CAP Scan Cross Assets. Sep 2020

CAP Scan Cross Assets. Sep 2020

We maintain the overall defensive positioning in risk assets from recent months. Our top-down climate indicator has moved further into negative territory(page 39). Notable factors behind this include: a)A new round of weakness for global GDP (page  33+38) b)A pronounced negative reading for our output gap filter (page 38)

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, short maturity Euro Gov.bonds and Risk-Off FX (Read: JPY). We have lifted our position in long duration government bonds (Read: EU Core Fixed Income) to Neutral but kept USD denominated Core fixed income in underweight. Furthermore, we maintain an underweight position in US Dollars.

In our Risk portfolio, we have reduced our position in EMD bonds from Neutral to now Underweight but kept a Neutral weight in EM equities. We stay underweight of HY, and European and JP equities. As a further defensive move, we have cut our weight in US equities from Neutral to Underweight.

Our Cross-Asset Portfolio model is implemented in our fund CAP-M.