While September and Q3 were the latest solid month for US risk assets, which ended the month and quarter at all time highs, across the globe returns were relatively more mixed for the sample of assets tracked by Deutsche Bank. That said, a large number of assets (21 of 39 in local currency terms) finished with a total return between -1% and +1% which in part reflects another month of incredibly low volatility with the VIX in particular spending much of it trading between 9.5 and 11.0. In the end, excluding currencies 19 out of 39 assets finished the month with a positive total return in local currency and USD hedged terms.
As Deutsche Bank"s Jim Reid reports this morning, in terms of the movers and shakers, commodities dominated the top of the German bank"s leaderboard with Wheat (+9%), WTI (+9%) and Brent (+8%) all finishing with a high single digit return. It’s worth noting however that this does follow heavy falls for the price of Wheat and WTI in August. Equities generally had a strong month, particularly in Europe where a slightly weaker euro (-1%) aided local currency returns. The DAX (+6%), FTSE MIB (+5%), Stoxx 600 (+4%), Portugal General (+4%) and IBEX (+1%) all finished firmer - the latter underperforming however reflecting elevated tension around the Catalan referendum. Returns in USD terms were 0% to +6%. It’s worth also noting the return for European Banks (+5% local, +4% USD) which got a boost from the slightly higher rate environment. There were two standout underperformers in equity markets however. The first was the Greek Athex which tumbled -8% in local terms although still remains up an impressive +19% YTD. The other was the FTSE 100 which fell -1% under the weight of a strong month for Sterling (+4%) following the BoE signalling an imminent rate hike as well as some progress around Brexit talks. Indeed in USD terms the FTSE 100 was up +3%.
There was a similar story for Gilts (-3%) which underperformed other sovereign bond markets during the month. Bunds, Treasuries, Spanish Bonds and BTPs all returned less than -1% in local terms and up to -2% in USD terms. Meanwhile credit market performance was unspectacular given the move in rates. The notable theme was the outperformance for HY though with EUR and US HY up around +1% in local currency terms. More rate sensitive IG indices were weaker however, albeit outperforming sovereign bond markets. EU and US IG Non-Fin, Fin Sen and Fin Sub finished in the range of 0% to -0.5% in local terms.
Taking a step back, for Q3, the big winners during the quarter were commodities and EM markets. Of the top ten in local currency terms, seven fit one of these categories including the Bovespa (+18%), Brent (+15%), Micex (+14%), WTI (+12%), Copper (+10%), MSCI EM Equities (+8%) and the Shanghai Comp (+6%). The FTSE MIB (+11%), Hang Seng (+9%) and Portugal General (+6%) round out the other three places.
DM equity markets were generally up +1% to +5% (S&P 500 returned +5% and Stoxx 600 +3%). The IBEX (0%) and Athex (-8%) were the notable underperformers. Meanwhile sovereign bond markets witnessed very modest positive returns of less than +1% (although +4% for European bond markets in USD terms). Gilts did however return -0.5% in local terms. Credit market performance was solid reflecting a largely carry-return environment. Higher beta credit outperformed (HY and Fin Sub +2% in local terms) while IG indices were around +1% for the quarter.
Finally, here is a snapshot of the best and worst assets, and everything inbeteen, since January 1, 2017.
No comments:
Post a Comment