05 October 2009 at 13:36 GMT
Our Asset Allocation Model has shifted its scenario from “Moderately Bearish” to “Moderately Bullish” after having changed from “Outright Bearish” only two months ago. The reason is a less decelerating global economy (according to our Global Business Cycle Indicator) and that means that the overall allocation has changed and now recommends a bigger, net long (however moderate) position in equities.
| Asset Allocation Weights |
| Scenario | MSCI World | MSCI EM | Commodities | Bonds |
| Moderately Bearish | 43% | 7% | 11% | 40% |
Portfolio
In order to directly or synthetically create the recommended exposure in the present scenario, an investor should allocate capital as follows:
| Portfolio Replication* |
| Position | Exposure | Name (Ticker) | # (1 mio. EUR capital) |
| Long | 42.5% | iShares MSCI World (IQQW:xetr) | 26658 |
| Long | 6.5% | iShares MSCI EM (IEMM:xams) | 4572 |
| Long | 10.9% | Lyxor CRB ETF (CRB:xpar) | 3548 |
| Long | 20% | iShares 1-3 Year US Treasuries (SHY) | 3462 |
| Long | | iShares 1-3 Year EUR Treasuries (IBCA) | 1468 |
* A EUR-denominated investor should get rid of the implicit currency exposure in the portfolio by buying EURUSD worth 20% of the capital allocated to the portfolio. For an investor with a 1 million EUR portfolio, this would equal 200,000 EURUSD.