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The Financial Intelligencer

Volume I, Issue LXIV

24 April 2014

EMERGING MARKETS CURRENCIES

BUSINESS CYCLE FAVOURED ASSET CLASSES INDICATOR

Emerging Markets Curriencies 52-Week Returns #N/A… 15% #N/A… S AFRICA S KOREA #N/A… 10% 5% POLAND #N/A… 0% -5% #N/A… #N/A… -10% #N/A… #N/A… -15% #N/A…

#N/A…

CZECH

INDIA

#N/A… #N/A…

EM Carry Trade 3800 Naïve

3300

Trade

2800

LuzCap

2300 1800 1300 800

#N/A… #N/A… #N/A…

Indicator is bullish for asset classes (bonds, equities, commodities) crossed by radial red line.

Left, the percentage return on a long position earning interest in each emerging market currency. Right, the performance of a portfolio of 20 major EM currencies. Naïve strategy weighs the 20 currencies equally; trade strategy weighs them by total exports and imports as reported by International Monetary Fund; LuzCap strategy selects 5 currencies with a proprietary algorithm. Each rebalanced daily. (USD returns)

G-10 MAJOR CURRENCIES

G10 Currency Strategies

Momentum

2200 2000 1800 1600 1400 1200 1000 800 600

CAD AUD -7.81% -9.90% LuzCap

Carry

Momentum

NZD SEK 1.06% NOK 0.07% JPY -2.51% -3.98%

Value GBP EUR CHF 8.53% 6.91% 6.05%

Excess ratio of Spot to PPP 40% 30% 20% 10% 0% NZD

AUD

CHF

EUR

GBP

NOK

CAD

SEK

JPY

-10%

Value

-20%

LuzCap strategy combines carry and value strategies using a proprietary algorithm. Carry strategy goes long the 3 highest interest rate currencies and shorts the 3 lowest. Momentum strategy longs the 3 currencies with highest 52-week nominal currency rate return and shorts the 3 lowest. Value strategy longs the 3 currencies most undervalued as measured by ratio of spot rate to Bloomberg PPP (Purchasing Power Parity) and shorts the 3 most overvalued. All rebalanced daily. (USD returns)

US EQUITIES

S&P 500 PERFORMANCE FORECASTER

Bullish

1 Week

1 3 Month Months

Bearish

1 Week

0%

6%

29%

Return < 0%

37%

35%

29%

Return > 0%

63%

65%

71%

Return < -5%

4%

9%

12%

SCALE OF WIN INTENSITY % +

SPECIAL CASES

Return > 5%

-

SCALE OF LOSS INTENSITY % Not enough data to conclude

Few data but hard enough to conclude

-

Defensive Stocks

1 3 Month Months

+

The S&P 500 Performance Forecaster is a statistical indicator that analyzes the shape and level of the VIX Futures Curve to determine the probability that the S&P 500 Index will be higher, lower, at least 5% higher and 5% lower or less than the current level in 1 week, 1 month or 3 months. (USD returns)

1 2 3 4 5 6 7 8 9 10

SPX PEG FTR LSI TSN JOY ETR KIM BEAM SWN AIV

S&P 500 INDEX PUBLIC SERVICE ENTERPRISE GP FRONTIER COMMUNICATIONS CORP LSI CORP TYSON FOODS INC-CL A JOY GLOBAL INC ENTERGY CORP KIMCO REALTY CORP BEAM INC SOUTHWESTERN ENERGY CO APARTMENT INVT & MGMT CO -A

Median return on Bear Days -0.32% 0.11% 0.00% 0.00% 0.00% 0.00% -0.02% -0.02% -0.02% -0.04% -0.05%

Defensive stocks are S&P 500 stocks having the best median daily return on the last 50 days the index is down. (USD returns)


The Financial Intelligencer - SeaGate Capital