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Multi-Asset Team

Chris Turner
Head of Multi-Asset Strategy
Dorothee Deck
Multi-Asset Strategist
David McBain
Head of Technical Strategy
Stefano Di Domizio
Head of Fixed Income Strategy

Multi-Asset Research

Multi-Asset Products: Absolute Strategy Weekly, Absolute Essentials, Multi-Asset Strategy Monthly, Sentix Survey Essentials, Trade Alerts.

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Investment Strategy Weekly Update
19 Jan 2017
: Dominic White, Michael Hessel, Raphael Olszyna-Marzys, Zahra Ward-Murphy, Charles Cara, Stefano Di Domizio, David McBain, Chris Turner
Absolute Essentials: FTSE 100 vol set to rise; UK Small-caps overbought vs Mid-250
18 Jan 2017
: David McBain

VOLATILITY: VIX tests oversold sentiment territory (P4)
CREDIT: Brazil CDS readings have reached oversold sentiment levels (P11)
COPPER: Positioning still points to relatively extended optimism (P15)

FTSE volatility set to rise; UK Small-caps overbought vs Mid-250

UK markets remain firmly in the grip of Brexit. We noted last week that FTSE 100 optimism was stretched. This is set against implied FTSE 100 volatility that is extremely low, with the vol index SBI ending last week below 10 – a level that has been followed by a rise in vol over the next 30D on 77% of occasions (by ave.16%). FTSE 100 vol looks well placed to rise over the coming month.

Within the market, UK activity surprises are becoming more supportive for mid versus small-caps. The rising tide of optimism on UK small-caps has also lifted them into a stretched optimism condition versus mid-caps, as the relative tests 2013-14 highs. Similar SBI levels have been followed by a reversal in small-versus-mid caps over the next 30D on 88% of occasions (by ave.2.5%). Room for a relative reversal in FTSE Small-caps versus Mid-250 near-term. Charts p3.

Chart of the Week. The recent relative revival in precious metals versus industrials likely reflects dollar weakness, falling real yields and the unwinding of extended optimism on industrial metals. A continued loss of momentum among industrial versus precious metals would be consistent with global equities beginning to lose some ground versus bonds. On this front, Italian equities recently reached stretched optimism versus bonds. One to watch!

ASR Sentix Survey Analysis - 16th January 2017
16 Jan 2017
: David McBain
Investment Strategy Weekly Update
12 Jan 2017
: Philip Isherwood, Charles Cara, Zahra Ward-Murphy, Michael Hessel, Raphael Olszyna-Marzys, David McBain, Chris Turner, Stefano Di Domizio
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