Investering og allokering Erik Carstensen, Merchant Bank Privat
Økonomi i en vækstsammenhæng Risikofaktorer Gældssætning Kina Likviditet
Cyklisk momentum 65 Ehvervstillid i fremstillingssektoren (PMI) USA Kina 60 55 50 45 40 Euroland UK 35 30 sep 02 jan 04 maj 05 okt 06 feb 08 jul 09 nov 10 apr 12
Flot comeback
Her går det godt
Global vækst kan ikke fastholdes på det nuværende niveau og vil decelerere mod trend sidst i 2010. Der vil være store regionale forskelle
Forbrugerne skal med
Indtil nu støttet af skattelettelser
Jobskabelse skal tage over nu
Langt til toppen
Der er derfor masser af kapacitet
..så investeringer lade vente på sig 3.5% USA: Virksomhedsinvesteringer i udstyr & software Nettoinvesteringer - samlede investeringer fratrukket deprecieringsraten (andel af BNP) 3.0% 2.5% 2.0% 1.5% 1.0% 05% 0.5% 0.0% 1951 1956 1961 1966 1971 1976 1981 1986 1991 1996 2001 2006-0.5%
Gældsbyrden er betragtelig for alle..
Men rammer nogen mere end andre
Kina træder på bremsen sigtet er 8% vækst
Likviditets udpumpning er stoppet eller?
Konklusion Den globale økonomi er på vej. Væksten afdæmpes til gengæld bliver opsvinget bredere baseret, men der er risici i scenariet. Risikofaktorer er ikke om, men hvornår. Finans- og pengepolitik bliver mindre ekspansiv, når økonomierne kan bære det Risikobehæftede aktiver skal derfor indgå med en lavere vægt i en portefølje end under en normal konjunkturopgang
Merchant Formuepleje allokering maj 2010 Strukturer 8% Kontant 4% Erhv.obl. 8% Aktier 43% Obligationer 37%
Aktier A stylised business cycle Expansion Policy normalization/mid cycle slowdown/into recession - phase 4 Broadening recovery - phase 3 Trend growth Recession - phase 1 Out of recession - phase 2 Recession
Aktier forventet afkast Phase Criteria # obs Average & Median 6M S&P return Std. dev. Negative return 1 Both falling 99-3.6% 36% -3.8% 13.7% 63% 2 ISM rising, NFP falling 78 9.6% 12.2% 13.6% 27% 3 Both rising 271 7.3% 6.8% 8.5% 18% 4 ISM falling, NFP rising 292 2.3% 3.1% 9.5% 36% Note: ISM Manufacturing PMI and Private Nonfarm payrolls Monthly data Note: ISM is 6 month absolute change, NFP is 6 month % change since 1948 with Note: Average 6 month price return for S&P500 over period is 4% with 33% negative total obs = 740 Phase Criteria # obs Average & Median 6M change in US10Y yield Std. dev. Falling 1 Both falling 99-36 -33 59.79 69% 2 ISM rising, NFP falling 78-30 -17 98.41 64% 3 Both rising 271 27 24 68.28 25% 4 ISM falling, NFP rising 292-2 3 75.86 46% Note: ISM Manufacturing PMI and Private Nonfarm payrolls Monthly data Note: ISM is 6 month absolute change, NFP is 6 month % change since 1948 with Note: Average and median 6M change change in US10Y yield is 1 & 6bp with with 43% negative total obs = 740
Aktier afkast fordeling 30% 25% DC defined cycles & 6M S&P500 price return X-axis shows return bucket, Y-axis shows share of observations in specific phase falling in particular return bucket. 20% 15% 10% 5% 0% -40% -35% -30% -25% -20% -15% -10% -5% 0% 5% 10% 15% 20% 25% 30% 35% 40% Phase 1 Phase 2 Phase 3 Phase 4
Porteføljefordeling ændring siden sidst Consumer Staples 20,4% 20,2% Health Care 18,0% 15,9% Industrials 13,9% 17,2% Materials 13,3% 5,5% Technology 12,6% 15,0% Financials 7,3% 10,7% Consumer Discretionary 6,2% 5,0% Energy 5,8% 7,2% Utilities 2,5% 2,8% Europa 53,9% 52,7% USA 27,3% 34,8% E.M. 18,8% 12,5%
Opsummering Opvægt Europæiske eksport orienterede aktier Amerikanske indenlandsk orienterede aktier GEM med en undervægt i Kina Nedvægt Finans aktier Europæisk orienterede aktier Amerikanske eksport orienterede aktier
Renter - pengepolitik
Renter forventede rentestigninger
Renter
Virksomhedsobligationer - rentespænd
Virksomhedsobligationer forv. defaults
Virksomhedsobligationer JPM All HY (US) 23-04-2010 Adjusted Spread to Govt BreakEven 1Y Default Rate Breakeven 5Y Default Rate ** Recovery Rate* 575 7,4% 32% 27% Historical Worst 5Y 31% 27% Historical Average 5Y 18% 37% **Worst 5Y Cumulative Cohort Default Rate for the Rating since 1973 Price *Worst 5Y Average Recovery Rate for. 92,7 Lehman 33% BBB 66% A Rated Bonds (Euro) 26-04-2010 Justeret Spread to Govt BreakEven 1Y Default Rate Breakeven 5Y Default Rate ** Recovery Rate* 173 2,4% 11% 30% Historical Worst 5Y 7,7% 30% Historical Average 5Y 2,2% 44% **Worst 5Y Cumulative Cohort Default Rate for the Rating since 1973 Price *Worst 5Y Average Recovery Rate for Senior Unsecured Bonds since19 101,3
Merchant Formuepleje - afkastudvikling 190 180 170 160 150 140 Merchant Formuepleje Obligationer Merchant Formuepleje Aktier 130 Merchant tformuepleje Allokering 120 MSCI World (EUR) 110 100 90 80 2003 2004 2005 2006 2007 2008 2009 2010
Valg af investeringsløsning Aktivklasse Merchant Formuepleje Allokering Basal Merchant Formuepleje Allokering Merchant Formuepleje Obligationer Merchant Formuepleje Aktier Risiko Middel Høj Høj Lav Høj Kontant 100 100 100 100 100* Obligationer Danske stats- og realkreditobligationer, skibskreditobligationer og lignende 100 100 100 100 0 Udenlandske statsobligationer 50 50 100 100 0 Kreditobligationer Investment Grade Obligationer 50 50 100 50 0 High Yield obligationer Emerging Market Debt Obligatoner 10 20 20 20 0 Senior Secured Bank Loans Strukturerede produkter 10 20 20 20 20** Aktier Noteret på Nasdaq OMX København Udenlandske aktier 40 65 65 0 100 Emerging Market aktier Hedgefonde/-foreninger 0 0 10 10 10 Alternative investeringer via danske eller udenlandske funds 0 0 10 10 10 * I aktiemandatet kan kontanter erstattes af obligationer med en maksimal løbetid på 18 måneder ** I aktiemandatet kan der kun investeres i strukturerede produkter, hvor det underliggende aktiv er aktier
Danske Invest Nye Markeder Aberdeen Asset Management Morningstar Rating ***** IFR kategori : Emerging g Markets No. 1 på afkast over 3 år No. 1 på risikojusteret afkast over 3 år Risiko indikator: Høj
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