10 2 3 6 8 9 13 14
MULTI-ASSET CLASS 1 EQUITIES: DEVELOPED COUNTRIES 1 EQUITY EMERGING COUNTRIES 2 Alpha Current Previous Alpha Current Previous Alpha Current Previous weight weight weight weight weight weight EQUITIES US 0.32 2.4% 2.5% Brazil -0.1-0.5% -0.5% Developed Equities 0.02 0.2% 0.8% Canada -0.12-0.7% -0.3% Emerging Equities 0.08 0.6% 0.7% Euroland -0.12-1.0% -2.6% China 0.0 0.0% 0.0% FIXED INCOME Japan 0.26 1.2% 0.1% India -0.1-0.5% 0.0% Government Bonds 0.00 0.0% 0.0% UK 0.08 0.7% 2.5% South-Korea 0.2 1.2% 1.2% Investment Grade 0.00-0.1% 1.0% Switzerland -0.13-0.9% -1.3% Taiwan 0.1 0.3% 0.5% High Yield 0.08 1.7% 1.1% Australia -0.29-1.7% -0.8% Russia 0.1 0.4% 0.0% COMMODITIES Brent Oil 0.00 0.0% 0.2% South Africa -0.2-1.1% -1.3% Base Metals 0.03 0.3% 0.5% Turkey 0.0 0.1% 0.0% Gold 0.06 0.5% 0.3% Module Total 0.0 0.0% 0.00% Module Total 0.0 0.0% 0.00% Agricultural 0.00 0.0% 0.3% Cash Euro -3.4% -5.0% BOND COUNTRIES SOVEREIGN 1 Module Total 0.0% 0.0% Alpha Current Previous weight weight PORTFOLIO STATISTICS US -0.6-7.0% 6.7% Target Ex-ante Volatility 1.00% Euroland 0.4 6.4% -0.5% Real Ex-ante Volatility 0.74% Japan -0.4-4.8% -0.5% UK 0.0-0.7% -5.2% Switzerland 0.6 6.1% -0.5% 1-Hedged in Euro, 2-Local Currency Module Total 0.0 0.0% 0.00%
Consensus Forecasts: Growth & Inflation GDP y.o.y % Inflation y.o.y % 2009 2010 2011 2009 2010 2011 M= Mean; H= High; L=Low M H L -1M M H L -1M M H L -1M M H L -1M Developed Economies USA -2.4 3.2 3.9 2.5 [3.1] 3.1 4.4 1.5 [3.0] -0.3 2.1 3.0 1.6 [2.2] 1.9 3.9 0.8 [1.9] Canada -2.6 3.2 3.4 2.5 [2.9] 3.0 3.6 2.3 [3.2] 0.3 1.9 2.2 1.5 [1.8] 2.2 2.6 1.7 [2.2] Euro zone -3.9 1.2 1.8 0.6 [1.1] 1.5 2.6 1.0 [1.5] 0.3 1.2 1.5 0.8 [1.1] 1.4 1.8 0.7 [1.4] UK -5.0 1.3 2.2 0.9 [1.4] 2.3 3.2 1.4 [2.3] 2.2 2.7 3.6 1.8 [2.6] 1.7 3.6 0.3 [1.7] Switzerland -1.5 1.8 2.5 0.9 [1.5] 1.9 2.8 1.1 [1.8] -0.5 1.0 1.3 0.7 [0.8] 1.1 1.7 0.8 [1.1] Japan -5.2 2.2 2.8 1.5 [1.9] 1.6 2.9 0.9 [1.6] -1.4-1.1-0.6-1.6 -[1.1] -0.2 0.6-0.7 -[0.3] Australia 1.3 3.3 3.8 2.6 [3.1] 3.4 4.3 2.7 [3.4] 1.8 2.6 3.0 2.2 [2.5] 4 2.8 3.3 2.6 [2.7] Source: Consensus Forecasts as of 12/04/2010
65 6 Euroland: Private Consumption and Unemployment 60 55 50 45 40 35 30 00 01 02 03 04 05 06 07 08 09 GDP Growth (YoY % change) ISM Manufacturing PMI ISM Non manufacturing PMI (Left) 4 2 0-2 -4-6 Source: Factset, BNPP AM 11 10.5 10 9.5 9 8.5 8 7.5 7-2 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 Unemployment Rate Total, % SA (Left) Real Private Consumption, YoY% changes (Right) Source: Factset, BNPP AM 4 3 2 1 0-1
140 Public Debt (% of GDP) 350 Sovereign 5-year CDS spreads*, basis points 120 100 80 Advanced economies Emerging and developing economies World G7 300 250 200 60 150 40 100 Asia ex-japan 20 0 1950 1954 1958 1962 1966 1970 1974 1978 1982 1986 1990 1994 1998 2002 2006 2010 2014 50 0 * PPP GDP weighted, EZ excludes Luxembourg & Malta Eurozone Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr 09 10
9.0 8.0 7.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 EMU countries 10 year spreads vs Bund 05-Apr 12-Apr 19-Apr 26-Apr 03-May Ireland Greece Portugal Source: Factset, BNPPAM 4.20 4.00 3.80 3.60 3.40 3.20 3.00 2.80 2.60 05-Apr 12-Apr 19-Apr 26-Apr 03-May Germany Govt 10 Year Yield US Govt 10 Year Yield Source: Factset, BNPPAM
350 300 9 8 High Yield Spreads 250 7 200 150 100 6 5 4 3 50 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr iboxx Euro / Banks Senior - Benchmark Spread - Bond iboxx Euro / Industrial Goods & Services - Benchmark Spread - Bond iboxx Euro / Utilities - Benchmark Spread - Bond Source: Factset, BNPPAM 2 1 Jan10 Feb10 Mar10 Apr10 Barcap Pan-Euro Barcap US Greece 10 Year Source: Factset, BNPPAM
EUR/USD FX Rate Forecast Summary (Major Currencies) End of Period 2009 07-May-10 2Q 2010 3Q 2010 4Q 2010 1Q 2011 Min Max Min Max Min Max Min Max USD Block EUR / USD 1.43 1.2651 1.25 1.35 1.25 1.30 1.20 1.25 1.20 1.25 USD / JPY 93 91.03 95 100 95 100 100 105 100 110 USD / CAD 1.05 1.0499 0.95 1.05 0.95 1.05 1.00 1.10 1.00 1.10 AUD / USD 0.90 0.8832 0.87 0.92 0.85 0.90 0.85 0.90 0.82 0.87 GBP / USD 1.61 1.4684 1.45 1.55 1.50 1.60 1.50 1.60 1.45 1.55 USD / CHF 1.03 1.1120 1.08 1.12 1.08 1.12 1.10 1.14 1.14 1.18 EUR Block EUR / JPY 134 115.15 124 130 121 128 128 134 123 135 EUR / GBP 0.89 0.8615 0.85 0.90 0.80 0.85 0.80 0.85 0.80 0.85 EUR / CHF 1.48 1.4067 1.40 1.45 1.38 1.43 1.40 1.45 1.40 1.45 Source: BNPP AM as of 7/5/2010
950 900 850 800 750 700 650 600 550 500 7.4% 7.6% 03/09 05/09 07/09 09/09 11/09 01/10 03/10 05/10 9.6% MSCI World (DM), local currencies 50D Mav 200D Mav Source: Factset, BNPP AM 65 60 55 50 45 40 35 30 Mar-00 Sep-00 Mar-01 ISM non manufacturing ISM manufacturing ECRI Sep-01 Mar-02 Sep-02 Mar-03 Sep-03 Mar-04 Sep-04 Mar-05 Sep-05 Mar-06 Sep-06 Mar-07 Sep-07 Mar-08 Sep-08 Mar-09 Sep-09 Mar-10 40 30 20 10-10 -20-30 -40 Source: Bloomberg, BNPP AM 0
90% 80% 70% 60% 50% 40% 77% 47% 83% S&P 500 ex-financials: % positive surprises* 83% 78% 69% 68% 57% MSCI USA 1.25 1.20 1.15 1.10 1.05 BUY 30% 1.00 20% 0.95 10% 0.90 0% Q2 09 Q3 09 Q4 09 Q1 10 janv.03 juil.03 janv.04 juil.04 janv.05 juil.05 janv.06 juil.06 janv.07 juil.07 janv.08 juil.08 janv.09 juil.09 janv.10 EPS Sales Source: Bloomberg, BNPP AM REB#(MSUSAML,31/12/06) 40 weeks 13 weeks
MSCI Index Return (%) 50 45 40 35 30 25 20 15 10 5 0 Regional performance in the four stages of an upturn, since 1998 Bounce Earnings Recovery Tightening Euphoria Global USA Europe Japan Asia Pac xj GEM 15 2.00 1.90 10 1.80 1.70 5 1.60 1.50 0 1.40 1.30-5 1.20-10 1.10 2005 2006 2007 2008 2009 2010 LEI CHINA lagged MSCI EM ASIA (local) vs MSCI World(R.H.SCALE) Source: DATASTREAM
1.70 16 1.20 11/5/10 1.60 1.50 14 1.10 1.00 1.40 1.30 12 10 0.90 0.80 0.70 1.20 8 0.60 1.10 1.00 6 0.50 0.40 0.90 2002 2003 2004 2005 2006 2007 2008 2009 MSCI China PER vs MCI EM PER Chinese H-Shares vs MSCI EM(R.H.SCALE) Source: DATASTREAM 4 0.30 2001 2002 2003 2004 2005 2006 2007 2008 2009 Brazilian Basic Resources vs Broad market Source: DATASTREAM
. 160 400 Gold (lhs) 6 biggest gold ETFs in tonnes (rhs) 1,550 140 380 1,200 120 360 100 340 1,100 1,500 80 320 1,000 60 300 1,450 40 280 900 20 260 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Crude Oil, Nymex, Usd (Left) EIA Total Stock Levels excl SPR, Mln Barrel (Right) EIA Gasoline + Distillates Stock Levels, Mln Barrel (Right) Source: BNPPAM, Factset 800 Apr-09 Jun-09 Aug-09 Oct-09 Dec-09 Feb-10 Apr-10 1,400
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