Crisis Update. The equity market recovery in Q2 corresponds to an expected V-shaped economic recovery. Our nowcasting models continue to suggest that a U-shaped scenario is more likely
Policy-measures and markets. The FED’s QE program now includes HY. This represent a new dimension in a “financial repression” which has pushed S&P500 valuations to levels not seen since the TMT bubble.
Our asset allocation. We maintain the overall defensive positioning in risk assets from last month. Our top-down climate indicator is still negative, although it has recovered somewhat from last month.
The next level. We are revising our SAA allocation. By replacing our regional portfolio with two sector portfolios, we can increase the total Sharp ratio and better exploit our dynamic approach.