HEDGEYE ASSET ALLOCATIONdocs.hedgeye.com/HE_TMS_6.7.16.pdf · old format = $800/square ft new...
Transcript of HEDGEYE ASSET ALLOCATIONdocs.hedgeye.com/HE_TMS_6.7.16.pdf · old format = $800/square ft new...
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HEDGEYE 2
DISCLAIMER Hedgeye Risk Management is a registered investment advisor, registered with the State of Connecticut. Hedgeye Risk Management is not a broker dealer and does not provide investment advice to individuals. This research does not constitute an offer to sell, or a solicitation of an offer to buy any security. This research is presented without regard to individual investment preferences or risk parameters; it is general information and does not constitute specific investment advice. This presentation is based on information from sources believed to be reliable. Hedgeye Risk Management is not responsible for errors, inaccuracies or omissions of information. The opinions and conclusions contained in this report are those of Hedgeye Risk Management, and are intended solely for the use of Hedgeye Risk Management’s clients and subscribers. In reaching these opinions and conclusions, Hedgeye Risk Management and its employees have relied upon research conducted by Hedgeye Risk Management’s employees, which is based upon sources considered credible and reliable within the industry. Hedgeye Risk Management is not responsible for the validity or authenticity of the information upon which it has relied. TERMS OF USE This report is intended solely for the use of its recipient. Re-distribution or republication of this report and its contents are prohibited. For more detail please refer to the appropriate sections of the Hedgeye Services Agreement and the Terms of Use at www.hedgeye.com.
LEGAL
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3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
HEDGEYE ASSET ALLOCATION
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3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
0%
10%
20%
30%
40%
50%
60%
70%
80%
CASH U.S.EQUITIES
INT'LEQUITIES
COMMODITIES FOREIGNEXCHANGE
FIXED INCOME
74%
0% 0%
12%
24%
42%
HEDGEYE ASSET ALLOCATION
The maximum preferred exposure for cash is 100%. The maximum preferred exposure for each of the other asset classes is 33%.
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1 2 3
USD
COMMODITIES
EUROPE
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USD Burn baby burn: hawkish, dovish, hawkish, dovish – the U.S. Dollar continues to drive asset reflation. The buy signal – in U.S. Dollar being immediate-term TRADE oversold at 93.62 on the USD Index with an immediate-term range of 93.62-95.48 and a EUR/USD risk range of 1.10-1.14…is a good spot to raise cash (again) in USD.
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COMMODITIES Not surprisingly, a USD oversold signal registers overbought signals in the CRB Index, Gold, and Copper. WTI’s overbought level is right around $49.99/barrel (CRB Index overbought level = 193); Copper backing off 1st, as it’s the weakest of the reflation hands short-term traders are willing to hold.
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EUROPE Big mean reversion move higher this morning for European Equities (which got hammered again last week). Italian stocks are leading +1.8% on the MIB Index (after falling another -3.8% last week to -19% YTD); that’s helping U.S. Equity futures, but #EuropeSlowing is not (yet) the latest bull case for U.S. stocks.
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HEDGEYE 9
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
THE GRIND LOWER OF VOL THIS CYCLE IS STARTING TO BACK UP AND INFLECT HIGHER
DATA SOURCE: BLOOMBERG
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HEDGEYE 10
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
THE GRIND LOWER OF VOL THIS CYCLE IS STARTING TO BACKUP AND INFLECT HIGHER
DATA SOURCE: BLOOMBERG
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HEDGEYE 11
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
PERVERSELY A U.S. RECESSION IS BEST FOR THE BIGGEST DRIVER OF EXCHANGE TRADED ACTIVITY (VOL)
DATA SOURCE: BLOOMBERG
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HEDGEYE 12
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
GOLDMAN’S U.S. FINANCIAL CONDITIONS INDEX HAS RISEN INTO RECESSION THE PAST 2 CYCLES
DATA SOURCE: BLOOMBERG
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HEDGEYE 13
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
AND RISING (TIGHTENING) GS FINANCIAL CONDITIONS INDEX OVERLAYS TIGHTLY WITH THE VIX
DATA SOURCE: BLOOMBERG
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HEDGEYE 14
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
EUROPEAN VOL HAS THE SAME LINEAR RELATIONSHIP WITH ECONOMIC GROWTH
DATA SOURCE: BLOOMBERG
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HEDGEYE 15
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
VOLATILITY IS THE CAUSAL FACTOR FOR EXCHANGE TRADING HERE SHOWN AGAINST U.S. CASH EQUITIES
DATA SOURCE: BLOOMBERG, HEDGEYE RISK MANAGEMENT ESTIMATES
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HEDGEYE 16
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
STRONG RELATIONSHIP EXISTS BETWEEN EUROPEAN VOL AND EURO STOCK TRADING
DATA SOURCE: BLOOMBERG
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HEDGEYE 17
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
LATE CYCLE MEANS GETTING CLOSER TO THE CLIFF AND CLOSER TO HIGHER SUSTAINED VOL
DATA SOURCE: BLOOMBERG, HEDGEYE RISK MANAGEMENT ESTIMATES
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HEDGEYE 18
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
LATE CYCLE MEANS GETTING CLOSER TO THE CLIFF AND CLOSER TO HIGHER SUSTAINED VOL
DATA SOURCE: BLOOMBERG, HEDGEYE RISK MANAGEMENT ESTIMATES
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HEDGEYE 19
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
AND THE $64,000 QUESTION OF DOES HIGHER VOL TURN INTO REVENUE ON BOTH SIDES OF THE POND?
DATA SOURCE: BLOOMBERG, HEDGEYE RISK MANAGEMENT ESTIMATES
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HEDGEYE 20
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
CORPORATE SPREADS OVER TREASURY ALWAYS RISE INTO RECESSIONS PRESSURING CORPORATE LIQUIDITY
DATA SOURCE: BLOOMBERG
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HEDGEYE 21
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
WHICH RESULTS IN AN ADVANTAGE IN LOWER COST OF CAPITAL FOR THE INDUSTRY
DATA SOURCE: BLOOMBERG
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HEDGEYE 22
OLD FORMAT = $800/SQUARE FT NEW FORMAT = $1,300 SQ FT
THE FUTURES EXCHANGES SKEW THE COMPS BUT WE THINK #’S ARE TOO LOW AND MARKET CAP WILL GROW
DATA SOURCE: BLOOMBERG, COMPANY ESTIMATES
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3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
HEDGEYE MACRO PROCESS: RATE OF CHANGE
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3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
REUTERS/JEFFERIES CRB INDEX
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3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
LABOR MARKET CONDITIONS INDEX
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3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
THINK WE’RE LAPPING BAD COMPS BY Q2?
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3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
HEDGEYE SECTOR PERFORMANCE
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3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
HEDGEYE SECTOR RELATIVE PERFORMANCE
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3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
HEDGEYE STYLE FACTOR PERFORMANCE
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3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
HEDGEYE RATES & SPREADS
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3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
CFTC NON-COMMERCIAL NET LONG POSITIONING
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3MO
4/11/2014 THE MACRO SHOW
June 7, 2016
MARKET SHARE VOLUME & TOTAL VALUE TRADED