ASR Market Scenario Analyser

Transcription

1 ASR Market Scenario Analyser europe in a global context 2013 ASR Market Scenario Analyser (MSA) USER GUIDE The ASR Market Scenario Analyser (MSA) platform provides clients with a platform on which to analyse the investment implications of macro and market scenarios on a range of assets, based on what has happened historically. The investment ideas that fall out of this analysis encompass Global Equity Markets, Sectors and Stocks, along with Multi-Asset Futures and a range of FX crosses. ASR Market Scenario Analyser (MSA): Build up a detailed market scenario based on a broad range of available factors and scenarios including ASR Macro indicators; Adjust the scenario analysis and investment ideas to best fit your favoured time horizon from 20 days to 12 months (in the case of scenarios); Focus on investment ideas in specific universes... including user created ones Equities, Sectors, Stocks, Futures... and Portfolios. ASR MSA is a subscription product please contact your sales contact for further details, or sales@absolute-strategy.com. ASR Market Scenario Analyser (MSA) David McBain +44 (0) DavidMcB@absolute-strategy.com Source: ASR Ltd. / Thomson Reuters Datastream Authorised and Regulated by the Financial Conduct Authority 1 st Floor, 1-2 Royal Exchange Buildings, London, EC3V 3LF

2 The MSA allows clients to build a market scenario from a wide range of available inputs and analyse what history suggests the scenario might mean from an investment perspective. ASR Market Scenario Analyser (MSA) in Action ASR s Market Scenario Analyser (MSA) We have developed the ASR Market Scenario Analyser (MSA) to provide clients with a platform on which to analyse what history suggests might be the investment implications of market scenarios, built from a wide database of available potential factors. In this way, clients can look at the investment implications of simple or complex scenarios, or perhaps their strongest convictions about the future, on a variety of universes, including their own portfolios. All of this is designed with the users in mind simple controls allow clients to quickly set their analysis preferences and drill down to investment ideas, which are also tailored to their own investment horizon and universe. Simply build a scenario and see what history suggests it might mean for investment performance going forward. What do we mean by scenarios? Using a drop down menu, users build a scenario from a wide range of available inputs. For instance, these might be based on the expectation that US Equities, Crude and Gold will be up in the next 6 months, but that the US dollar will be down tell me what historically has been the best global sector to invest in based on that scenario? Or alternatively, it might be that US Bonds and Emerging Markets are down over the past 3 months, while the Yen is up tell me what history suggests could be expected to do well from my portfolio over the coming 3 months? It might even be based on one of ASR s proprietary datasets, e.g. what has happened from a UK stock perspective when Global Activity rises over the next 3 months? <<< Build a SCENARIO <<< Determine INVESTMENT IDEAS... Based on what has happened historically <<< Dig deeper into specific IDEAS Source: ASR Ltd. /Thomson Reuters Datastream 2

3 What do we mean by investment ideas? The MSA should not be viewed as providing recommendations to buy or sell a specific asset. It does, however, provide details of what historically were successful investments when a scenario has arisen. Tailor the analysis to your own investment horizon based on a Predictive, Historic or Current State mode.... and a wide range of investment universes, which could be your own portfolio or watch list. What do we mean by tailor your analysis? Clients can build their inputs from a wide range of available market factors, cutting across Equities, Bonds, FX and Commodities. Some of the key macro factors that we at ASR monitor are also included as available factors, such as Industrial commodities versus Foodstuffs. We have also included some of ASR s proprietary Activity and Inflation datasets, along with Risk Appetite measures (background on these proprietary ASR series can be found on Pages 12-13). These factors are analysed on the basis of one of three MSA Modes. These Modes provide the basis for answering the question based on long-term history, what were statistically the strongest performing assets when...? PREDICTIVE:... when a combination of Predicted Factors occur, e.g. Gold is Rising and S&P 500 is Falling over the Next 3M. HISTORIC:... when a combination of Historic Factors have occurred, e.g. Bonds have Fallen & USD has Risen in the Past 3M. Current STATE:... when Factor Level OR % Change in a Factor has been similar to current levels. The flexibility of the platform allows clients to base their analysis on a timeframe of their choosing. Having built a scenario, users are directed to potential investment ideas. They then pick their preferred investment timeframe and universe. Indeed, one of the universes might be the client s own portfolio or watch list, as MSA allows clients to create their own universes. In Summary, the MSA provides clients with a flexible and userfriendly platform on which to analyse the potential investment implications of macro and market scenarios. In terms of the investment implications, this is based on what has happened historically when these scenarios unfolded. In terms of investment universes, the MSA covers Global Equity Markets, Sectors and Stocks, along with Multi-Asset Futures and a range of FX crosses. Important Note The MSA is not intended, and should not be viewed, as providing recommendations to buy or sell a specific asset. While we believe the data provided from external sources to be reliable, ASR is unable to guarantee its accuracy. 3

4 Market Scenario Analyser Getting Started Go to the ASR Website... login as normal Go to RESEARCH Page... Click on View our new Market Scenario Analyser If you accept the Terms & Conditions, you will be taken to MSA Homepage Market Scenario Analyser (MSA) Home Page Source: ASR Ltd 4

5 Market Scenario Analyser Home Page The home Page allows clients to set their scenario against a specific benchmark e.g. Global Equities. Users can then choose dates for their analysis... timeframes for the scenario analysis... the frequency of the analysis e.g. daily/weekly/monthly... and the analysis mode (for more see following page). Clients then build a scenario from a wide range of available inputs eg Gold down... on 3 months Platform Technical Basics: The MSA system is built using an Enterprise framework utilising JAVA and MySQL and then deployed on Amazon s EC2 Cloud Computing Cluster. Access to the system is exclusively via ASR s website and will be limited exclusively to ASR clients. The underlying data is sourced from Thomson Reuters Datastream. Market Scenario Analyser (MSA) Home Page Source: ASR Ltd 5

6 There are three MSA Analyser Modes Analyser Mode 1 PREDICTIVE: The predictive mode allows clients to test how often a set of future market scenarios have occurred looking forward, e.g. when US yields have risen over the subsequent 65 days, and then highlights what were statistically the best investment ideas for that scenario as it unfolded. Analyser Mode 2 HISTORIC: The historic mode identifies times in the past when scenarios have occurred, eg Gold and S&P500 are both down over the previous 65 days. Having identified times when this scenario has occurred, the MSA once again determines the optimum investments following the scenario. Analyser Mode 3 CURRENT STATE: In the current state mode the MSA identifies the points in history that are closest to where we find ourselves today, based on % Change or Absolute Level. The user again selects the market factors that they are interested in and this time the MSA identifies the points in time that are a best fit to where we are now, and what were the best investments historically after those occurrences. PLEASE NOTE: % Change option not available for both ASR Indicators and Interest Rate Factors. Market Scenario Analyser (MSA) Picking a scenario state Source: ASR Ltd 6

7 Building a Market Scenario As clients build a market scenario they can see how often it has occurred both statistically and against their chosen chart benchmark. This can be based on a Daily frequency, or on the first occasion it occurs on a Weekly or Monthly basis. The Scenario Analysis window can range from 20 days to 12 months. The system remembers your favourite market factors BUT only for as long as you are logged in to MSA. Market Scenario Analyser (MSA) Building a scenario Source: ASR Ltd 7

8 Tailoring your investment ideas The platform also remembers your preferred investment universe which can be adjusted along with all the other elements such as investment horizon... direction (long/short)... benchmark... and hit rate Investment ideas can be sorted by any of the headings, e.g. Trade Return, but defaults to Hit Rate (%) Clicking on trade idea pulls up the details behind the summary data Market Scenario Analyser (MSA) Investment ideas Source: ASR Ltd 8

9 Delving deeper into investment ideas A click on a investment ideas allows closer analysis both in terms of the underlying performance data and visually against its price chart Market Scenario Analyser (MSA) Investment ideas in detail Source: ASR Ltd 9

10 Setting up your own portfolio universe The MSA also allows clients to set up and monitor their own universe from which potential investment ideas can be generated. Simply: Click on My Portfolios in top right of screen Enter a Portfolio Name in Create New Portfolio box Enter ISIN, SEDOL or Datastream Codes into Load new constituents into your portfolio box... and hit button to upload Additions and deletions to your universe are also managed from this page Market Scenario Analyser (MSA) Setting up your own universe Source: ASR Ltd 10

11 Portfolios become another investment universe When set up clients can access their own portfolio or watch list as another universe for investment ideas and continue to manage their constituents via the My Portfolios page Market Scenario Analyser (MSA) User defined universe in ideas context Source: ASR Ltd 11

12 ASR Daily Composite Activity and Inflation Indicators provide a simple way to track economic activity on a daily basis. Chart 1: ASR Eurozone DCAI vs GDP growth Annual change (%) 6 ASR Proprietary Data on MSA We have included a number of proprietary ASR indicators as potential Factors to be used when building a scenario: ASR Daily Composite Activity and Inflation Indicators; ASR Global Stock-Bond and Global Sector Risk Appetite Indicators. ASR Daily Composite Economic Indicators are daily series that serve as summary indicators of economic activity and inflation by country and region. The ASR Daily Composite Activity and Inflation Indicators provide a simple way to track economic activity on a daily basis. For each country or region, we combine a set of widely-watched economic indicators into a single series for activity. These include not only hard data such as GDP, industrial production, and employment, but also business and consumer surveys. Each component series is normalised against its own history and aggregated using equal weights. The proxies are calculated over a three month moving window to remove excessive noise. The series are then trend-restored and re-normalised to ensure comparability with GDP growth. Each daily point in the series takes into account the full set of information available at that moment in time. This means that a less timely release referring to January, say, may get combined with a more timely release of February data. The result is a series which evolves smoothly, and correlates very well with annual growth in GDP (see charts). A similar approach is used to construct our Inflation composite. ASR DCAI 6 Chart 2: ASR US DCAI vs GDP growth Annual change (%) 6 ASR DCAI Europe GDP growth [May-13 = 0.0] Daily Composite Activity [0.30] US GDP growth [May-13 = 1.6] Daily Composite Activity [1.90] Source: ASR Ltd. / Bloomberg / Thomson Reuters DataStream 12

13 Chart 3: ASR Eurozone DCII vs CPI Inflation Annual change (%) eurozone CPI inflation [Sep-13 = 1.1%] Daily Composite Inflation [1.74] Chart 4: ASR US DCII vs CPI Inflation Annual change (%) US CPI inflation [Aug-13 = 1.5%] Daily Composite Inflation [2.82] Source: ASR Ltd. / Bloomberg / Thomson Reuters DataStream A view of risk attitudes among investors based on the relationship between sector, stock and bond volatility and returns. ASR Implied Risk-Appetite Indicators (RAIs) provide a platform on which to describe risk attitude, and are based on analysing the relationship between the volatility and returns from 18 global sectors, 10 global bond markets and 10 stocks. In terms of the indicators construction, both the Stock-Bond and Global Sector measures are calculated using the weekly correlation between an assets volatility and its three month returns. Given that returns provide a view of investors expectations on future performance, the correlation of volatilities with their returns highlights whether investors are in a risk averse or risk-seeking environment. A highly positive correlation value between volatilities and returns suggests a risk seeking environment, in which volatility and returns move together, while a low positive correlation indicates a risk-neutral position. In contrast, a negative correlation indicates that investors believe that riskier assets are unlikely to offer attractive returns risk aversion is the order of the day. Chart 5: ASR Risk Appetite Indicators (R.A.I.) 1.00 RISK APPETITE INDICATOR (RAI) - 13WK RISK VS RETURN CORREL ASR Global Sector RAI ASR Stock-Bond RAI Source: DATASTREAM Source: ASR Ltd/Thomson Reuters Datastream 13

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16 This research report is issued by Absolute Strategy Research Ltd, which is authorised and regulated by the Financial Conduct Authority ( FCA ). Absolute Strategy Research Services Inc. is registered as an investment adviser with the US SEC, and is responsible for all communications and dealings with, and only with, US persons. The report is intended only for investors who are Eligible Counterparties or Professional Clients, as defined by MIFID and the FCA, and may not be distributed to Retail Clients. Absolute Strategy Research Ltd does not solicit any action based upon this report, which is not to be construed as an invitation to buy or sell any security. This report is not intended to provide personal investment advice and it does not take into account the investment objectives, financial situation and the particular needs of any particular person who may read this report. This research report provides general information only. The information contained was obtained from sources that we believe to be reliable but we do not guarantee that it is accurate or complete, and it should not be relied upon as such. Opinions expressed are our current opinions as of the original publication date appearing on this material only and the information, including the opinions contained herein, are subject to change without notice. This research report may not be redistributed, retransmitted or disclosed in whole or in part, without the express written permission of Absolute Strategy Research Ltd. Absolute Strategy Research Ltd All rights reserved. Absolute Strategy Research Ltd. 1-2 Royal Exchange Buildings, London, EC3V 3LF. Phone: +44 (0) Fax: +44 (0) Absolute Strategy Research Ltd is registered in England and Wales. Company number Registered Office: Salisbury House, Station Road, Cambridge CB1 2LA.