Weekly Market Review Weekly Review...2013/06/07 · EWM Weekly Market Review June 7, 2013 EUROZONE...
Transcript of Weekly Market Review Weekly Review...2013/06/07 · EWM Weekly Market Review June 7, 2013 EUROZONE...
Weekly Market Review
Talking Points
• Among equities, small-caps performed in line with large-caps, and value stocks outperformed growth-oriented issues. Domestic stocks outperformed international equities. Developed markets underperformed emerging market stocks.
• Treasury prices advanced this week. The yield on the 10-year T-note declined modestly.
• Commodity prices were higher on the week. Crude oil and precious metals advanced sharply, were higher and grains were lower.
• The dollar was sharply lower against a basket of currencies.
• Among economic data released this week, the monthly employment report showed that more jobs than expected were added during May, but the unemployment rate rose slightly to 7.6%; the ADP employment report was lower than expected; a manufacturing index declined to the lowest level in a year, but non-manufacturing services rose; and vehicle sales posted gains for May.
Weekly Highlights
• Domestic stock prices were mixed this week. Investors reacted to today’s employment report, which showed that 175,000 jobs were added in May, slightly greater than expected. However, the unemployment ticked up, from 7.5% in April to 7.6% in May.
• Global markets were lower on the week. World equity markets declined after the European Central Bank declined to announce additional stimulus measures. In addition, the rise in the Japanese yen caused Asian shares to drop sharply.
• Treasury prices were somewhat higher this week. The yield on the benchmark 10-year U.S. Treasury declined this week, as investors perceived opportunity after May’s sell-off.
• Commodity indices were higher on the week. Crude oil and gold posted strong gains, but grains were slightly lower.
Chart of the Week
June 7, 2013Weekly ReviewJune 7, 2013
EWM Weekly Market Review
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June 7, 2013
MARKET DASHBOARD
0.7
0.8
0.9
1
1.1
1.2
1.3
May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13
Source: Bloomberg
Wealth Index|Growth of $1: Trailing 24 Months
S&P 500 Dow Industrials Small Cap EAFE Emerging Mkts.
L
S
Source: B loomberg
-1.56% -1.70% -1.85%
-2.15% -2.22% -2.30%
15.45%13.74%12.16%
One Week
Value Growth
YTD
Value Growth
13.63% 11.86% 10.07%
14.08% 13.58% 13.00%
-1.64% -1.84% -2.04%1250
1300
1350
1400
1450
1500
1550
1600
1650
1700
Source: Bloomberg
S&P 500 Index: Trailing 180 Days
% Wgt in
S&P 500
Week %
Chg. YTD % Chg.
Consumer Discretionary 11.8 -1.88% 15.8%
Consumer Staples 10.7 -0.77% 13.4%
Energy 10.6 -1.54% 9.2%
Financials 16.5 -2.79% 17.2%
Health Care 12.6 -1.81% 17.9%
Industrials 10.1 -2.01% 11.9%
Information Technology 18.1 -1.91% 7.4%
Materials 3.4 -1.98% 4.4%
Telecom Services 2.9 1.02% 7.2%
Utilities 3.2 -1.24% 5.8%
Source: Bloomberg
Sector Performance: S&P/GICS Sectors
10
12
14
16
18
20
22
24
Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13
Source: Bloomberg
VIX Index: Trailing 180 Days
Last Price Change % Chg. YTD % Last Price Change % Chg. YTD %
S&P 500 1,615.51 -28.89 -1.8% 12.3% Russell Global EM 3,048.34 -50.00 -1.6% -4.2%
Dow Industrials 15,001.03 -245.89 -1.6% 13.5% 10-Year US Treas. 2.08 -12 bps NM 3 bps
Nasdaq 3,414.78 -71.39 -2.1% 12.1% DJ UBS Comm. Idx. 131.75 1.23 0.9% -5.2%
Russell 2000 975.36 -18.06 -1.8% 13.7% Gold $1,412.16 $26.75 1.9% -15.6%
Euro Stoxx Index 291.69 -9.19 -3.1% 4.3% Crude Oil $94.60 $2.90 3.2% 1.2%
Shanghai Composite 2,242.11 -75.64 -3.3% -1.2% Dollar Index 81.52 -2.09 -2.5% 1.9%
Russell Global 1,498.26 -24.44 -1.6% 6.8% VIX Index 17.32 2.12 13.0% 2.2%Source: Bloomberg
EWM Weekly Market Review
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June 7, 2013
134135136137138139140141142143144 Dec-10 Feb-11 Apr-11 Jun-11 Aug-11 Oct-11Index S&P/Case-Shiller Home Price Index-Trailing 12 Mos.
Source: Bloomberg
THE ECONOMY AND MARKETS
0
50
100
150
200
250
300
350
Jun-12 Aug-12 Oct-12 Dec-12 Feb-13 Apr-13
Tho
usa
nd
s
Non-Farm Payrolls-Trailing 12 Mos.
Source: Bloomberg
7.0
7.2
7.4
7.6
7.8
8.0
8.2
8.4
Jun-12 Aug-12 Oct-12 Dec-12 Feb-13 Apr-13
%
Unemployment Rate-Trailing 12 Mos.
Source: Bloomberg
A Macro View – May Monthly Recap
Domestic equity markets continued to advance in May, adding to already robust gains for the year. The first quarter earnings season wound down on a generally positive note, with 66.8% of companies reporting exceeding expectations (in line with year-ago levels) and 24.1% falling below expectations. Economic data continued to improve modestly, with housing remaining the star performer as various home price indices posted multi-year highs. The rebound in housing, combined with the stock market’s rise, resulted in a jump in consumer confidence to the highest levels since 2006. One perceived negative among economic data points was the fact that inflation trended lower. Fed Chairman Ben Bernanke stated in congressional testimony that it is possible the Fed could begin to taper its bond purchases later this year if the economy continues to improve. However, the thresholds prompting a raising of interest rates – unemployment below 6.5% and inflation above 2.5% - seem to be further away, and likely won’t be met until sometime in 2014 at the earliest. Given this backdrop, the S&P 500 advanced +2.3% during May. The Dow Industrials posted a +4.5% gain, while the tech-heavy Nasdaq Composite Index was up +4.0%. The Russell 2000 Index of small cap stocks outperformed the Russell 1000 Index of large cap stocks, with gains of +4.0% and +2.2%, respectively. In terms of sector performance, financials continued to be strong, gaining +6.1%, while theinterest-rate sensitive utilities sector declined -9.1%.
International equity markets did not fare as well as domestic U.S. markets in May, with the MSCI World ex-U.S. Index declining -2.1% for the month. Developed markets outperformed emerging markets during the month, with the MSCI Emerging Markets Index falling -2.5%. While some believe the situation in Europe is slowly improving, the region is still gripped by recession. As a consequence, it was difficult for European markets to match the gains of the U.S., with the MSCI Europe Index advancing only +0.4% for the month. Asia also had a difficult month, particularly in the final 10 days, as the Japanese market sold off after a period of stellar performance. The MSCI Japan Index dropped -9.5% during the final two weeks of the month, but on a year-to-date basis remains higher by more than +20%. Latin American stocks also performed poorly, largely a result of the decline in commodity prices. The MSCI Latin America Index dropped -6.9% for the month.
Fixed-income markets were hit particularly hard in May, mostly as a result of a rise in yields in U.S. Treasury securities following investor expectations of a tapering of the Fed’s bond-buying program. In addition, improving economic data contributed to the rise in yields. The benchmark 10-year U.S. Treasury yield ended the month at 2.16%, almost 50 basis points higher than the prior month. The rise in yields meant poor performance for bond indices, as evidenced by the Barclays U.S. Aggregate Bond Index decline of -1.8% for the month. Global fixed income markets also had a difficult time, with a decline in emerging markets issues helping drive indices lower. The Barclays Global Aggregate ex-U.S. Index was down -3.8% for the month. High yield bonds fared somewhat better, with the Barclays U.S. Corporate High Yield Index declining -0.6% for the month.
EWM Weekly Market Review
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June 7, 2013
134135136137138139140141142143144 Dec-10 Feb-11 Apr-11 Jun-11 Aug-11 Oct-11Index S&P/Case-Shiller Home Price Index-Trailing 12 Mos.
Source: Bloomberg
THIS WEEK IN THE ECONOMY AND MARKETS
290
300
310
320
330
340
350
360
370
380
390
400
3/15 3/29 4/12 4/26 5/10 5/24
Tho
usa
nd
s
Initial Jobless Claims-Trailing 12 Wks.
Source: Bloomberg
10.4
10.6
10.8
11
11.2
11.4
11.6
11.8
12
12.2
Jun-12 Aug-12 Oct-12 Dec-12 Feb-13 Apr-13
An
nu
aliz
ed (
MM
)
Vehicle Sales-Trailing 12 Mos.
Source: Bloomberg
50
55
60
65
70
75
May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13
Ind
ex
Consumer Board Confidence Index - Trailing 12 Mos.
Source: Bloomberg
51.0
52.0
53.0
54.0
55.0
56.0
57.0
Jun-12 Aug-12 Oct-12 Dec-12 Feb-13 Apr-13
Ind
ex
ISM Non-Manufacturing Index - Trailing 12 Mos.
Source: Bloomberg
46
47
48
49
50
51
52
53
54
55
Jun-12 Aug-12 Oct-12 Dec-12 Feb-13 Apr-13
Ind
ex
ISM Manufacturing Index-Trailing 12 Mos.
Source: Bloomberg
0
50
100
150
200
250
300
Jun-12 Aug-12 Oct-12 Dec-12 Feb-13 Apr-13
Tho
usa
nd
s
ADP Nat'l. Employment Report - Trailing 12 Mos.
Source: Bloomberg
EWM Weekly Market Review June 7, 2013
EUROZONE CRISIS
5
Last Change % Chg. YTD % Last Change % Chg. YTD %
Germany 10-Yr. Govt. 1.36 0 bps NM NM France 10-Yr. Govt. 1.88 1 bps NM NM
Greece 10-Yr. Govt. 9.29 35 bps NM NM Irish 10-Yr. Govt. 3.59 37 bps NM NM
Italy 10-Yr. Govt. 4.13 25 bps NM NM Portugal 10-Yr. Govt. 5.78 57 bps NM NM
Spain 10-Yr. Govt. 4.49 32 bps NM NM Netherlands 10-Yr. Govt. 1.69 3 bps NM NM
Belgium 10-Yr. Govt. 2.00 4 bps NM NM U.K. 10-Yr. Govt. 1.87 5 bps NM NM
Source: Bloomberg
SELECTED EUROPEAN SOVEREIGN YIELD PERFORMANCE
1.0
1.1
1.1
1.2
1.2
1.3
1.3
1.4
1.4
1.5
3/8 3/22 4/5 4/19 5/3 5/17 5/31
%
Germany 10-Year Government Bond Yield
Source: Bloomberg
3.0
3.5
4.0
4.5
5.0
5.5
3/8 3/22 4/5 4/19 5/3 5/17 5/31
%
Spain 10-Year Government Bond Yield
Source: Bloomberg
3.0
3.2
3.4
3.6
3.8
4.0
4.2
4.4
4.6
4.8
3/8 3/22 4/5 4/19 5/3 5/17 5/31
%
Italy 10-Year Government Bond Yield
Source: Bloomberg
6
7
8
9
10
11
12
13
3/8 3/22 4/5 4/19 5/3 5/17 5/31
%
Greece 10-Year Government Bond Yield
Source: Bloomberg
EWM Weekly Market Review June 7, 2013
EQUITIES
6
2,900
3,000
3,100
3,200
3,300
3,400
3,500
3,600
3/7 3/21 4/4 4/18 5/2 5/16 5/30
Ind
exNasdaq Composite-Trailing 90 Days
Source: Bloomberg
2,050
2,100
2,150
2,200
2,250
2,300
2,350
3/7 3/21 4/4 4/18 5/2 5/16 5/30
Ind
ex
Shanghai Composite Index-Trailing 90 Days
Source: Bloomberg
265
270
275
280
285
290
295
300
305
310
315
3/7 3/21 4/4 4/18 5/2 5/16 5/30
Ind
ex
Euro Stoxx Index-Trailing 90 Days
Source: Bloomberg
13,600
13,800
14,000
14,200
14,400
14,600
14,800
15,000
15,200
15,400
15,600
3/7 3/21 4/4 4/18 5/2 5/16 5/30
Ind
ex
Dow Jones Industrial Average -Trailing 90 Days
Source: Bloomberg
Last Change % Chg. YTD % Last Change % Chg. YTD %
S&P 500 1,630.83 -18.75 -1.14% 14.35% Swiss Market Index 7,947.01 -195.02 -2.39% 16.88%
Dow Industrials 15,115.57 -187.53 -1.23% 15.35% CAC 40 Index (France) 3,948.59 21.07 0.53% 9.25%
Nasdaq Composite 3,455.91 -3.23 -0.09% 14.45% DAX Index (Germany) 8,348.84 78.76 0.95% 10.14%
Russell Global 1,517.01 -17.95 -1.17% 8.6% Irish Overall Index 4,012.90 -29.45 -0.73% 18.25%
Russell Global EM 3,119.46 -28.00 -0.89% -1.9% Nikkei 225 13,774.54 -837.91 -5.73% 32.51%
S&P/TSX (Canada) 12,624.98 -1.10 -0.01% 1.87% Hang Seng Index 22,392.16 -226.51 -1.00% -1.17%
Mexico IPC 41,588.32 611.41 1.51% -5.89% Shanghai Composite 2,300.60 12.06 0.53% 1.39%
Brazil Bovespa 53,367.34 -2224.75 -3.94% -11.11% Kospi Index (S. Korea) 2,001.05 27.60 1.40% 0.20%
Euro Stoxx 600 300.88 -2.47 -0.81% 7.58% Taiwan Taiex Index 8,254.80 45.02 0.55% 7.21%
FTSE 100 6,583.09 -30.02 -0.45% 12.32% Tel Aviv 25 Index 1,232.00 16.60 1.37% 3.91%
IBEX 35 (Spain) 8,320.60 104.30 1.26% 2.47% MICEX Index (Russia) 1,343.99 -31.39 -2.27% -8.49%Source: Bloomberg
WORLD MARKET PERFORMANCE
EWM Weekly Market Review June 7, 2013
EQUITIES – EMERGING AND FRONTIER MARKETS
7
Last Change % Chg. YTD % Last Change % Chg. YTD %
Mexico IPC 40,569.82 -1297.90 -3.1% -7.8% Hang Seng Index 21,838.43 -645.88 -2.9% -3.6%
Brazil (Bovespa Index) 52,692.31 -1215.07 -2.3% -14.2% India (Sensex 30) 19,519.49 -240.81 -1.2% 0.5%
MICEX Index (Russia) 1,320.95 -34.75 -2.6% -10.8% Malaysia (KLCI Index) 1,769.60 0.38 0.0% 4.8%
Czech Republic (Prague) 956.73 -1.13 -0.1% -7.9% Singapore (Straits Times Index) 3,193.51 -117.86 -3.6% 0.8%
Turkey (Istanbul) 75,895.25 -10094.75 -11.7% -3.0% Thailand (SET Index) 1,490.21 -71.86 -4.6% 7.1%
Egypt (Hermes Index) 516.64 -35.48 -6.4% -6.2% Indonesia (Jakarta) 5,001.22 -67.41 -1.3% 15.9%
Kenya (Nairobi 20 Index) 4,989.04 -17.92 -0.4% 20.7% Pakistan (Karachi KSE 100) 22,276.70 453.65 2.1% 31.8%
Saudi Arabia (TASI Index) 7,613.35 209.23 2.8% 11.9% Vietnam (Ho Chi Minh) 520.90 2.51 0.5% 25.9%
Lebanon (Beirut BLOM Index) 1,181.35 -5.25 -0.4% 1.0% Sri Lanka (Colombo) 6,372.38 -90.68 -1.4% 12.9%
Palestine 456.11 -0.81 -0.2% -4.6% Cambodia (Laos) 1,338.82 -12.21 -0.9% 10.2%Source: Bloomberg
EMERGING AND FRONTIER MARKET PERFORMANCE
50,000
51,000
52,000
53,000
54,000
55,000
56,000
57,000
58,000
59,000
60,000
3/7 3/21 4/4 4/18 5/2 5/16 5/30
Ind
ex
Brazil (Bovespa Index)-Trailing 90 Days
Source: Bloomberg
17,000
17,500
18,000
18,500
19,000
19,500
20,000
20,500
3/7 3/21 4/4 4/18 5/2 5/16 5/30
Ind
ex
India (Sensex Index)-Trailing 90 Days
Source: Bloomberg
400
420
440
460
480
500
520
540
560
580
3/7 3/21 4/4 4/18 5/2 5/16 5/30
Ind
ex
Egypt (Hermes Index)-Trailing 90 Days
Source: Bloomberg
3,100
3,150
3,200
3,250
3,300
3,350
3,400
3,450
3,500
3/7 3/21 4/4 4/18 5/2 5/16 5/30
Ind
ex
Singapore (Straits Times Index)-Trailing 90 Days
Source: Bloomberg
EWM Weekly Market Review June 7, 2013
INTEREST RATES
YIELD CURVES
8
Last Change % Chg. YTD % Last Change % Chg. YTD %
2-Yr. U.S. Treasury 0.29% 0 bps NM NM Prime Rate 3.25% 0.00 NM NM
5-Yr. U.S. Treasury 1.01% -8 bps NM NM Fed Funds Rate 0.25% 0.00 NM NM
10-Yr. U.S. Treasury 2.08% -12 bps NM NM Discount Rate 0.75% 0.00 NM NM
30-Yr. U.S. Treasury 3.23% -11 bps NM NM LIBOR (3 Mo.) 0.27% 0 bps NM NM
German 10-Yr. Govt. 1.52% -1 bps NM NM Bond Buyer 40 Muni 4.46% 7 bps NM NM
France 10-Yr. 2.11% -3 bps NM NM Bond Buyer 40 G.O. 3.84% NA NM NM
Italy 10-Yr. 4.36% -16 bps NM NM Bond Buyer 40 Rev. 4.39% NA NM NM
Fed 5-Yr Fwd BE Inf. 2.64% -1 bps NM NM
Source: Bloomberg
SELECTED INTEREST RATES
1M 1Y 3Y 5Y 8Y 10Y 15Y 20Y 30Y0.00
1.00
2.00
3.00
4.00
5.00
6.00
US Treasury Actives Curve 20130530
US Treasury Actives Curve 20130606
USD US Industrial (B) BFV Curv 20130606
USD Composite (BBB) BFV Curve 20130606
1.40
1.50
1.60
1.70
1.80
1.90
2.00
2.10
2.20
2.30
12/10 1/10 2/10 3/10 4/10 5/10
Ind
ex
10-Year Treasury Yield - Trailing 180 Days
Source: Bloomberg
1.50
1.55
1.60
1.65
1.70
1.75
1.80
1.85
1.90
12/10 1/10 2/10 3/10 4/10 5/10
Ind
ex
BBB/Baa- 10-Yr Treas. Spread Rising Line = Risk Aversion
Source: Bloomberg
Source: Bloomberg
EWM Weekly Market Review June 7, 2013
CURRENCIES
9
76
77
78
79
80
81
82
83
84
85
12/10 1/10 2/10 3/10 4/10 5/10
U.S. Dollar Index - Trailing Six Months
Source: Bloomberg
1.22
1.24
1.26
1.28
1.30
1.32
1.34
1.36
1.38
12/10 1/10 2/10 3/10 4/10 5/10
Euro - U.S. Dollars per Euro
Source: Bloomberg
75.00
80.00
85.00
90.00
95.00
100.00
105.00
12/10 1/10 2/10 3/10 4/10 5/10
Japanese yen - Yen per U.S. Dollar
Source: Bloomberg
Last Change % Chg. YTD % Last Change % Chg. YTD %
Dollar Index 81.53 -2.089 -2.51% 1.90% Chinese Yuan 6.14 0.002 -0.02% 1.54%
Euro 1.32 0.026 2.02% 0.52% Swiss Franc 0.93 -0.027 2.85% -1.42%
Japanese Yen 97.03 -3.820 3.95% -10.22% New Zealand Dollar 0.80 0.009 1.08% -3.09%
British Pound 1.56 0.043 2.82% -3.87% Brazilian Real 2.12 -0.015 0.72% -3.49%
Canadian Dollar 1.03 -0.014 1.38% -3.06% Mexican Peso 12.83 0.097 -0.75% -0.41%
SELECTED CURRENCY PERFORMANCE
Source: Bloomberg
6.05
6.10
6.15
6.20
6.25
6.30
12/10 1/10 2/10 3/10 4/10 5/10
Chinese yuan - yuan per U.S. Dollar
Source: Bloomberg
EWM Weekly Market Review June 7, 2013
COMMODITIES
10
75
80
85
90
95
100
105
12/10 1/10 2/10 3/10 4/10 5/10
$ p
er b
arre
l
Crude Oil - Light Crude ($ per barrel)
Source: Bloomberg
1,200
1,300
1,400
1,500
1,600
1,700
1,800
12/10 1/10 2/10 3/10 4/10 5/10
$ p
er o
un
ce
Gold - Spot gold price ($ per ounce)
Source: Bloomberg
6,000
6,500
7,000
7,500
8,000
8,500
12/10 1/10 2/10 3/10 4/10 5/10
Ind
ex
Copper
Source: Bloomberg
500
520
540
560
580
600
620
640
660
12/10 1/10 2/10 3/10 4/10 5/10
$ p
er b
ush
el
Corn - Active Contract
Source: Bloomberg
Last Change % Chg. YTD % Last Change % Chg. YTD %
DJ UBS Comm. Idx. 131.75 1.23 0.94% -5.18% Platinum Spot $1,529.05 $70.05 4.80% -0.78%
Rogers Int. Comm. Idx. 3557.09 20.91 0.59% -3.66% Corn 548.25 -17.75 -3.15% -9.13%
Crude Oil $94.59 $2.90 3.15% 1.25% Wheat 697.75 -5.25 -0.75% -12.63%
Natural Gas $3.85 -$0.13 -3.29% 8.17% Soybeans 1,527.25 32.00 2.14% 9.50%
Gasoline ($/Gal.) $3.63 $0.03 0.69% 10.27% Sugar 16.48 -0.09 -0.54% -16.62%
Heating Oil 286.54 8.45 3.04% -4.52% Orange Juice 149.70 -1.95 -1.29% 23.17%
Gold Spot $1,412.35 $26.75 1.93% -15.57% Aluminum 1,972.00 66.00 3.46% -4.87%
Silver Spot $22.67 $0.45 2.03% -25.11% Copper 7,455.00 146.00 2.00% -6.00%
Source: Bloomberg
SELECTED COMMODITY MARKET PERFORMANCE
EWM Weekly Market Review June 7, 2013
ALTERNATIVE INVESTMENTS
11
1,160
1,165
1,170
1,175
1,180
1,185
1,190
1,195
1,200
1,205
1,210
1,215
3/8 3/22 4/5 4/19 5/3 5/17 5/31
Ind
ex
HFRX Global Hedge Fund Index - Trailing 90 Days
Source: Bloomberg
932
934
936
938
940
942
944
946
948
950
3/8 3/22 4/5 4/19 5/3 5/17 5/31
Ind
ex
HFRX Equity Market Neutral - Trailing 90 Days
Source: Bloomberg
1,245
1,250
1,255
1,260
1,265
1,270
1,275
1,280
1,285
1,290
1,295
3/8 3/22 4/5 4/19 5/3 5/17 5/31
Ind
ex
IQ Fixed Income Beta Arb Index - Trailing 90 Days
Source: Bloomberg
1,060
1,070
1,080
1,090
1,100
1,110
1,120
1,130
1,140
3/8 3/22 4/5 4/19 5/3 5/17 5/31
Ind
ex
HFRX Equity Hedge Index - Trailing 90 Days
Source: Bloomberg
Last Change % Chg. YTD % Last Change % Chg. YTD %
HFRX Global Hedge Fund Index 1202.79 -2.90 -0.24% 4.30% HFRX Distressed Index 989.48 -3.17 -0.32% 3.54%
HFRX Equity Market Neutral 946.01 0.22 0.02% 1.26% HFRX Merger Arbitrage Index 1538.26 0.59 0.04% 2.05%
HFRX Equity Hedge Index 1117.91 -4.95 -0.44% 6.14% HFRX Convertible Arbitrage Index 758.75 -6.24 -0.82% 8.03%
HFRX Event-Driven Index 1499.06 -5.36 -0.36% 8.22% HFRX Macro CTA Index 1148.52 -1.05 -0.09% -0.51%
HFRX Absolute Return Index 972.10 0.65 0.07% 1.81% IQ Fixed Income Beta Arb Index 1269.68 -4.96 -0.39% 2.64%
Source: Bloomberg
SELECTED ALTERNATIVE INVESTMENT INDEX PERFORMANCE
EWM Weekly Market Review
0.325
0.330
0.335
0.340
0.345
0.350
12/10 1/10 2/10 3/10 4/10 5/10
Ind
ex
High Yield/Inv. Grade Bonds - Trailing 180 Days
Source: Bloomberg
2.35
2.40
2.45
2.50
2.55
2.60
2.65
2.70
2.75
12/10 1/10 2/10 3/10 4/10 5/10
Ind
ex
S&P 500/MSCI EAFE - Trailing 180 Days
Source: Bloomberg
1.15
1.20
1.25
1.30
1.35
1.40
1.45
1.50
12/10 1/10 2/10 3/10 4/10 5/10In
dex
MSCI EAFE/MSCI EM - Trailing 180 Days
Source: Bloomberg
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
4.50
12/10 1/10 2/10 3/10 4/10 5/10
Ind
ex
S&P 500/MSCI EM - Trailing 180 Days
Source: Bloomberg
0.36
0.37
0.37
0.38
0.38
0.39
0.39
0.40
0.40
0.41
12/10 1/10 2/10 3/10 4/10 5/10
Ind
ex
Large Cap/Small Cap - Trailing 180 Days
Source: Bloomberg
0.53
0.54
0.54
0.55
0.55
0.56
0.56
0.57
0.57
12/10 1/10 2/10 3/10 4/10 5/10
Ind
ex
Growth/Value - Trailing 180 Days
Source: Bloomberg
0.180
0.185
0.190
0.195
0.200
0.205
0.210
12/10 1/10 2/10 3/10 4/10 5/10
Ind
ex
Info Tech/S&P 500 - Trailing 180 Days
Source: Bloomberg
1.77
1.78
1.79
1.80
1.81
1.82
1.83
1.84
1.85
1.86
1.87
12/10 1/10 2/10 3/10 4/10 5/10
Ind
ex
Inv. Grade Bonds/Int. Govt. Bonds - Trailing 180 Days
Source: Bloomberg
0.60
0.60
0.61
0.61
0.62
0.62
0.63
0.63
0.64
0.64
0.65
12/10 1/10 2/10 3/10 4/10 5/10
Ind
ex
High Yield Bonds/Int. Govt. Bonds - Trailing 180 Days
Source: Bloomberg
June 7, 2013
12
PORTFOLIO CONSTRUCTION
EWM Weekly Market Review
13
June 7, 2013
The Relative Strength Matrix provides an indication of how the various asset classes have performed relative to one another over the past 30 days. A number greater than 1.0 indicates that the asset class in the far left column has outperformed the corresponding asset class in the top row over the past 30 days. A number below 1.0 means the asset class on the left has underperformed the asset class at the top. The green shading indicates outperformance, and the red shading indicates underperformance.
Source: Bloomberg
4/3 4/10 4/17 4/24 5/1 5/8 5/15 5/22 5/29 6/5
Large Cap
(R200)-0.37% 2.02% -2.11% 1.51% 0.30% 2.99% 1.47% -0.09% -0.32% -2.28%
Small Cap
(R2000)-3.32% 2.98% -4.15% 3.01% -1.06% 5.00% 1.87% -0.64% 0.48% -1.90%
MSCI EAFE 0.45% 1.60% -1.69% 2.48% 2.00% 1.75% -0.59% 0.59% -3.00% -2.84%
MSCI Em.
Mkts.-0.68% -0.05% -2.28% 1.66% 2.01% 2.21% -1.41% 0.19% -2.64% -2.85%
BarCap Agg.
(AGG)-0.14% 0.23% 0.39% 0.05% 0.07% -0.48% -0.51% -0.33% -0.52% -0.62%
High Yield
(JNK)-0.32% 0.66% -0.12% 0.75% 0.07% 1.11% -1.12% 0.05% -1.11% -2.58%
DJ UBS Index -3.88% 0.82% -3.48% 0.22% 0.55% 1.23% -1.23% 0.77% -0.35% 0.25%
Hedge Funds
(HFRX Global)-0.30% 0.28% -0.22% 0.59% 0.17% 0.92% 0.36% 0.06% -0.28% -0.44%
60/40* -0.48% 1.26% -1.29% 1.27% 0.41% 1.66% 0.23% -0.10% -0.87% -1.79%
48/32/20
(w/Alts.)**-0.44% 1.06% -1.07% 1.13% 0.36% 1.51% 0.26% -0.07% -0.75% -1.52%
Source: Bloomberg; *60/40 portfolio = 30% Large Cap/10% Small Cap/15% EAFE/5% Emerging Markets/35% BarCap Agg./5% High Yield.
**48/32/20 portfolio = 24% Large Cap/8% Small Cap/12% EAFE/4% Emerging Markets/28% BarCap Agg./4% High Yield/20% HFRX Global Index.
WEEKLY ASSET CLASS PERFORMANCE (Prior 10 weeks ending Thursday)
Alternatives
Asset Allocation
Domestic
Equity
Int'l.
Equity
Fixed Income
Commodities
Equity
Large Cap
Core
Large Cap
Growth
Large Cap
Value
Mid Cap
Core
Mid Cap
Growth
Mid Cap
Value
Small Cap
Core
Small Cap
Growth
Small Cap
Value
Int'l.
Developed
Emerging
Markets REITs Comm. Int. Bond High Yield
Large Cap Core 1.00 1.03 0.97 1.05 1.03 1.06 0.98 0.96 1.00 1.18 1.38 1.32 1.12 1.67 1.64
Large Cap Growth 0.97 1.00 0.94 1.01 1.00 1.02 0.95 0.93 0.97 1.15 1.33 1.28 1.09 1.62 1.59
Large Cap Value 1.03 1.06 1.00 1.07 1.06 1.09 1.01 0.99 1.03 1.22 1.41 1.36 1.15 1.72 1.69
Mid Cap Core 0.96 0.99 0.93 1.00 0.99 1.01 0.94 0.92 0.96 1.13 1.32 1.26 1.07 1.60 1.57
Mid Cap Growth 0.97 1.00 0.94 1.01 1.00 1.02 0.95 0.93 0.97 1.14 1.33 1.28 1.08 1.62 1.59
Mid Cap Value 0.95 0.98 0.92 0.99 0.98 1.00 0.93 0.91 0.95 1.12 1.30 1.25 1.06 1.58 1.56
Small Cap Core 1.02 1.05 0.99 1.07 1.05 1.08 1.00 0.98 1.02 1.20 1.40 1.35 1.14 1.70 1.67
Small Cap Growth 1.04 1.07 1.01 1.09 1.07 1.10 1.02 1.00 1.04 1.23 1.43 1.37 1.16 1.74 1.71
Small Cap Value 1.00 1.03 0.97 1.04 1.03 1.05 0.98 0.96 1.00 1.18 1.37 1.32 1.12 1.66 1.64
Int'l. Developed 0.85 0.87 0.82 0.88 0.87 0.89 0.83 0.81 0.85 1.00 1.16 1.12 0.95 1.41 1.39
Emerging Markets 0.73 0.75 0.71 0.76 0.75 0.77 0.71 0.70 0.73 0.86 1.00 0.96 0.81 1.21 1.19
REITs 0.76 0.78 0.74 0.79 0.78 0.80 0.74 0.73 0.76 0.90 1.04 1.00 0.85 1.26 1.24
Commodities 0.89 0.92 0.87 0.93 0.92 0.94 0.88 0.86 0.90 1.06 1.23 1.18 1.00 1.49 1.47
Int. Bond 0.60 0.62 0.58 0.63 0.62 0.63 0.59 0.58 0.60 0.71 0.82 0.79 0.67 1.00 0.98
High Yield 0.61 0.63 0.59 0.64 0.63 0.64 0.60 0.59 0.61 0.72 0.84 0.80 0.68 1.02 1.00
RELATIVE STRENGTH MATRIX (BASED ON 30-DAY RSI)
EWM Weekly Market Review May 31, 2013
14FOR FINANCIAL ADVISOR USE ONLY. NOT FOR DISTRIBUTION TO THE PUBLIC.
INDEX OVERVIEW The S&P 500 Index is an unmanaged index comprised of 500 widely held securities considered to be representative of the stock market in general. The S&P/Case-Shiller Home Price Indices measure the residential housing market, tracking changes in the value of the residential real estate market in 20 metropolitan regions across the United States. The MSCI EAFE Index represents 21 developed markets outside of North America. The MSCI EAFE Growth Index is an unmanaged index considered representative of growth stocks of Europe, Australasia and the Far East. The MSCI EAFE Value Index is an unmanaged index considered representative of value stocks of Europe, Australasia and the Far East. The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. The MSCI Europe Index is an unmanaged index considered representative of stocks of developed European countries. The Barclays US Credit Index is an unmanaged index considered representative of publicly issued, SEC-registered US corporate and specified foreign debentures and secured notes. The Barclays US Aggregate Bond Index is a market capitalization-weighted index of investment-grade, fixed-rate debt issues, including government, corporate, asset-backed, and mortgage-backed securities, with maturities of at least one year. The Barclays US Corporate High Yield Index covers the USD-denominated, non-investment grade, fixed-rate, taxable corporate bond market. Securities are classified as high-yield if the middle rating of Moody’s, Fitch and S&P is Ba1/BB+/BB+ or below. The index may include emerging market debt. The Barclays Capital Municipal Bond Index is an unmanaged index comprised of investment-grade, fixed-rate municipal securities representative of the tax-exempt bond market in general. The Barclays US Treasury Total Return Index is an unmanaged index of public obligations of the US Treasury with a remaining maturity of one year or more. The Citigroup World Government Bond Index is a market capitalization weighted bond index consisting of the government bond markets of Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Ireland, Italy, Japan, Malaysia, Mexico, the Netherlands, Norway, Poland, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The DJ-UBS Commodity Index Total ReturnSM measures the collateralized returns from a basket of 19 commodity futures contracts representing the energy, precious metals, industrial metals, grains, softs and livestock sectors. The Russell 1000 Index is a market capitalization-weighted benchmark index made up of the 1000 largest U.S. companies in the Russell 3000 Index. The Russell 1000 Growth Index is an unmanaged index considered representative of large-cap growth stocks. The Russell 1000 Value Index is an unmanaged index considered representative of large-cap value stocks. The Russell 2000 Index is an unmanaged index considered representative of small-cap stocks. The Russell 2000 Growth Index is an unmanaged index considered representative of small-cap growth stocks. The Russell 2000 Growth Index is an unmanaged index considered representative of small-cap value stocks. The Russell 3000 Index is an unmanaged index considered representative of the US stock market. The Russell Midcap Index is a subset of the Russell 1000 Index. It includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership. The Russell Midcap Growth Index is an unmanaged index considered representative of mid-cap growth stocks. The Russell Midcap Value Index is an unmanaged index considered representative of mid-cap value stocks. The HFRX Indices are a series of benchmarks of hedge fund industry performance which are engineered to achieve representative performance of a larger universe of hedge fund strategies. Hedge Fund Research, Inc. employs the HFRX Methodology (UCITS compliant), a proprietary and highly quantitative process by which hedge funds are selected as constituents for the HFRX Indices. The Consumer Price Index (CPI) measures the change in the cost of a fixed basket of products and services. The Gross Domestic Product (GDP) rate is a measurement of the output of goods and services produced by labor and property located in the United States. The information, analysis, and opinions expressed herein are for general and educational purposes only. Nothing contained in this weekly review is intended to constitute legal, tax, accounting, securities, or investment advice, nor an opinion regarding the appropriateness of any investment, nor a solicitation of any type. All investments carry a certain risk, and there is no assurance that an investment will provide positive performance over any period of time. An investor may experience loss of principal. Investment decisions should always be made based on the investor’s specific financial needs and objectives, goals, time horizon, and risk tolerance. The asset classes and/or investment strategies described may not be suitable for all investors and investors should consult with an investment advisor to determine the appropriate investment strategy. Past performance is not indicative of future results. Information obtained from third party sources are believed to be reliable but not guaranteed. Endowment Wealth Management makes no representation regarding the accuracy or completeness of information provided herein. All opinions and views constitute our judgments as of the date of writing and are subject to change at any time without notice. Investments in smaller companies carry greater risk than is customarily associated with larger companies for various reasons such as volatility of earnings and prospects, higher failure rates, and limited markets, product lines or financial resources. Investing overseas involves special risks, including the volatility of currency exchange rates and, in some cases, limited geographic focus, political and economic instability, and relatively illiquid markets. Income (bond) securities are subject to interest rate risk, which is the risk that debt securities in a portfolio will decline in value because of increases in market interest rates. Exchange Traded Funds (ETFs) are subject to risks similar to those of stocks, such as market risk. Investing in ETFs may bear indirect fees and expenses charged by ETFs in addition to its direct fees and expenses, as well as indirectly bearing the principal risks of those ETFs. ETFs may trade at a discount to their net asset value and are subject to the market fluctuations of their underlying investments. Investing in commodities can be volatile and can suffer from periods of prolonged decline in value and may not be suitable for all investors. Index Performance is presented for illustrative purposes only and does not represent the performance of any specific investment product or portfolio. An investment cannot be made directly into an index.
EWM Weekly Market Review May 31, 2013
15
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