Finlight Research - Market Perspectives - Jul 2015

Market Perspectives

July 2015

Jul. 6th, 2015

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Greece is the symptom, not the disease…

“Oxi!”– Greek voters, July 5, 2015

“The stock market is a voting machine rather

than a weighing machine. It responds to factual

data not directly, but only as they affect the

decisions of buyers and sellers. ”- Graham and Dodd

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Executive Summary: Global Asset Allocation

� Major asset markets are flat YTD… Global financial markets declined in June

as volatility increased into month end as a result of uncertainty over the

Greek Drama and collapse in Chinese stocks

� We believe that the market is underestimating the current situation in Greece

and the systemic contagion it can induce. Greece is the symptom of a

much more profound disease that affects the entire EMU, if not the entire

QE-addicted economic system.

� We still believe that equity markets are living on borrowed time., and now

teetering dangerously close to the point of no return.

� Rising inflationary expectations are about to change the existing

dynamic in place, on interest rates, stocks, forex and commodities

� We continue to expect higher default rates and higher volatility as banks

are likely to be more restrictive in their lending standards

� The prospect of rising interest rates, a stronger US dollar and economic

uncertainty , could also be a trigger for higher cross-asset volatility.

� Thus, a confluence of forces are converging to disrupt global equity and debt

markets.

� We reiterate our view: A perfect storm is building… It combines historically

overvalued stocks with stretched government bonds and corporate credits.

Unlike previous storms (2000, 2008), investors would be left with almost

no place to hide.

� We summarize our views as follows�


MACRO VIEW

� The Good

� Earnings estimates have halted the recent decline and are looking better� Consumer confidence stands is in a good shape� Real PCE, as Real disposable personal income, are showing signs of strength� Existing home sales hit the highest level since 2009� ISM manufacturing remained solid

� The Bad

� Labor force participation rate tumbled to its lowest level since October 1977� Economic activity momentum in China is slowing. The carnage in stocks is continuing.� Credit growth in China is now in uncharted territory, with total volume of credit growth 3x that of

2007 � The drama in Greece is driving up uncertainty

� The Ugly

� Greece remains the wild card. With recurrent failures in finding a deal, the door seems now opened to uncharted waters…

� Main systemic risk resides in China: After a decade of economic boom, China has accumulated significant imbalances. China’s economy is supported by approximately six trillion dollars of 'shadow debt', coupled with an unprecedented credit-fueled construction madness.



The Big Four Economic Indicators

� The overall picture had been one of a slow recovery, but there is no indication of a recession using the indicators monitored by the NBER.

� Over the last months, Industrial Production has been the weak outlier

� The current picture is characterized by relatively strong Employment and Income, and erratic Real

Sales.


Capacity Utilization

� Capacity utilization for the industrial sector decreased 0.2% in May to 78.1%

� It stands 2% below its long-run (1972–2014) average.

� An interim peak is now

visible at the end of

2014


Retail Sales

� After 4 months of anemic growth, Retail Sales jumped up: +1.2% in May and the previous 2 months revised higher. May is the third month of growth following three months of contraction

� Real Retail Sales have returned to its growth trendline. Thus, the dip in sales we witnessed in early 2015 seems to be linked to the severe winter.

� Retail Sales have been boosted by well oriented PCE and Personal Income: On a YoY basis, Real PCE rose 3.4%. Real Disposable Personal Income rose 3.5%, with real wages and salaries rising 4.8%.


Consumer Sentiment

� The University of Michigan final Consumer Sentiment for June came in at 96.1, a small increase from the 94.6 June preliminary reading

� the Conference Board's consumer confidence jumped up from 94.6 to 101.4.

� Both measure confirm the uptrend in

consumer optimism.


Households Net Worth

� Consumer optimism is closely linked to its net worth…


Real Estate

� The US housing market is rebounding

� Existing home sales hit the highest level since 2009. Sales in May (5.35 million SAAR) are up 5.1% MoM and 9.2% YoY

� The Case Shiller Index was up 4.9% YoY


GS – Global Leading Indicator (GLI)

� The May Final GLI came in at1.7%yoy. It momentum stands at0.22%.

� According to last estimation, GLIgrowth has been positive andincreasing since February. But this‘Expansion’ phase is anemic andcrossing the border to the“Slowdown” phase could occuranytime.

� Four of the ten underlyingcomponents of the GLI improved inJune

� We continue to think that the

acceleration we’ve been

witnessing since Jan. ‘15 is quite

modest for a typical expansion

phase


Velocity of Money

� The velocity of money (GNP/Money Supply) has been declining since 2006. The velocity of money is now at its lowest level since at least 1959

� This decline is the proof that the GNP growth we’ve seen since 2009 is mainly due to the growth in money supply.

� Could that be a sign of a healthy economy?


Chinese Economy

� Latest PMI data signaled a further

loss of growth momentum in China’s

economy at the end of Q2-2015

� Both manufacturing and services PMI's are weakening, and are now close to multi-year bottoms.

� Manufacturing is flirting with contraction


EQUITY

� From our June Report: “the market seems trapped in a sideways trading range, probably awaiting a catalyst to breakout one way or another”.

� Finally, the market seems to be getting out of its lethargy, as the Chinese equity bubble bursts and the drama in Greece shakes investors’ nonchalance. Market is teetering dangerously close to the

point of no return.

� At this stage, there is no sign yet of a bearish trend formation… A rebound is still possible if the Greek issue is solved (at least temporarily) and EPS forecasts improve

� Recent data shows more evidence of lower productivity, lower potential GDP growth and higher

inflation risk. � This is a bad scenario for stocks

� We still believe that equity markets are living on borrowed time because…Earnings season hasn't provided the catalyst needed for the breakout to the upside� Stocks are sailing a seasonally unfavorable period, with no earnings growth expected in the first half

of 2015� Valuations are well above historical norms, especially when we take into account the slower

revenue growth, the lower margins and the starting wage pressures � The coming rate hikes will depress all asset prices for at least a part of next year

� Bottom line :

� Nothing new compared to our previous report. We remain Neutral equities as long as they stay trapped in their sideways trading range


EQUITY

� We may revise our view to OW after a clean break of the 2075-2125 range to the upside on the S&P500, and to UW below the trend since Nov. ‘12 lows

� We still think it is wise to incrementally "de-risk" your portfolios by focusing on higher quality / more defensive / more favorably priced companies

� We remain OW on Japan (always on an FX hedged basis) as we see further upside for Japanese stocks driven by an exit from deflation, the improvement in macro data and corporate earnings momentum.

� Despite outperforming, Japan is still cheap compared to the US / Europe

� European equities had given up all of their post QE outperformance before recent developments We remain Neutral on Europe vs. US despite the policy divergence between the Fed and the ECB. � According to the 12 month forward P/E, Europe is trading at 15 year highs, relative to the

US

� Relative data surprises are turning in favor of the US.

� We remain OW EM stocks (ex-China) given the improvement in relative growth forecasts in EM vs DM and the strong momentum in place. For months, we’ve advised to stay away of Chinese stocks. And we proved correct.in that.

� We remain UW in US small caps vs large caps.


US Earnings

� For Q2 2015, 80 companies have issued negative EPS guidance and 27 companies have issued positive EPS guidance

� The 12-month forward P/E ratio for the S&P 500 now stands at 16.5, well above historical averages: 5-year (13.9), 10-year (14.1)

� The earnings momentum for the S&P 500 has

deteriorated a lot since Jan.. ‘15

� Factset is expecting +2.2% q2 ’15 earnings growth if Energy is excluded, and -4.5% if the sector is included.

� For Q2 2015, year-over-year earnings for the S&P 500 are projected to decline by 4.5%. The energy sector remains the largest contributor to earnings decline for the index.

� Based on Factset data, analysts predict YoY earnings declines to continue through Q3-2015, but still expect EPS to reach record levels in Q4-2015


US Earnings

� Crestmont's graph presents the historical trend for actual reported EPS (as well as S&P’s EPS forecasts), and puts into perspective current and forecast EPS relatively to the long-term trend for EPS

� S&P's EPS forecasts for 2015

have been decreasing, so far.


EPS Consensus

� Over the last 18 months, EPS consensus saw strong downgrades in all main regions except in Japan where earnings have seen a strong upgrade


US vs European Equities

� Relative performance of European equities vs US equities could decomposed into 3 phases:� H2-2014: Europe lagged the US

on disappointing growth data� Q1-2015: Europe caught up and

outperformed thanks to ECB QE;� Since April: The dynamic has

turned south. Most of the

previous outperformance is

erased.

� We keep our previous positioning

and remain Neutral on Europe vs.

US


Transportation Sector

� Transports are giving a negative Dow

Theory signal.

� The DJ Transportation Average:� continues to lag the DJ Industrial

Average by about 10%� momentum has been negative since

April� Has already broken major supports to

the downside


S&P500 – A Long-Term Perspective

� The market remains in overvaluation territory. This is the message sent by Q-Ratio.� It’s worth noting that Q-Ratio is appropriate for judging long-run expected returns, but clearly not for

short-term moves.


S&P500 – A Technical Perspective

� The S&P500 has preserved its 55-wma during the last 162 weeks, the third longest period since the 80’s.

� The level to focus on into Friday’s close is the 55-wma at 2,039…


S&P500 – A Medium-Term Perspective

� S&P500 momentum is waning

� The level to focus on into Friday’s close is the 55-wma at 2,040…

� A clear earnings improvement is probably the only way (except Fed intervention) to keep the index afloat…

� … Because it looks like we’ve never

been closer to a decided

downtrend, overs the last years

� Breaking through the trendline across the lows since Oct. ‘11 (~1980) would completely change the picture.


Trading Model – S&P500

� As of July 6th, our prop. Short-Term trading model is modestly long on the S&P500 (2068.76).� The model is long since June 29th (2057.64)� Out of the 8 active systems, 5 are long with 2082 and 2103 as targets, when the 3 others are short

with targets at 2026 and 2041� Below 2041, the trading model becomes massively long… 2041 is again the level to watch closely!


Investor Sentiment

� According to the latest American Association of Individual Investors Sentiment Survey, bulls are now as

rare as during the 2008 meltdown:

� Only 22.6% of individual investors are bullish over the next 6 months, well below the long-term average of 38.8%.

� Given the contrarian nature of this indicator, we don’t feel comfortable with a short positioning right now


Investor Sentiment - S&P500 Skew

� US equity options already appear to price a less optimistic scenario.

� The 6 month &P500 skew stands at

very high levels, similar to those seen in 2010 (double-dip scare) and 2011-2012 (first European financial crisis)


Cross-Asset Volatility

� With the Greek drama, we saw a broad-

based rise in implied vols, led by equities (VIX, VSTOXX) and credit (vol in iTraxx Main and CDX.IG)


Chinese Stocks: SHCOMP

� Shanghai Composite Index is now breaking below its trend across the lows since Oct. ’14 (~3770). Next level to watch: 3600

� The index has to find a base somewhere above 3,450. Otherwise, the picture will become scaring…

� The present carnage is amazingly

in line with the “bubble scenario”

we presented in our May report

(graph below)

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FIXED INCOME & CREDIT

� Rates should rise. Sentiment is shifting on inflation expectations, Treasuries falling across the

board and volatility going up.

� We believe the higher volatility regime in fixed-income is here to stay.

� Inflationary signs should be watched closely as they will foreshadow a steepening decline in govies.

� We still expect the Fed to raise rates in September, when the market continues to price such a scenario at about 40% chance (little more than two 25bp tightening over the next year). UST yields remain underpriced relative to this scenario.

� We expect negative total returns on USTs. We still look for the bear market on USTs to resume.

� We’ve been Neutral UST since end of Nov. ’14 and decided to remain so as far as the 10y UST yield remains below 2.25. Given the last yield move, we are now UW 10y USTs and moved to 2.30 the

threshold below which we become Neutral again. Our ultimate target on 10y yields stands at

2.75 by the end of 2015.

� On German Bund, our target zone of 0.75-0.90 were reached and, as expected, we switched from

UW to Neutral. We remain Neutral on German Bund (within the sovereign FI asset class) as long asthe 10-year yield stays above the 0.45 – 0.50 area.

� We will switch to UW again as the 10-year yield breaks above 1.00.

� Inflation breakevens have risen since the start of the year. We remain OW HICP Inflation through 5y

inflation swaps (long HICP inflation breakevens = receiving HICP vs payind fixed rate) as we expect a steady pick-up in HICP inflation over 2H15

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� EM corporate credit outperformed most major asset classes in June� Credit quality deteriorates further in Q1 both in IG and HY, as the releveraging continues to rise at

a sustained pace� Fundamentals in US HY continued to deteriorate with 3 more defaults pushing the US default rate to

over 2% for the first time since 2013� Credit spreads have widened as credit markets have de-risked on rising uncertainty around Greece.

� Lower rated new-issue volume has been increasing since the financial crisis. That should drive the default rate higher and HY spreads wider.

� 2Q15 is on track to see the highest volume of M&A since 2007 � this is usually credit negative as corporates focus on shareholder returns at the expense of creditors.

� We remain UW on corporate credit, due to valuation, to rising corporate leverage (specially in the US), to rising volatility, to position within the credit cycle and given the weak total return forecast

� Within the credit pocket, and over the very short-term, we stick with our preference for Eurozone HY

corps vs US HY corps, because of the ECB massive QE, more resilient macro in the Eurozone, and the still elevated beta of US credit spreads to oil prices. Institutional allocation to HY is completely influenced by the ECB-QE. That should support European HY till the Fed hikes its rates.


31


� However, we still prefer US IG over Eurozone.IG, as we think that more attractive spread valuations and higher carry should fuel a stronger bid for US credit.

� our view, lower EUR yields relative to the USD market should fuel a stronger bid for US spreads given more attractive spread valuations and higher carry.

� We still prefer IG over HY on a risk-adjusted basis as we expect higher volatility on spreads

� Bottom line : UW Govies, UW US vs Eurozone Govies, remain long flatteners on the US yield curve, UW credit, OW Eurozone vs US HY credit, UW Eurozone vs US IG credit, Neutral TIPS and OW HICP Inflation, UW High Yield vs High Grade, Neutral on EM corporates


32

US Govies – 10y UST

� We’ve been Neutral UST since endof Nov. ’14.

� Our previous positioning : “Ourmedium-term outlook would stayneutral as far as the 10y UST yieldremains below 2.25., and moveUW above to play the long awaitedbear market on USTs.”

� Thus, we are now UW 10y USTs

and moved to 2.30 the threshold

below which we become Neutral

again.

� We think that the risk is still

biased to the upside on the 10y

yield.

� In order to confirm our bearishview, a clean break above 2.50 isneeded.


33

US Credit – HY Default Rates

� At this stage, the risk of risingdefaults / downgrades remains low

� But the picture could change

quickly.

� Net percentage of senior loanofficers that are tightening lendingC&I standards provides a goodpredictor of realized default rates

� At just -5.3% net tightening, a

jump to net tightening seems

imminent.

� Such a move would give a negativesignal for credit and induce anincrease in its volatility.


34

Credit – Corporate Leverage

� Credit quality deteriorates

further in Q1 both in IG and HY,as the releveraging continues torise at a sustained pace

� Leverage is drifting up, in the USas in Europe, and has reached thelevels at the height of the last creditcycle

� This drift in leverage is driven by:� rising net debt in the US� Falling EBIDTA in Europe


35

Credit – US IG vs EUR IG

� we remain UW on Eurozone vs

US IG, mainly for 2 reasons:

� Spread valuation remainsmore attractive in the USrelative to Europe

� The carry differential

between the US andEurozone (like other DMmarkets) would support UScredit through a sustainedforeign demand.


36

EXCHANGE RATES

� As expected, the weakness in USD was temporary. We reiterate our bullish view on USD over the medium-term.

� Historically, USD cycles have been persistent, lasting 5-6 years in the appreciation phase. We thus see further medium term USD gains against the major crosses (especially EUR and JPY) and expect a cyclical low in EUR/USD somewhere in 2016 (with the ECB tapering)

� The DXY uptrend is still intact even if the pace slows. But current dollar valuation implies 25 to 50 bps higher rates in the US. Without a September hike the uptrend on the US dollar may be damaged

seriously.

� Our positioning on USD is driven by the same trading rules:� The sharp reversal on EUR-USD we’ve seen last month (mainly driven by Bunds) failed to break the

July ‘14 downtrend. We remain Neutral on EUR-USD as long as it stays between 1.1040 and

1.145. We will move back to UW if the spot breaks below 1.1040 (always with the same targets at 1.0843 and 1.07), and to OW above 1.145

� On USD-JPY, we remain Neutral for the moment


37

EUR-USD

� EUR-USD is still consolidating below its July ‘14 downtrend (currently around 1.124).

� We remain Neutral as long as

the pivot stays between 1.1040

and 1.145

� We will move back to UW if the spot breaks below 1.1040 (always with the same targets at 1.0843 and 1.07), and to OW above 1.145

� Only a clean break in either direction is able to shed light on the next short-term move.

� We keep our bearish bias, for

the moment.


38

COMMODITY

� Commodities continued their slide in June, despite the sharp gains posted by agriculturalcommodities (near 13% on the S&P GSCI Agri. Index).

� We are still neutral-to-bearish across many complexes in the near term. To mid-2016, return forecastsare negative for commodities as a whole.

� Despite the rally seen in April (mainly driven by a weaker US dollar and expectation of morestimulus in China), the trend remains bearish. There is no indication of a bottom formation yet.

� Global commodity prices could stay suppressed as less demand from China leads to greateroversupply

� Energy remains a large share of operating costs for the commodity complex. Decreasing oil prices(coupled with a stronger dollar) would induce a cost deflation across the commodity asset class anddrive prices lower.

� We think that it is still too early to get in the “reflation trade” of a weaker dollar and highercommodity prices

� We remain UW commodities. We continue, however, to like owning the GSCI index, and think

that commodities hold value as cross-asset portfolio diversifiers and as an inflation hedge.


39

COMMODITY

Bottom Line :

� Base Metals: Base metals don’t appear to be stabilizing yet. We remain Neutral on base metals, but

do not like holding Copper as it appears highly overvalued relative to the dollar and the global growth.

� Agriculture: In our May Report, we decided to tactically switch from UW to Neutral because of thebearish bets on agricultural commodities accumulated by managed money. A crowded deal we didn’tlike. We stay Neutral despite the sharp gains posted over June (especially on last days of Q2),led byWheat, Corn and Soybeans.

� We are tempted by an OW on Agris but that is now a crowded deal (again). Two weeks ago, HFs swungbullish by the most on record. We also expect an increase in volatility due to less cooperative wheatherconditions.

� OW temptation could be justified by:� After two straight years of strong crops, this year is starting to look different for weather reasons.

The potential for a strong El Nino will completely change the path of grain prices for the comingmonths.

� For Wheat, the U.S. Department of Agriculture has already reported that both inventories andacreage planted this year are below analyst expectations.


40

COMMODITY

� Energy: We remain of the view that the oil market is oversupplied, and still seems ripe for a downsideprice correction, as OPEC is unlikely to cut.� On July 2nd, we moved from Neutral to UW, as the spot dropped below 56� We will move to Neutral again if the WTI goes above 56.5 and to OW if the it breaks above 63� We still think it is too early to expect major upside for the price of oil as the US is sinking

deeper in a glut of excess oil

� We expect WTI to retrace its recent lows of $45/bbl by October. Our S&P GSCI return forecastspoint to negative total returns.

� Precious Metals: Nothing new since our previous report. Gold prices are still caught within range-bound trading. Higher rates set to continue to exert fundamental pressure on gold price.

� We change nothing to our view on precious metals. The stimulus provided by the ECB & BoJ is already factored in gold prices. Precious metals are vulnerable to higher US real yields and

stronger dollar �We maintain the view that Q3 15 is likely to be the weakest quarter for gold

� We think that as long as gold is trading below 1225, it could be heading back down to test theMarch low

� We remain UW above 1150-1170 band. We will move Neutral below 1150 and switch

progressively to OW (accumulate) as the spot slides down towards 1000-980, which is likely

the final leg down. Only a clean break above 1225 may push us to reconsider our view.


41

COMMODITY

� Silver is supported by Chinese imports. Our first target on silver stands at 14.70. We still think that Silver (like gold) is probably ready for its final leg down towards 12.50. At current levels, we are

UW. we will switch progressively to OW (accumulate) as the spot breaks the first material resistance around 14.70 and slides down towards 12.50

� We may reconsider our UW position if the Silver breaks above 16.7-17.


42

Commodity Performance

� In Q2, agricultural commodities posted sharp gains led by Wheat, Corn & Soybeans


43

Crude Oil – Tech. Perspective

� In our May report, we emphasizedthe signs of exhaustion the spothas shown near 63.

� The report also says: “We willmove to OW if the WTI breaksabove 63, and to UW again if ittrades below 56.5 (to target Marchlows)”

� Thus, we’ve been UW since July

2nd.

� The next important support towatch stands at 52.3


44

Gold

� Since Feb ‘15, Gold has rangedbetween 1150 and 1225.

� We change nothing to ourstrategy: We remain UW Gold. Wemove Neutral below 1150 andswitch progressively to OW(accumulate) as the spot slides

down towards 1000-980, which

is likely the final leg down.

� Only a clean break above 1225may push us to reconsider ourview.

� We think that as long as gold is

trading below 1225, it could be

heading back down to test its

March lows.


45

ALTERNATIVE STRATEGIES

� Hedge funds posted significant declines for June, with the HFRX Absolute Return Index declining -0.38%, while the HFRX Global Hedge Fund Index declined -1.24%

� Macro hedge fund strategies (both CTA and Discretionary Macro strategies) led the decline for the month, with the HFRX Macro/CTA Index posting -2.66%.

� The HFRX Macro Systematic Diversified/CTA Index did even worse and declined by -3.82%, the worst performance since October 2011. Main sources of losses are exposures to equity, currencies and commodities (especially short Agris).

� HFRX Market Neutral Index gained +1.09%, its best monthly performance since October 2013 on gains in factor based strategies and fundamental managers

� HFRX Event Driven Index posted -1.00% as the global risk appetite declined, deteriorating deal spreads.

� Nonetheless, the HF industry outperformed U.S. equities (and most traditional assets) over 1H-

2015


46

ALTERNATIVE STRATEGIES

� We stick to our preference for risk diversifiers (pure alpha generation strategies) over return enhancers.

� We believe that diversifying portfolios with an increased allocation to alternatives is particularly attractive at this stage of the cycle.

� We are not changing our recommendations on alternatives which we consider to be suited to current market conditions. We maintain our OW positioning on:� Equity Market Neutrals both for their “intelligent” beta and their alpha contribution. � CTA’s and Global Macro as a diversifier and tail hedge. � Vol. Arb strategy and prefer funds that trade volatility globally (all assets / all regions). This is our

way to position for a higher volatility regime.


47

Macro Hedge Funds

� Over the past six years, the Fed QE policy has driven equity volatility lower, weighing on hedge fundreturns…

� We continue to like HFs as we think that volatility is currently switching to a higher regime


48

Macro Hedge Funds

� June 29 was a massive drawdown for Macro funds. Only the drawdowns in 2007 were larger.� Macro fund equity beta has surged to extreme levels, probably due to their important exposure to

peripheral govies.


49

CTA Funds

� A tight relationship has prevailedbetween CTA returns and 10 yearyields till the end of May. ’15

� � this points to the significant long

duration positioning of CTAs till end

of May

� � luckily, this position has been

reduced on the beginning of June


Bottom Line: Global Asset Allocation

� Major asset markets are flat YTD… Global financial markets declined in June

as volatility increased into month end as a result of uncertainty over the

Greek Drama and collapse in Chinese stocks

� We believe that the market is underestimating the current situation in Greece

and the systemic contagion it can induce. Greece is the symptom of a

much more profound disease that affects the entire EMU, if not the entire

QE-addicted economic system.

� We still believe that equity markets are living on borrowed time., and now

teetering dangerously close to the point of no return.

� Rising inflationary expectations are about to change the existing

dynamic in place, on interest rates, stocks, forex and commodities

� We continue to expect higher default rates and higher volatility as banks

are likely to be more restrictive in their lending standards

� The prospect of rising interest rates, a stronger US dollar and economic

uncertainty , could also be a trigger for higher cross-asset volatility.

� Thus, a confluence of forces are converging to disrupt global equity and debt

markets.

� A perfect storm is building… It combines historically overvalued stocks with

stretched government bonds and corporate credits. Unlike previous storms

(2000, 2008), investors would be left with almost no place to hide.

� We summarize our views as follows�


51

Disclaimer


This writing is for informational purposes only and does not constitute an

offer to sell, a solicitation to buy, or a recommendation regarding any

securities transaction, or as an offer to provide advisory or other services

by FinLight Research in any jurisdiction in which such offer, solicitation,

purchase or sale would be unlawful under the securities laws of such

jurisdiction. The information contained in this writing should not be

construed as financial or investment advice on any subject matter.

FinLight Research expressly disclaims all liability in respect to actions

taken based on any or all of the information on this writing.

About Us…

� FinLight Research is a research-centric company focused on Asset Allocation from a top-down

perspective, on Portfolio Construction, and all related quantitative aspects and risk management issues.

� Our expertise expands along 3 axes:

� Asset Allocation with risk control and/or risk budgeting techniques

� Allocation to alternative investments : Hedge funds, rule-based strategies (momentum, value, carry, volatility), real assets (real estate, infrastructure, farmland, timberland and natural resources). Private equity and venture capital should be the next step…

� Allocation with a factorial approach built on the understanding (profiling) of the risk/return drivers of the different asset classes

� FinLight Research is an innovation-oriented company. We target to fill the gap between the academic research and the investment community, especially on real assets and alternatives. We survey on a continuous basis the academic literature for interesting published and working papers related to quantitative investing, non-linear profiling, asset allocation, real assets...


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Finlight Research - Market Perspectives - Jul 2015