We maintain the overall defensive positioning in risk assets from recent months. Our top-down climate indicator was briefly neutral but has returned to a negative score (page 35). Noticeable factors behind this: a)A new round of weakness for global GDP (page 29+34) b)A solid negative reading for our output gap filter (page 34)
In consequence, we stick to an underweight position for our Risk portfolio and an overweight position for our Hedge portfolio.
In our Hedge portfolio, we overweight cash, IG Bonds and short maturity Euro Gov.bonds while underweighting both long duration and USD denominated Core fixed income. During summer we have reduced our USD weight from Neutral to now Underweight.
In our Risk portfolio, we have reduced our position in HY bonds from Neutral to now Underweight. We stay underweight of European and JP equities. We remain more positive on EM Credits, EM Equities and US equities. For all three asset classes we maintain Neutral positions. Our Cross-Asset Portfolio model is implemented in our fund CAP-M.
See further: https://c-a-p.dk/our-fund/