weekly market review weekly review - endowmentwm.com · ewm weekly market review 2 may 3, 2013...

Weekly Market Review

Talking Points

• Among equities, large-caps underperformed small-caps, and growth stocks outperformed value-oriented issues. Domestic stocks outperformed international equities. Developed markets underperformed emerging market stocks.

• Treasury prices declined slightly on the week. The yield on the 10-year T-note rose slightly.

• Commodity prices rose on the week. Crude oil and grains surged, while gold little changed.

• The dollar was lower against a basket of currencies.

• Among economic data released this week, April nonfarm payrolls rose more than expected and unemployment rate fell to 7.5%, jobless claims fell, trade deficit narrowed, home price appreciation continued to accelerate and consumer confidence rose.

Weekly Highlights

• Domestic stock prices surged. Equity markets surged this week on strong job and housing data. April nonfarm payrolls rose more than expected and March number was revised up sharply. Home price appreciation continued to accelerate as home prices rose 9.3% in February from a year ago according to S&P/CaseShiller 20-City Home-Price Index.

• Global markets also posted strong gains on the week. European Central Bank lowered interest rates at its meeting on Thursday and indicated strong likelihood of further rate cuts.

• Treasury prices posted moderate losses this week. Strong U.S. economic data such as April job data pushed 10-year Treasury yield slightly higher .

• Commodity indices rose during the week. Crude oil and other industrial commodities surged during the week on strong U.S. economic data. Gold little changed after strong rally last week.

Chart of the Week

May 3, 2013Weekly ReviewMay 3, 2013

EWM Weekly Market Review

2

May 3, 2013

MARKET DASHBOARD

Source: Bloomberg

VIX Index

Last Price

1.7510-Year US Treas.

DJ UBS Comm. Idx.

Gold

Crude Oil

Dollar Index

-0.76

133.12

$1,470.20

$95.47

82.10

12.85

9 bps

1.20

$8.38

$2.50

-0.40

Change

-5.6%

YTD %

0 bps

-4.3%

-12.2%

2.1%

2.9%

-28.7%

% Chg.

NM

0.9%

0.6%

2.7%

-0.5%

Change

-2.8%

% Chg.

2.0%

1.8%

3.0%

2.0%

1.7%

1.0%

YTD %

13.2%

14.3%

11.9%

12.4%

7.6%

261.41

99.37

19.17

Shanghai Composite

5.15

S&P 500

Dow Industrials

Nasdaq

Russell 2000

Euro Stoxx Index

20.96

Last Price

1,614.42

14,973.96

3,378.63

954.42

301.04

2,205.50

32.18

0.7

0.8

0.9

1

1.1

1.2

1.3

Apr-11 Jun-11 Aug-11 Oct-11 Dec-11 Feb-12 Apr-12 Jun-12 Aug-12 Oct-12 Dec-12 Feb-13 Apr-13

Source: Bloomberg

Wealth Index|Growth of $1: Trailing 24 Months

S&P 500 Dow Industrials Small Cap EAFE Emerging Mkts.

L

S

Source: B loomberg

YTD

Value Growth

13.19% 12.71% 12.22%

15.64% 14.85% 13.94%

13.15%12.37%11.64%

One Week

Value Growth

1.17% 1.94% 2.75%

2.04% 2.07% 2.10%

2.21% 2.05% 1.88%1200

1250

1300

1350

1400

1450

1500

1550

1600

1650

11/5 11/19 12/3 12/17 12/31 1/14 1/28 2/11 2/25 3/11 3/25 4/8 4/22

Source: Bloomberg

S&P 500 Index: Trailing 180 Days

% Wgt in

S&P 500

Week %

Chg. YTD % Chg.

Consumer Discretionary 11.8 2.32% 17.0%

Consumer Staples 11.0 0.81% 17.8%

Energy 10.6 2.93% 10.2%

Financials 16.0 1.52% 14.8%

Health Care 12.7 0.28% 19.3%

Industrials 9.9 2.09% 10.9%

Information Technology 17.9 4.61% 6.9%

Materials 3.4 2.37% 5.5%

Telecom Services 3.0 -0.20% 13.6%

Utilities 3.6 -0.31% 16.8%

Source: Bloomberg

Sector Performance: S&P/GICS Sectors

10

12

14

16

18

20

22

24

Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13

Source: Bloomberg

VIX Index: Trailing 180 Days


3

May 3, 2013

134135136137138139140141142143144 Dec-10 Feb-11 Apr-11 Jun-11 Aug-11 Oct-11Index S&P/Case-Shiller Home Price Index-Trailing 12 Mos.

Source: Bloomberg

THE ECONOMY AND MARKETS

A Macro View – April Monthly Recap

Domestic equity markets were generally higher in April despite signs that the economy is slowing modestly. The primary driver of the market’s move was somewhat better-than-expected first quarter earnings reports. Of the 341 companies having reported so far, approximately 70% have exceeded estimates, a slightly higher percentage than a year ago. According to Bloomberg, first quarter earnings of companies that have reported so far increased 3.9% on a year-over-year basis. The first estimate of first quarter real GDP growth was slightly less than forecast, coming in at an annualized 2.5%. Given this backdrop, the S&P 500 gained +1.93% for the quarter, and closed at an all-time high. The Dow Jones Industrial Average ended the month slightly lower, posting a -0.58% decline. The Nasdaq Composite Index, heavily weighted with technology issues, advanced +1.93% during the month. Growth stocks outperformed value issues during the months, and large caps outpaced small caps. Among sectors, telecom services and utilities were the best performing, and industrials and energy were the poorest performers.

International equity markets also fared well during the month, as Europe seems to have moved beyond the issues that threatened the Cyprus financial system. As the situation in Europe continues to slowly improve, growth in China encountered fits and starts, with proposed property curbs creating a chilling effect on other areas of the economy. For the month, international equities outperformed domestic U.S. stocks, with the MSCI World ex-U.S. Index posting a +4.67% return. Among developed markets, Japan fared very well as a result of the aggressive monetary program currently in place. The MSCI Japan Index surged +8.77%, and is up +21.50% on a year-to-date basis. European stocks also performed well in April, as the MSCI Europe Index gained +4.52% for the month.

Fixed-income markets rebounded somewhat in April, largely due to stronger U.S. Treasury prices. Several factors drove Treasury prices higher, and yields lower, during the month, including economic data suggesting the domestic economy is slowing somewhat, an anemic employment report, and a significant drop in inflation. Investors interpreted the data to mean that the Fed will almost certainly maintain its aggressive monetary and interest rate policies for the foreseeable future. For the month, the Barclays U.S. Aggregate Bond Index advanced +1.01%, and is now up +0.89% on a year-to-date basis.

This Week’s Market ActivityEquity markets vaulted ahead this week, in part due to today’s April employment report, which showed stonger-than-expected job growth. The Labor Department reported that payrolls expanded by 165,000 in April, exceeding the consensus estimate of 140,000. In addition, the results for March were revised higher, demonstrating that employers are gaining confidence in the recovery. The unemployment rate also fell to 7.5%, the lowest level in four years. Stocks and commodities rallied on the news, but Treasury prices dropped and yields rose.

0

50

100

150

200

250

300

350

May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13

Tho

usa

nd

s

Non-Farm Payrolls-Trailing 12 Mos.

Source: Bloomberg

7.0

7.2

7.4

7.6

7.8

8.0

8.2

8.4


%

Unemployment Rate-Trailing 12 Mos.

Source: Bloomberg


4

May 3, 2013

134135136137138139140141142143144 Dec-10 Feb-11 Apr-11 Jun-11 Aug-11 Oct-11Index S&P/Case-Shiller Home Price Index-Trailing 12 Mos.

Source: Bloomberg

THIS WEEK IN THE ECONOMY AND MARKETS

280

300

320

340

360

380

400

2/8 2/22 3/8 3/22 4/5 4/19

Tho

usa

nd

s

Initial Jobless Claims-Trailing 12 Wks.

Source: Bloomberg

-4

-2

0

2

4

6

8

10

Apr-12 Jun-12 Aug-12 Oct-12 Dec-12 Feb-13% G

ain

/Lo

ss Y

ear/

Year

S&P/Case-Shiller Home Price Index-YoY % Gain/Loss

Source: BloombergSource: Bloomberg

47

48

49

50

51

52

53

54

55


Ind

ex

ISM Manufacturing Index-Trailing 12 Mos.

Source: Bloomberg

-6

-4

-2

0

2

4

6

Apr-12 Jun-12 Aug-12 Oct-12 Dec-12 Feb-13

% C

han

ge

New Factory Orders - Trailing 12 Mos.

Source: Bloomberg

0

50

100

150

200

250

300


Tho

usa

nd

s

ADP Nat'l. Employment Report - Trailing 12 Mos.

Source: Bloomberg

-3

-2

-1

0

1

2

3

4

5

6

May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13Ind

ex M

on

thly

% C

hg

Pending Home Sales - Trailing 12 Mos.

Source: Bloomberg

EWM Weekly Market Review May 3, 2013

EUROZONE CRISIS

5

Last Change % Chg. YTD % Last Change % Chg. YTD %

Germany 10-Yr. Govt. 1.13 3 bps NM NM France 10-Yr. Govt. 1.58 -3 bps NM NM

Greece 10-Yr. Govt. 9.67 -163 bps NM NM Irish 10-Yr. Govt. 3.07 -20 bps NM NM

Italy 10-Yr. Govt. 3.62 -24 bps NM NM Portugal 10-Yr. Govt. 5.21 -38 bps NM NM

Spain 10-Yr. Govt. 3.86 -24 bps NM NM Netherlands 10-Yr. Govt. 1.39 -1 bps NM NM

Belgium 10-Yr. Govt. 1.65 -3 bps NM NM U.K. 10-Yr. Govt. 1.56 5 bps NM NM

Source: Bloomberg

SELECTED EUROPEAN SOVEREIGN YIELD PERFORMANCE

1.0

1.1

1.2

1.3

1.4

1.5

1.6

1.7

2/4 2/18 3/4 3/18 4/1 4/15 4/29

%

Germany 10-Year Government Bond Yield

Source: Bloomberg

3.0

3.5

4.0

4.5

5.0

5.5

2/4 2/18 3/4 3/18 4/1 4/15 4/29

%

Spain 10-Year Government Bond Yield

Source: Bloomberg

3.0

3.2

3.4

3.6

3.8

4.0

4.2

4.4

4.6

4.8

2/4 2/18 3/4 3/18 4/1 4/15 4/29

%

Italy 10-Year Government Bond Yield

Source: Bloomberg

8

9

9

10

10

11

11

12

12

13

13

2/4 2/18 3/4 3/18 4/1 4/15 4/29

%

Greece 10-Year Government Bond Yield

Source: Bloomberg


EQUITIES

6


S&P 500 1,614.42 32.18 2.03% 13.20% CAC 40 Index (France) 3,912.95 102.90 2.70% 7.47%

Dow Industrials 14,973.96 261.41 1.78% 14.27% DAX Index (Germany) 8,122.29 307.53 3.94% 6.70%

Nasdaq Composite 3,378.63 99.37 3.03% 11.89% Irish Overall Index 3,940.82 79.47 2.06% 16.02%

S&P/TSX (Canada) 12,438.03 217.83 1.78% 0.04% Nikkei 225 13,694.04 -149.42 -1.08% 31.73%

Mexico IPC 42,602.07 705.07 1.68% -2.53% Hang Seng Index 22,689.96 288.72 1.29% 0.15%

Brazil Bovespa 55,488.08 1246.03 2.30% -8.95% Shanghai Composite 2,205.50 20.96 0.96% -2.80%

Euro Stoxx 600 301.04 5.15 1.74% 7.64% Kospi Index (S. Korea) 1,965.71 14.11 0.72% -1.57%

FTSE 100 6,521.46 95.04 1.48% 10.57% Taiwan Taiex Index 8,135.03 112.97 1.41% 5.66%

IBEX 35 (Spain) 8,544.80 247.80 2.99% 4.62% Tel Aviv 25 index 1,204.53 -0.56 -0.05% 1.60%

Swiss Market Index 7,937.61 81.29 1.03% 16.35% MICEX Index (Russia) 1,409.38 37.34 2.72% -4.43%Source: Bloomberg

WORLD MARKET PERFORMANCE

3,000

3,050

3,100

3,150

3,200

3,250

3,300

3,350

3,400

2/1 2/15 3/1 3/15 3/29 4/12 4/26

Ind

exNasdaq Composite-Trailing 90 Days

Source: Bloomberg

2,000

2,050

2,100

2,150

2,200

2,250

2,300

2,350

2,400

2,450

2,500

2/1 2/15 3/1 3/15 3/29 4/12 4/26

Ind

ex

Shanghai Composite Index-Trailing 90 Days

Source: Bloomberg

275

280

285

290

295

300

2/1 2/15 3/1 3/15 3/29 4/12 4/26

Ind

ex

Euro Stoxx Index-Trailing 90 Days

Source: Bloomberg

13,200

13,400

13,600

13,800

14,000

14,200

14,400

14,600

14,800

15,000

2/1 2/15 3/1 3/15 3/29 4/12 4/26

Ind

ex

Dow Jones Industrials -Trailing 90 Days

Source: Bloomberg


EQUITIES – EMERGING AND FRONTIER MARKETS

7


Mexico IPC 42,602.07 705.07 1.7% -2.5% Hang Seng Index 22,689.96 288.72 1.3% 0.1%

Brazil (Bovespa Index) 55,488.08 1246.03 2.3% -8.9% India (Sensex 30) 19,575.64 288.92 1.5% 0.8%

MICEX Index (Russia) 1,409.38 37.34 2.7% -4.4% Malaysia (KLCI Index) 1,694.77 0.00 0.0% 0.3%

Czech Republic (Prague) 964.36 5.88 0.6% -7.2% Singapore (Straits Times Index) 3,369.90 0.00 0.0% 6.4%

Turkey (Istanbul) 89,093.69 3981.41 4.7% 13.9% Thailand (SET Index) 1,578.95 0.00 0.0% 13.4%

Egypt (Hermes Index) 541.22 4.90 0.9% -1.8% Indonesia (Jakarta) 4,925.48 0.00 0.0% 14.1%

Kenya (Nairobi 20 Index) 4,821.17 35.79 0.7% 16.7% Pakistan (Karachi KSE 100) 19,226.63 308.92 1.6% 13.7%

Saudi Arabia (TASI Index) 7,175.36 47.69 0.7% 5.5% Vietnam (Ho Chi Minh) 475.24 0.00 0.0% 14.9%

Lebanon (Beirut BLOM Index) 1,218.55 -8.45 -0.7% 4.2% Sri Lanka (Colombo) 6,013.18 0.00 0.0% 6.6%

Palestine 460.19 -3.35 -0.7% -4.3% Cambodia (Laos) 1,370.36 0.00 0.0% 12.8%Source: Bloomberg

EMERGING AND FRONTIER MARKET PERFORMANCE

50,000

52,000

54,000

56,000

58,000

60,000

62,000

2/1 2/15 3/1 3/15 3/29 4/12 4/26

Ind

ex

Brazil (Bovespa Index)-Trailing 90 Days

Source: Bloomberg

17,000

17,500

18,000

18,500

19,000

19,500

20,000

2/1 2/15 3/1 3/15 3/29 4/12 4/26

Ind

ex

India (Sensex Index)-Trailing 90 Days

Source: Bloomberg

400

420

440

460

480

500

520

540

560

580

600

2/3 2/17 3/3 3/17 3/31 4/14 4/28

Ind

ex

Egypt (Hermes Index)-Trailing 90 Days

Source: Bloomberg

3,150

3,200

3,250

3,300

3,350

3,400

3,450

2/1 2/15 3/1 3/15 3/29 4/12 4/26

Ind

ex

Singapore (Straits Times Index)-Trailing 90 Days

Source: Bloomberg


INTEREST RATES

YIELD CURVES

8


2-Yr. U.S. Treasury 0.22% 0 bps NM NM Prime Rate 3.25% 0.00 NM NM

5-Yr. U.S. Treasury 0.73% 5 bps NM NM Fed Funds Rate 0.25% 0.00 NM NM

10-Yr. U.S. Treasury 1.75% 9 bps NM NM Discount Rate 0.75% 0.00 NM NM

30-Yr. U.S. Treasury 2.97% 11 bps NM NM LIBOR (3 Mo.) 0.28% 0 bps NM NM

German 10-Yr. Govt. 1.24% -3 bps NM NM Bond Buyer 40 Muni 3.78% -5 bps NM NM

France 10-Yr. 1.82% #VALUE! NM NM Bond Buyer 40 G.O. 3.77% NA NM NM

Italy 10-Yr. 3.82% 19 bps NM NM Bond Buyer 40 Rev. 4.19% NA NM NM

Fed 5-Yr Fwd BE Inf. 2.70% -6 bps NM NM

Source: Bloomberg

SELECTED INTEREST RATES

1M 1Y 3Y 5Y 8Y 10Y 15Y 20Y 30Y0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

US Treasury Actives Curve 20130426

US Treasury Actives Curve 20130503

USD US Industrial (B) BFV Curv 20130503

USD Composite (BBB) BFV Curve 20130503

1.40

1.50

1.60

1.70

1.80

1.90

2.00

2.10

11/5 12/5 1/5 2/5 3/5 4/5

Ind

ex

10-Year Treasury Yield - Trailing 180 Days

Source: Bloomberg

1.50

1.55

1.60

1.65

1.70

1.75

1.80

1.85

1.90

11/5 12/5 1/5 2/5 3/5 4/5

Ind

ex

BBB/Baa- 10-Yr Treas. Spread Rising Line = Risk Aversion

Source: Bloomberg

Source: Bloomberg


CURRENCIES

9

77

78

79

80

81

82

83

84

11/5 12/5 1/5 2/5 3/5 4/5

U.S. Dollar Index - Trailing Six Months

Source: Bloomberg

1.22

1.24

1.26

1.28

1.30

1.32

1.34

1.36

1.38

11/5 12/5 1/5 2/5 3/5 4/5

Euro - U.S. Dollars per Euro

Source: Bloomberg

75.00

80.00

85.00

90.00

95.00

100.00

105.00

11/5 12/5 1/5 2/5 3/5 4/5

Japanese yen - Yen per U.S. Dollar

Source: Bloomberg


Dollar Index 82.11 -0.401 -0.49% 2.92% Chinese Yuan 6.16 -0.009 0.14% 1.21%

Euro 1.31 0.009 0.67% -0.58% Swiss Franc 0.94 -0.008 0.80% -2.14%

Japanese Yen 99.02 0.990 -1.00% -12.41% New Zealand Dollar 0.85 0.006 0.67% 3.00%

British Pound 1.56 0.010 0.65% -4.20% Brazilian Real 2.01 0.011 -0.54% 2.09%

Canadian Dollar 1.01 -0.008 0.82% -1.62% Mexican Peso 12.08 -0.069 0.57% 6.44%

SELECTED CURRENCY PERFORMANCE

Source: Bloomberg

6.10

6.12

6.14

6.16

6.18

6.20

6.22

6.24

6.26

11/5 12/5 1/5 2/5 3/5 4/5

Chinese yuan - yuan per U.S. Dollar

Source: Bloomberg


COMMODITIES

10

75

80

85

90

95

100

105

11/5 12/5 1/5 2/5 3/5 4/5

$ p

er b

arre

l

Crude Oil - Light Crude ($ per barrel)

Source: Bloomberg

1,300

1,350

1,400

1,450

1,500

1,550

1,600

1,650

1,700

1,750

1,800

11/5 12/5 1/5 2/5 3/5 4/5

$ p

er o

un

ce

Gold - Spot gold price ($ per ounce)

Source: Bloomberg

6,000

6,500

7,000

7,500

8,000

8,500

11/5 12/5 1/5 2/5 3/5 4/5

Ind

ex

Copper

Source: Bloomberg

500

550

600

650

700

750

800

11/5 12/5 1/5 2/5 3/5 4/5

$ p

er b

ush

el

Corn - Active Contract

Source: Bloomberg


DJ UBS Comm. Idx. 133.12 1.20 0.91% -4.28% Platinum Spot $1,499.65 $22.15 1.50% -2.62%

Rogers Int. Comm. Idx. 3545.40 -15.94 -0.45% -3.98% Corn 661.25 41.50 6.70% -5.16%

Crude Oil $95.45 $2.50 2.69% 2.15% Wheat 721.00 28.50 4.12% -9.17%

Natural Gas $4.05 -$0.17 -4.00% 15.56% Soybeans 1,387.25 6.25 0.45% -0.57%

Gasoline ($/Gal.) $3.52 $0.02 0.57% 6.99% Sugar 17.53 0.00 0.00% -11.20%

Heating Oil 287.94 1.40 0.49% -4.24% Orange Juice 144.00 0.00 0.00% 18.71%

Gold Spot $1,470.69 $8.38 0.57% -12.24% Aluminum 1,811.00 -67.00 -3.57% -12.64%

Silver Spot $24.13 $0.12 0.48% -20.52% Copper 6,848.00 -182.00 -2.59% -13.66%

Source: Bloomberg

SELECTED COMMODITY MARKET PERFORMANCE


ALTERNATIVE INVESTMENTS

11

1,160

1,165

1,170

1,175

1,180

1,185

1,190

1,195

2/4 2/18 3/4 3/18 4/1 4/15 4/29

Ind

ex

HFRX Global Hedge Fund Index - Trailing 90 Days

Source: Bloomberg

934

936

938

940

942

944

946

2/4 2/18 3/4 3/18 4/1 4/15 4/29

Ind

ex

HFRX Equity Market Neutral - Trailing 90 Days

Source: Bloomberg

1,220

1,230

1,240

1,250

1,260

1,270

1,280

1,290

2/4 2/18 3/4 3/18 4/1 4/15 4/29

Ind

ex

IQ Fixed Income Beta Arb Index - Trailing 90 Days

Source: Bloomberg

1,060

1,065

1,070

1,075

1,080

1,085

1,090

1,095

1,100

1,105

1,110

1,115

2/4 2/18 3/4 3/18 4/1 4/15 4/29

Ind

ex

HFRX Equity Hedge Index - Trailing 90 Days

Source: Bloomberg


HFRX Global Hedge Fund Index 1189.24 1.13 0.10% 3.64% HFRX Distressed Index 974.06 4.55 0.47% 2.21%

HFRX Equity Market Neutral 942.96 -2.09 -0.22% 0.57% HFRX Merger Arbitrage Index 1532.61 -2.18 -0.14% 1.75%

HFRX Equity Hedge Index 1105.14 1.51 0.14% 5.39% HFRX Convertible Arbitrage Index 745.24 0.32 0.04% 6.03%

HFRX Event-Driven Index 1468.62 1.57 0.11% 5.96% HFRX Macro CTA Index 1156.70 2.43 0.21% 0.71%

HFRX Absolute Return Index 962.61 -1.52 -0.16% 0.81% IQ Fixed Income Beta Arb Index 1286.30 -0.92 -0.07% 3.98%

Source: Bloomberg

SELECTED ALTERNATIVE INVESTMENT INDEX PERFORMANCE


0.315

0.320

0.325

0.330

0.335

0.340

0.345

0.350

11/5 12/5 1/5 2/5 3/5 4/5

Ind

ex

High Yield/Inv. Grade Bonds - Trailing 180 Days

Source: Bloomberg

2.40

2.45

2.50

2.55

2.60

2.65

2.70

11/5 12/5 1/5 2/5 3/5 4/5

Ind

ex

S&P 500/MSCI EAFE - Trailing 180 Days

Source: Bloomberg

1.15

1.20

1.25

1.30

1.35

1.40

1.45

1.50

11/5 12/5 1/5 2/5 3/5 4/5In

dex

MSCI EAFE/MSCI EM - Trailing 180 Days

Source: Bloomberg

2.90

3.00

3.10

3.20

3.30

3.40

3.50

3.60

3.70

3.80

3.90

11/5 12/5 1/5 2/5 3/5 4/5

Ind

ex

S&P 500/MSCI EM - Trailing 180 Days

Source: Bloomberg

0.35

0.36

0.37

0.38

0.39

0.40

0.41

0.42

11/5 12/5 1/5 2/5 3/5 4/5

Ind

ex

Large Cap/Small Cap - Trailing 180 Days

Source: Bloomberg

0.53

0.53

0.54

0.54

0.55

0.55

0.56

0.56

0.57

0.57

0.58

11/5 12/5 1/5 2/5 3/5 4/5

Ind

ex

Growth/Value - Trailing 180 Days

Source: Bloomberg

0.180

0.185

0.190

0.195

0.200

0.205

0.210

11/5 12/5 1/5 2/5 3/5 4/5

Ind

ex

Info Tech/S&P 500 - Trailing 180 Days

Source: Bloomberg

1.80

1.81

1.82

1.83

1.84

1.85

1.86

11/5 12/5 1/5 2/5 3/5 4/5

Ind

ex

Inv. Grade Bonds/Int. Govt. Bonds - Trailing 180 Days

Source: Bloomberg

0.57

0.58

0.59

0.60

0.61

0.62

0.63

0.64

11/5 12/5 1/5 2/5 3/5 4/5

Ind

ex

High Yield Bonds/Int. Govt. Bonds - Trailing 180 Days

Source: Bloomberg

May 3, 2013

12

PORTFOLIO CONSTRUCTION


13

May 3, 2013

The Relative Strength Matrix provides an indication of how the various asset classes have performed relative to one another over the past 30 days. A number greater than 1.0 indicates that the asset class in the far left column has outperformed the corresponding asset class in the top row over the past 30 days. A number below 1.0 means the asset class on the left has underperformed the asset class at the top. The green shading indicates outperformance, and the red shading indicates underperformance.

Source: Bloomberg

2/28 3/7 3/14 3/21 3/28 4/4 4/11 4/18 4/25 5/2

Large Cap

(R200)0.72% 1.99% 1.10% -1.05% 1.50% -0.37% 2.02% -3.15% 2.63% 0.87%

Small Cap

(R2000)0.63% 2.57% 1.98% -0.96% 0.81% -2.72% 2.31% -4.81% 4.30% -0.05%

MSCI EAFE 1.06% 0.89% 1.00% -0.77% -0.70% -0.92% 3.91% -3.27% 3.65% 0.51%

MSCI Em.

Mkts.0.14% 0.31% -0.97% -2.41% 1.00% -1.51% 1.20% -3.10% 3.01% 0.98%

BarCap Agg.

(AGG)0.53% -0.62% -0.03% 0.24% 0.33% 0.14% -0.04% 0.35% 0.03% 0.13%

High Yield

(JNK)0.28% -0.01% 0.39% 0.02% 0.12% -0.66% 0.81% -0.27% 1.07% 0.48%

DJ UBS Index -0.19% 0.15% 1.07% -0.17% -0.38% -2.79% 1.03% -2.53% 0.77% -0.77%

Hedge Funds

(HFRX Global)0.21% 0.53% 0.33% -0.09% -0.05% -0.39% 0.59% -0.52% 0.74% 0.08%

60/40* 0.65% 0.78% 0.64% -0.56% 0.60% -0.58% 1.51% -1.96% 1.98% 0.45%

48/32/20

(w/Alts.)**0.56% 0.73% 0.58% -0.47% 0.47% -0.54% 1.33% -1.67% 1.73% 0.38%

Source: Bloomberg; *60/40 portfolio = 30% Large Cap/10% Small Cap/15% EAFE/5% Emerging Markets/35% BarCap Agg./5% High Yield.

**48/32/20 portfolio = 24% Large Cap/8% Small Cap/12% EAFE/4% Emerging Markets/28% BarCap Agg./4% High Yield/20% HFRX Global Index.

WEEKLY ASSET CLASS PERFORMANCE (Prior 10 weeks ending Thursday)

Alternatives

Asset Allocation

Domestic

Equity

Int'l.

Equity

Fixed Income

Commodities

Equity

Large Cap

Core

Large Cap

Growth

Large Cap

Value

Mid Cap

Core

Mid Cap

Growth

Mid Cap

Value

Small Cap

Core

Small Cap

Growth

Small Cap

Value

Int'l.

Developed

Emerging

Markets REITs Comm. Int. Bond High Yield

Large Cap Core 1.00 0.98 1.03 1.02 1.01 1.03 1.10 1.09 1.10 0.99 1.14 0.90 1.40 1.02 0.96

Large Cap Growth 1.02 1.00 1.05 1.04 1.03 1.05 1.12 1.11 1.12 1.01 1.16 0.92 1.42 1.04 0.98

Large Cap Value 0.98 0.96 1.00 0.99 0.99 1.00 1.07 1.06 1.07 0.97 1.11 0.88 1.36 1.00 0.94

Mid Cap Core 0.98 0.96 1.01 1.00 0.99 1.01 1.07 1.07 1.08 0.98 1.12 0.88 1.37 1.00 0.94

Mid Cap Growth 0.99 0.97 1.01 1.01 1.00 1.01 1.08 1.08 1.09 0.98 1.12 0.89 1.38 1.01 0.95

Mid Cap Value 0.97 0.96 1.00 0.99 0.99 1.00 1.07 1.06 1.07 0.97 1.11 0.88 1.36 1.00 0.93

Small Cap Core 0.91 0.90 0.94 0.93 0.92 0.94 1.00 1.00 1.01 0.91 1.04 0.82 1.27 0.93 0.88

Small Cap Growth 0.92 0.90 0.94 0.93 0.93 0.94 1.00 1.00 1.01 0.91 1.04 0.83 1.28 0.94 0.88

Small Cap Value 0.91 0.89 0.93 0.93 0.92 0.93 1.00 0.99 1.00 0.90 1.03 0.82 1.27 0.93 0.87

Int'l. Developed 1.01 0.99 1.03 1.03 1.02 1.03 1.10 1.10 1.11 1.00 1.14 0.91 1.40 1.03 0.96

Emerging Markets 0.88 0.86 0.90 0.90 0.89 0.90 0.96 0.96 0.97 0.87 1.00 0.79 1.23 0.90 0.84

REITs 1.11 1.09 1.14 1.13 1.12 1.14 1.21 1.21 1.22 1.10 1.26 1.00 1.55 1.13 1.06

Commodities 0.72 0.70 0.73 0.73 0.73 0.74 0.78 0.78 0.79 0.71 0.81 0.65 1.00 0.73 0.69

Int. Bond 0.98 0.96 1.00 1.00 0.99 1.00 1.07 1.07 1.08 0.97 1.11 0.88 1.36 1.00 0.94

High Yield 1.04 1.02 1.07 1.06 1.06 1.07 1.14 1.14 1.15 1.04 1.19 0.94 1.46 1.07 1.00

RELATIVE STRENGTH MATRIX (BASED ON 30-DAY RSI)


14FOR FINANCIAL ADVISOR USE ONLY. NOT FOR DISTRIBUTION TO THE PUBLIC.

INDEX OVERVIEW The S&P 500 Index is an unmanaged index comprised of 500 widely held securities considered to be representative of the stock market in general. The S&P/Case-Shiller Home Price Indices measure the residential housing market, tracking changes in the value of the residential real estate market in 20 metropolitan regions across the United States. The MSCI EAFE Index represents 21 developed markets outside of North America. The MSCI EAFE Growth Index is an unmanaged index considered representative of growth stocks of Europe, Australasia and the Far East. The MSCI EAFE Value Index is an unmanaged index considered representative of value stocks of Europe, Australasia and the Far East. The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets. The MSCI Europe Index is an unmanaged index considered representative of stocks of developed European countries. The Barclays US Credit Index is an unmanaged index considered representative of publicly issued, SEC-registered US corporate and specified foreign debentures and secured notes. The Barclays US Aggregate Bond Index is a market capitalization-weighted index of investment-grade, fixed-rate debt issues, including government, corporate, asset-backed, and mortgage-backed securities, with maturities of at least one year. The Barclays US Corporate High Yield Index covers the USD-denominated, non-investment grade, fixed-rate, taxable corporate bond market. Securities are classified as high-yield if the middle rating of Moody’s, Fitch and S&P is Ba1/BB+/BB+ or below. The index may include emerging market debt. The Barclays Capital Municipal Bond Index is an unmanaged index comprised of investment-grade, fixed-rate municipal securities representative of the tax-exempt bond market in general. The Barclays US Treasury Total Return Index is an unmanaged index of public obligations of the US Treasury with a remaining maturity of one year or more. The Citigroup World Government Bond Index is a market capitalization weighted bond index consisting of the government bond markets of Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Ireland, Italy, Japan, Malaysia, Mexico, the Netherlands, Norway, Poland, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The DJ-UBS Commodity Index Total ReturnSM measures the collateralized returns from a basket of 19 commodity futures contracts representing the energy, precious metals, industrial metals, grains, softs and livestock sectors. The Russell 1000 Index is a market capitalization-weighted benchmark index made up of the 1000 largest U.S. companies in the Russell 3000 Index. The Russell 1000 Growth Index is an unmanaged index considered representative of large-cap growth stocks. The Russell 1000 Value Index is an unmanaged index considered representative of large-cap value stocks. The Russell 2000 Index is an unmanaged index considered representative of small-cap stocks. The Russell 2000 Growth Index is an unmanaged index considered representative of small-cap growth stocks. The Russell 2000 Growth Index is an unmanaged index considered representative of small-cap value stocks. The Russell 3000 Index is an unmanaged index considered representative of the US stock market. The Russell Midcap Index is a subset of the Russell 1000 Index. It includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership. The Russell Midcap Growth Index is an unmanaged index considered representative of mid-cap growth stocks. The Russell Midcap Value Index is an unmanaged index considered representative of mid-cap value stocks. The HFRX Indices are a series of benchmarks of hedge fund industry performance which are engineered to achieve representative performance of a larger universe of hedge fund strategies. Hedge Fund Research, Inc. employs the HFRX Methodology (UCITS compliant), a proprietary and highly quantitative process by which hedge funds are selected as constituents for the HFRX Indices. The Consumer Price Index (CPI) measures the change in the cost of a fixed basket of products and services. The Gross Domestic Product (GDP) rate is a measurement of the output of goods and services produced by labor and property located in the United States. The information, analysis, and opinions expressed herein are for general and educational purposes only. Nothing contained in this weekly review is intended to constitute legal, tax, accounting, securities, or investment advice, nor an opinion regarding the appropriateness of any investment, nor a solicitation of any type. All investments carry a certain risk, and there is no assurance that an investment will provide positive performance over any period of time. An investor may experience loss of principal. Investment decisions should always be made based on the investor’s specific financial needs and objectives, goals, time horizon, and risk tolerance. The asset classes and/or investment strategies described may not be suitable for all investors and investors should consult with an investment advisor to determine the appropriate investment strategy. Past performance is not indicative of future results. Information obtained from third party sources are believed to be reliable but not guaranteed. Endowment Wealth Management makes no representation regarding the accuracy or completeness of information provided herein. All opinions and views constitute our judgments as of the date of writing and are subject to change at any time without notice. Investments in smaller companies carry greater risk than is customarily associated with larger companies for various reasons such as volatility of earnings and prospects, higher failure rates, and limited markets, product lines or financial resources. Investing overseas involves special risks, including the volatility of currency exchange rates and, in some cases, limited geographic focus, political and economic instability, and relatively illiquid markets. Income (bond) securities are subject to interest rate risk, which is the risk that debt securities in a portfolio will decline in value because of increases in market interest rates. Exchange Traded Funds (ETFs) are subject to risks similar to those of stocks, such as market risk. Investing in ETFs may bear indirect fees and expenses charged by ETFs in addition to its direct fees and expenses, as well as indirectly bearing the principal risks of those ETFs. ETFs may trade at a discount to their net asset value and are subject to the market fluctuations of their underlying investments. Investing in commodities can be volatile and can suffer from periods of prolonged decline in value and may not be suitable for all investors. Index Performance is presented for illustrative purposes only and does not represent the performance of any specific investment product or portfolio. An investment cannot be made directly into an index.


15

Alternative Investments may have complex terms and features that are not easily understood and are not suitable for all investors. You should conduct your own due diligence to ensure you understand the features of the product before investing. Alternative investment strategies may employ a variety of hedging techniques and non-traditional instruments such as inverse and leveraged products. Certain hedging techniques include matched combinations that neutralize or offset individual risks such as merger arbitrage, long/short equity, convertible bond arbitrage and fixed-income arbitrage. Leveraged products are those that employ financial derivatives and debt to try to achieve a multiple (for example two or three times) of the return or inverse return of a stated index or benchmark over the course of a single day. Inverse products utilize short selling, derivatives trading, and other leveraged investment techniques, such as futures trading to achieve their objectives, mainly to track the inverse of their benchmarks. As with all investments, there is no assurance that any investment strategies will achieve their objectives or protect against losses. Neither Endowment Wealth Management nor its representatives render tax, accounting or legal advice. Any tax statements contained herein are not intended or written to be used, and cannot be used, for the purpose of avoiding U.S. federal, state, or local tax penalties. Taxpayers should always seek advice based on their own particular circumstances from an independent tax advisor. Copyright Endowment Wealth Management, Inc. All rights reserved

ABOUT Endowment Wealth Management, Inc. We are a Multi-Client Family Office whose sole mission is to provide wealth sustainability for individuals, families, retirement plans and institutions through the utilization of the Endowment Investment Philosophy. We manage our client’s financial wealth to enhance the human capital of their future generations. We work closely with our clients to develop an integrated long-term wealth plan that maximizes the benefit gained by integrating all of our individuals or families wealth producing assets. We are different from many other firms, in the way we build our portfolios on behalf of our clients.

For more information on Endowment Wealth Management, Inc., please visit www.EndowmentWM.com.

weekly market review weekly review - endowmentwm.com · ewm weekly market review 2 may 3, 2013...

Documents