of the European QE, EUR appears to be in free fall. And for the first time since Oct. ‘09, Germany saw Consumer Price Inflation fall in January

� US Retail Sales decreased 0.94% in December.� U.S. durable goods orders in December came in weaker than expected� Dallas Fed manufacturing figures were much worse than expected

� The Ugly � Escalation of Russian tensions as Ukraine conflict is roaring again…� Deteriorating sentiment around the Greece bailout negotiations� Main systemic risk resides in China : China’s economy is supported by approximately six

trillion dollars of 'shadow debt', which may eventually create major systemic issues. � We are building a boom-bust economy that is increasingly dependent on central bankers

inflating policies. The end game is clear even if the timing is anything but.

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The Big Four Economic Indicators

� The overall picture had been one of a slow recovery, but there is no indication of a recession using the indicators monitored by the NBER.

� The Big Four average shows some signs of exhaustion…

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US GDP

� Q4 GDP came in at a lower growth rate (2.6%) than was expected, a decline from 5.0% in Q3. � Despite disappointing nominal December retail sales, the Q4 real personal consumption expanded at

4.3% QoQ saar (adding 2.9% to GDP)

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Real Retail Sales

� Retail Sales decreased 0.94% in December� Real Retail Sales was down a lesser 0.57%, thanks to the disinflationary trend in the CPI.� The trend in retail sales should be watched closely over the next few months

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Conference Board LEI

� Conference Board Leading Economic Indicators increased 0.5% in Dec. ’14, probably pointing to a steady growth for the next few months

� At current LEI levels, recession risk still seems very low…

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PMI Data

� At 54.2 in January, up from 53.5 in December, the Markit Flash US Composite PMI Output Index points to a further expansion of private sector business activity

� This is, however, the second-weakest reading over the last 11 months.

� Demand’s growth continues to slow…

� Markit's flash manufacturing PMI data for January suggest that the main engines of the global economic recovery are losing momentum

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Durable Goods

� Disappointing durable goods figures make us question the US economic activity.

� Durable goods orders slipped by 3.4%, leading to a 9.5% decline over the Q4 as a whole. Excluding transportation goods, orders declined 1.8% over Q4 (sharpest fall since Q3-2012)

� Global growth slowdown seems to be weighing on US companies

� "The January manufacturing and services surveys collectively recorded the weakest monthly increase in new orders since the recession, sending a major warning light flashing that growth of demand has continued to slow at the start of the year“ - Chris Williamson, chief economist at Markit

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Dallas Fed Survey

� The plunge in oil prices is weighing on Texas' economy.

� The latest Dallas Fed manufacturing survey came in at -4.4%, down from +3.5% in Dec. ‘14 and well below expectations of +3%

� The forward looking outlook is also down from +9.2 in Dec to -3.8 in Jan.

Source: Dallas Fed, Young Capital Management

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US Housing

� Housing remains a weak spot for the US economy

� December's Pending Home Sales Index, a forward-looking measure of demand, slid 3.7% last month.

� Existing home sales declined over 2014.

� But inventory are now down to 4.4 month supply.

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US Housing

� Compared to median household income, new homes seem to be reaching new record levels of unaffordability

� Bubble 2.0 is forming!

� The medium new home price stands at 35% above the line induced by its 87-99 trend

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Consumer Sentiment

� The University Of Michigan Survey Of Consumer Sentiment came in at 98.2 in Jan (up from 93 in Dec)

� This is its highest level over the last 11 years.

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Inflation

� At -0.20%, HICP shows that Eurozone is now in deflation mode.

� 5 year breakeven inflation rate stands at 0.44%

� The sliding Eurozone inflation has finally tipped the ECB to come out with its widely anticipated QE.

� U.S. inflation expectations (5yx5y inflation swaps) have plunged to their post-Lehman lows

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Chinese Economy

� At 7.4% over Q4-2014, China GDP growth continues its slide down. It now stands at the lowest level in 20 years.

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GS – Global Leading Indicator (GLI)

� GLI remains in ‘Slowdown’phase, defined by positive butdecreasing momentum.

� 7 of the 10 underlying componentsof the GLI worsened in November

� We’ve been thinking for a whilethat the current accelerationremains quite modest for atypical expansion phase.Available data is more indicative ofa stable macro environment ratherthan one with a growth pulse.

� More data are still needed toconfirm our fears about the currenteconomic situation.

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EQUITY

� We still believe “Central Banks-levitated” equity markets are on borrowed time.

� Central bank interventions continue to work their magic to keep the bull market going.

� The market is rallying to higher levels. This despite deteriorating technical and fundamental support, and weakening earnings prospects.

� The bull trend is still intact, but:� The current rally is driven by an increasingly smaller (high beta) portion of the market (social

media, biotech…)� U.S. equities have started to show signs of indecision… The Dow Jones Industrial, the Russell

2000 and the S&P500 appear to be toppish and fail to develop momentum to move higher � Market correction is long overdue and has been delayed by central banks pumping cash

� At current valuation levels, the risk-return profile for equities appears less attractive and should imply some cautious. Rationally, the upside on stocks is exhausted by a limited multiple expansion and margins being at peak levels. But the current environment of unprecedented monetary stimulus across the globe is making rationality irrational.

� Volatility in commodities, currencies, and bonds is filtering to stocks. Equity implied volatility is clearly shifting to a higher regime.

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EQUITY

� Some of the biggest industrial names (Caterpillar, Pfizer, P&G…) are saying that the rise in the dollar, the crash in oil, and the economic slowdown in places like China and Europe are starting to impact their bottom lines - and will likely continue to do so.

� Strong US dollar and currency volatility are headwinds to earnings guidance, specially for multinational companies

� We don’t agree with those who continue to assert that lower oil prices are good for the US economy and the stock market, as the benefits to consumers is supposed to outweigh the decline in the energy sector (less than 10% of corporate earnings and market valuation). The sharp decline in oil prices is simply killing the growth from a sector that have generated a double-digit growth over the last years.

� The coming rate hikes (probably in Q2-2015) will depress all asset prices for at least part of next year, in our view

� Initiated by the ECB QE, the rally in European equities has been concentrated in defensive sectors and core indices. It is already losing momentum as uncertainty about the implication of Greece’s new government next steps

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EQUITY

� Bottom line :� We remain Neutral equities. At this stage, expansionary monetary policies, low interest rates and

abundant liquidity are keeping us from moving to an underweight on equities. Even bad news for the economy (in Europe, Japan and China) appear as good news for stocks, as they allow for further stimulus.

� We may revise our view to OW after a clean break of the 2075-2125 range on the S&P500, and to UW below the trend from Nov. ‘12 lows

� We think it is wise to incrementally "de-risk" your portfolios by focusing on higher quality / more defensive / more favorably priced companies

� We remain Neutral on Europe vs. US, despite the ECB QE program. We think that markets are too reliant on the ECB. If the ECB loses the market’s confidence, European stocks would underperform severally.

� We remain OW on Japan (always on an FX hedged basis) as we see further upside for Japanese stocks from the improvement in corporate earnings momentum

� We remain UW in US small caps vs large caps, and UW EM stocks vs US large caps

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Earnings

� The forward 12-month P/E ratio for the S&P 500 now stands at 16.6, well above historical averages: 5-year (13.6), 10-year (14.1)

� The 12-month EPS estimate is now at $124.04, decreasing from $126.87 at Dec. 31st (-2.2%).

� Nevertheless, analysts are still projecting record-level earnings over Q2, Q3 and Q4-2015

� For Q1 2015, 12 companies have issued negative EPS guidance and 2 companies have issued positive EPS guidance.

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Investors Sentiment

� According to the weekly survey from the AAII, bullish sentiment among individual investors dropped from 46.11% down to 37.1%. From a contrarian point of view, this is rather bullish.

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Risk Aversion

� Safety trade is still in play: The ratio of stock to bonds is sliding down…� Jan. ‘15 was the third-highest return month for USTs of the past 10 years

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SNB’s Action continues to make Waves

� The Swiss National Bank’s decision to suppress the minimum exchange rate peg, is still making waves...

� Poland is probably taking Hungary’s path with respect to CHF denominated consumer loans. Banks may be forced to bear the losses on these loans. Croatia and Serbia may follow.

� Austrian bank RaiffeisenInternational (€280 Bln in assets), which has already suffered large write-downs in Ukraine and Russia, is now one of the possible victims of such a decision.

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S&P500 – A Long-Term Perspective

� Whatever the long-term approach you use to look at it, the stock market appears to be significantly overvalued.

� Based on the Buffett’s Indicator (ratio of total market cap to GDP), currently at 119.7%), US stocks are positioned for an average annualized return of 1%-2% (including dividends) for the next decade.

� The Buffett’s indicator is 83% negatively correlated to future 10-year returns dating back to 1950.

Source: Guru Focus

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S&P 500 – A Short-Term Perspective

� All exhaustion patterns have been ignored to date.

� Technically, the S&P500 seems to be forming a “mega-phone” pattern

� At this stage, we favor a top formation within the 2075-2125 range

� Our view will prove wrong if the uptrend going through the highs since mid-2013 (~2100) is clearly broken.

� 1980 is the level to watch on the downside.

� A similar pattern is forming on the Dow.

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S&P500 – A Short-Term Perspective

� In October 2014, the Dollar Index to S&P500 ratio turndupward by broking its upper trendline

. � Since then, owning US

Dollars has been a better strategy then holding the S&P 500

� Is that the start of a major correction?

Source: opportunityidentified.com

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DJI – A Short-Term Perspective

� A similar consolidation is taking place on the Dow.

� A bounce is still possible on the lines 2-4.

� Only a clean break above line 1 (~17850) would give a bullish signal.

� A bearish signal will be given by a break below 16 400.

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Trading Model – S&P500

� Our prop. Short-Term trading model went massively long on Jan. 6th at 2002.61 on the index. The model increased its longs on Jan 28th (@2002.16), then on Jan 30th (@1994.99)

� The model targets 2041, 2062 and 2083 on the upside. Above 2083, it reverses its position and becomes modestly short with 2062-2041 as targets.

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Equity Volatility

� Implied volatility on the Russell 2000 is shifting higher

� The 200-wma seems on an inflexion point. The trend should be watched closely.

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Equity Volatility

� On Oct 13th, 2014, our regime switching model pointed to a major shift in the S&P500 volatility regime

� Since then, the VIX index has left the “Low Vol” regime, and started to migrate between the “Medium Vol” and “High Vol” regimes

� The last time we’ve seen a similar behavior on the VIX was in July ‘07.

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FIXED INCOME & CREDIT

� Nothing new compared to our previous reports. Undeniably, the global central bank landscape remains highly supportive of fixed income markets. We still look for the bear market on USTs to resume but the timing looks more and more uncertain….

� US yields are set to stay low both because low inflation will transmit to the US via the strengthening dollar but also because yield hungry investors in Japan and the Eurozone will simply buy USTs.

� We’ve been Neutral UST since end of Nov. ’14. The 10y UST yield continues its slide below 2.00

� We remain neutral on German yields despite the ECB QE that we expect to keep German bond yields at very low levels. But until fiscal solutions are seen, the potential for a reflation trade (similar to the one we initiated in the US after Fed’s QE3) remains very limited, in our view. We stop our HICP (1yx1y) breakeven trade.

� We expect the Fed to start tightening from Q2-2015 and will hike rates more than is currently priced in: The markets are still only pricing in about one hike from the Fed next year. Based on Fed’s speech, we expect 3 or 4 hikes instead. Thus, the re-pricing of Fed expectations is likely to take place very soon in the short end of the curve.

� While US yields in the short end are expected to go higher, the medium to long end of the curve will be supported by abundant liquidity. We continue to bet on a significant flattening of the US yield curve.


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FIXED INCOME & CREDIT

� In the credit landscape, we see investors moving up the quality spectrum, selling high yield bonds and growth sectors and getting into investment grade bonds, govies and defensive sectors. This is probably a sign we are moving into the final stage of the bull market and economic expansion

� Given the ECB QE, many strategists expect the search for yield to resume in Europe, tightening spreads, especially in HY

� We remain UW on corporate credit, due to valuation, to rising corporate leverage (specially in the US), to position within the credit cycle, to the expected rise in government bond yields and given the weak total return forecast

� Within the credit pocket, and over the very short-term, we continue to prefer Eurozone corporates (especially IG and non-financials) to US corps, because of the coming ECB massive QE

� In the medium-term (6 months), we expect the pattern of European outperformance to reverse during 2015.

� We still prefer IG over HY on a risk-adjusted basis as we expect higher volatility on spreads

� Bottom line : Neutral Govies, Neutral Eurozone vs. US Govies, Long flatteners on the US yield curve, UW credit, OW Eurozone vs US IG credit, Neutral TIPS and OW HICP Inflation, UW High Yield vs High Grade, Neutral on EM corporates


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10-year USTs

� The 10y UST yield continues its plunge below 2.00

� At this stage, there is no sign of a base forming

� 10-year yields have broken (on weekly and monthly basis) below the 1.77 level (76.4% retrace of the rise from 2012 lows)

� We target the 2012 lows (~1.38)

� Market rejection of the 1.77 resistance would increase the likelihood for a base pattern formation. In that case, a bounce to 1.9-2.0 becomes possible.

.

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QE Effects

� Long-term German bond yields have converged to Japanese yields!

� Southern European bond yields have tightened to new lows

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Inflation Breakevens

� As a direct effect of the European QE, the German 10-year breakeven has risen significantly over the past week. But 5yx5y breakeven inflation is back to its all-time lows (in the US, like in the Eurozone).

� We still believe that fiscal policy has to take over from monetary policy in order to win the war on deflation.

� Until fiscal solutions are seen, the potential for a reflation trade (similar to the one we initiated in the US after Fed’s QE3) remains very limited, in our view.

� We’ve got out of our HICP (1yx1y) long breakeven trade.

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Inflation & Real Rates

� ECB QE optimism has faded sharply, leaving EUR (like US) 5yx5y inflation forwards at lows

� Amazing! 20yx10y forward real yield stands at -0.45%. The market is now pricing negative real yields over the next 30 years!

� Actually, the market prices a breakeven inflation around 2% on all horizons, but still considers that the ECB will never normalize its policy rates for the next 3 decades

� Thus, current breakevens and long-end rates seem completely incompatible. Which indicator is right?

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US Credit

� High yield funds are back in favor. The search for yield has resumed (mainly in Europe), tightening spreads, especially in HY

� Over the last week, HY took advantage of lower treasury yields and renewed retail inflows. That mitigated the global market stress.

� CDX.HY and CDX.IG continued to trade in line despite the high volatility

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Eurozone Credit

� iTraxx Main (Xover) continues to trade in line with CDX.IG (CDX.HY)� For IG, as for HY, iTraxx has underperformed since

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Yield Curve Slope & Recession

� The yield curve slope remains one of the best predictors of recessions

� As the curve continues to flatten, the probability to see an inverted curve increases

� At this stage, the 5/10-year yield spread seems protected by the bottom of its LT channel (~33bps)

� Breaking through this support would give a very concerning signal.

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EXCHANGE RATES

� Policy divergence between the US on one hand, and Japan and the Eurozone on the other, should continue to provide an environment supportive of the dollar.

� European QE continues to break the Euro� We see further medium term USD gains against the major crosses, especially EUR and JPY

� EUR-USD underlying structure still looks very heavy. We remain UW EUR-USD as long as the pivot stays below 1.21 and move Neutral above to play the correction towards 1.25-1.30

� Although a short-term consolidation is plausible, we still target 1.10 in Q3-2015 and parity early 2016

� We remain OW USD-JPY as far as the pivot stays above 116 (lower bound of the consolidation triangle). Our ultimate target remains at 124-125 over the medium-term


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US Dollar Index - DXY

� We continue to expect the USD to strengthen against the major crosses

� Our ST target of 92.5 was finally reached. The spot is now very close to our next target at 96.00

� Our ultimate target remains at 101-102 over the medium-term.


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EUR-USD

� Our ST target of 1.16-1.15 has already been reached. The spot was as low as 1.11. A rebound took place on our following target of 1.12-1.10.

� Our medium-term view remains biased towards a strengthening of USD

� Although a short-term correction (towards 1.146 – 1.15 - 1.166) is more and more plausible, we still target the psychological level of 1.10 in Q3-2015 and parity early 2016. A clean break of 1.1235 is needed for that.

� If we break below 1.10, momentum should accelerate.

� We remain UW EUR-USD as long as the pivot stays below 1.21 and move Neutral above to play the correction towards 1.25-1.30


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USD-JPY

� After reaching a local high around 120.80, a consolidation seems underway (as expected).

� Pivot could remain range-bound for a while.

� We remain OW USD-JPY as far as the pivot stays above 116 (lower bound of the consolidation triangle).

� Our ultimate medium-term target remains at ~ 124-125.


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COMMODITY

� Over the short-term, the trend remains bearish. We still watch for a bottoming process.� USD strengthening remains a big headwind to commodities� WTI continues to slide as US crude inventories rise to new highs

� We remain UW commodities. We continue, however, to like owning the GSCI index, and thinkthat commodities hold value as cross-asset portfolio diversifiers.

Bottom Line :

� Many factors are weighing on base metals: US Dollar strengthening, the Chinese slowdown,weaknesses in construction / housing sectors in major economies (mainly affecting Copper andNickel) � We remain Neutral on base metals (but we prefer Aluminium, Zinc and Nickel to Copper)

� We remain UW on agriculture (except on Cocoa and Coffee), as we think supply will continue togrow relative to demand. We still anticipate that agriculture prices will revert to 2009 levels. Within theAgri complex, we’ve been OW Cocoa and Coffee for a while now. We like Cocoa for its long-termunderlying demand driven by consumption in Asia. The recent pullback in coffee prices provides abetter entry opportunity into this market after the sharp surge we’ve seen in prices because of thedrought in Brazil.


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COMMODITY

� Despite the steady slide in oil prices, there is no sign of a supply contraction yet. In fact, inventorydata show that oversupply has accelerated over the past 2 months � We remain UW oil and target‘08 lows (around $35) as long as the OPEC doesn’t decide to stop the bleeding. We will move toNeutral if WTI breaks above $52/barrel

� The stimulus provided by the ECB & BoJ is already factored in gold prices. Precious metals are vulnerable to higher US real yields and stronger dollar

� Our strategy on gold remains unchanged: We remain UW above 1150-1170 band. We will moveNeutral below 1150 and switch progressively to OW (accumulate) as the spot slides downtowards 1000-980, which is likely the final leg down.

� Our first target on silver stands at 14.70. We still think that Silver (like gold) is probably ready for its final leg down towards 12.50. At current levels, we are UW. we will switch progressively to OW (accumulate) as the spot breaks the first material resistance around 14.70 and slides down towards 12.50

� Although Gold/Silver ratio looks extremely high, we expect gold to continue outperforming silver over the short-term.


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Crude Oil

� The supply/demand imbalance in the oil market deterioratedin the past 2 months.

� US inventory data point to an oversupply exceeding 1.5million barrels per day. Aggregate global oversupply maysignificantly exceed this level.

� Spare storage capacity at Cushing has been declining at arapid pace

� Inventory dynamics at Cushing, Oklahoma confirm thesupply acceleration in November-December

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Crude Oil

� Spare storage capacity in theU.S. is quickly shrinking,pushing the short-termcontango to widen..

� The 12-month contango in WTIincreased by $5.60 (to $9.47)per barrel since mid-December� incentive cash & carry trades(and, thus, more storage)

� In the absence of significantsupply cuts, the 12-monthcontango may reach $20 perbarrel, like in 2009.

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Copper

� We’ve avoided Copper over thelast 2 years.

� Our previous targets at 6400-6000 was finally broken to thedownside. Now, the momentumis building.

� We remain bearish on Copper,as far as the 6000 resistanceis preserved.

� Next level to watch is the 200-mma at 4856..

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Gold

� Gold has rallied considerably, reflecting increasing investor concern.� But it is now facing an unfavorable environment (stronger US dollar, higher ST interest rates). And ECB

QE is already factored in its prices.� We expect the Gold not to break its Jul. ‘14 highs (~1345).� Our first target stands at 1230. The way we get there would tell the rest of the story.

� If the next support holds, we may see the Gold breaking up to 1340 and 1430. Once the rise iscomplete, we expect gold to test its November lows, and very likely make new lows.

� If not, Gold will directly target its Nov. lows and very likely make new lows.

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ALTERNATIVE STRATEGIES

� Over January, HFs managed to mitigate losses on equity markets. During the risk-off phase, performance came from L/S market neutral funds. CTAs started 2015 as they finished 2014, with strong performance on long dollar, long rates and short commodities trades. Global Macro funds made money fro their short Euro trades. Event-Driven managers have continued to suffer from their exposure to the energy sector.

� We continue to see inflows in HFs as investors position for volatility. � We reiterate our preference for risk diversifiers (pure alpha generation strategies) over return enhancers.

� We maintain our previous positioning and remain OW on:� Equity Market Neutrals both for their “intelligent” beta and their alpha contribution. On several

occasions in 2014, our preference for variable bias and market neutral managers has proven to pay off (compared to long bias) on the back of adequate short positioning.

� CTA’s and Global Macro as a diversifier and tail hedge. � Vol. Arb strategy and prefer funds that trade volatility globally (all assets / all regions). This strategy

has shown a great ability in terms of protecting capital during adverse periods, and a volatility that compares favorably with the hedge fund industry


Bottom Line: Global Asset Allocation

� Globally, things are a mess… Every major economy is printing money and

injecting liquidity in the market, hoping for inflation and getting deflation…

� The crash in oil, the rise in the dollar, and the slowdown in global growth is a

big-picture concern.

� Volatility in commodities and currencies is propagating to stocks. Our

regime switching model is pointing to a major shift in the S&P500 volatility

regime

� ECB has finally joined the quantitative easing game. Most investors are

betting on a new rally in stocks.

� But not all QE programs are created equal. Mr. Draghi only has one arrow

in his quiver: monetary easing. BCB intervention needs to be completed by

the political consensus for fiscal stimulus and structural reforms…

� The divergence theme continues to propel the dollar higher

� The bull equity market remains intact. But, between slowing growth,

weakening earnings prospects, coming rate hikes, falling oil, and the strength

of the dollar, we still believe equity markets are on borrowed time.

� We remain underweight government bonds and corporate credit overall

(but with an intra-asset class preference for IG vs HY, and Eurozone non-

financials IG vs US IG), Overweight US dollar (supported by divergence Fed

policy from that of the ECB and BOJ) and UW commodities (specially on

energy and precious metals)

� We summarize our views as follows �

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Disclaimer


This writing is for informational purposes only and does not constitute an

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by FinLight Research in any jurisdiction in which such offer, solicitation,

purchase or sale would be unlawful under the securities laws of such

jurisdiction. The information contained in this writing should not be

construed as financial or investment advice on any subject matter.

FinLight Research expressly disclaims all liability in respect to actions

taken based on any or all of the information on this writing.

About Us…

� FinLight Research is a research-centric company focused on Asset Allocation from a top-down perspective, on Portfolio Construction, and all related quantitative aspects and risk management issues.

� Our expertise expands along 3 axes:

� Asset Allocation with risk control and/or risk budgeting techniques

� Allocation to alternative investments : Hedge funds, rule-based strategies (momentum, value, carry, volatility), real assets (real estate, infrastructure, farmland, timberland and natural resources). Private equity and venture capital should be the next step…

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� FinLight Research is an innovation-oriented company. We target to fill the gap between the academic research and the investment community, especially on real assets and alternatives. We survey on a continuous basis the academic literature for interesting published and working papers related to quantitative investing, non-linear profiling, asset allocation, real assets...

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Finlight Research - Market perspectives - Feb 2015

Economy & Finance

Transcript of Finlight Research - Market perspectives - Feb 2015