Portfolio

The DM Country Model favored Italy again at the expense of Spain mostly on liquidity change. Japan and the U.K. remain the largest two underweights.

Recent shifts in the Fed's policy stance are bullish for the dollar, negative for commodities and emerging markets, and positive for assets with a yield. They also suggest risk assets will continue to perform decently.

The GAA DM Equity Country Allocation model is updated as of July 29, 2016. The non-U.S. (level 2) model made some changes by increasing the overweight in Sweden and Italy while reducing the overweight in Netherland and Germany such that now Germany is in underweight position.

The recent rally in risk assets is walking a very fine line. If the Fed turns more hawkish, or U.S. growth slows, it could fall over.

Informe especial

The GAA Equity Sector Selection Model recommends tilts to the 10 GICS global sectors covered in our sector selection by applying a framework of growth, liquidity, momentum and valuation. Its mandate is to generate alpha in both cyclical upturns and downturns and does so by capturing turns in business cycles.

Informe especial

Smart beta strategies can be useful in both strategic and tactical asset allocation. Combining different smart beta strategies can smooth out the cyclicality of individual strategy and provide a better return/risk profile.

The model continues to keep its largest overweight in U.S. equities. Directionally, Japan's underweight is slightly reduced for a second month (albeit by only 13 basis points).

Post-Brexit uncertainty will continue for some time. But we were already cautiously positioned, and would not go any more defensive.

Informe especial

Abenomics has disappointed, but not failed. The Bank of Japan could move to debt monetization next year, which would be positive for Japanese equities and negative for the yen.

The model has not made significant changes in the country allocation. It continues to keep its largest overweight in the U.S. equities.