CAP Scan Cross Assets. Oct. 2020

CAP Scan Cross Assets. Oct. 2020

We maintain the overall defensive positioning in risk assets from recent months. Our top-down climate indicator has moved further into negative territory(p.39). Notable factors behind this include:

a)Further weakness for global GDP in Q4(pages 33 + 38)

b)A pronounced negative reading for our output gap filter (page 38)

But two factors are still keeping the recovery case alive:

c)A weaker but still positive liquidity factor (page 37+38)

d)Strong global PMIs (page 37+38), including China ( page 36)

In consequence, we stick to a moderate UW position for our Risk Portfolio and a similar moderate OW position for our Hedge Portfolio.

In our Risk portfolio, we maintain our regional equity weightings. This means that the only equity market we keep in Neutral weight is EM equities. We maintain UW positions in US, European and JP equities. HY and EMD are also kept in UW. 

In our Hedge portfolio, we overweight cash, IG Bonds, short maturity Euro Gvts. and Risk-Off FX (CHF+JPY). Our USD position has moved from UW to neutral.

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