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3、king their investment decision.their investment decision. Refer to important disclosures on page Refer to important disclosures on page 1818 to to 1919. . 11005 Global Fund Manager Survey Icarus takes flightIcarus takes flight Investment StrategyInvestment Strategy 14 February 201714 Febr

4、uary 2017 Icarus takes flight Icarus takes flight 1. FMS cash dips in Feb to 4.9% from 5.1%, but cash level high (10-year avg = 4.5%) we remain long stocks meanwhile 15% say “stagflation” (a 3-month low) and while 43% expect “secular stagnation” this figure down sharply from 88% one year ago. 3. FMS

5、 ranks most likely bear market catalysts as follows: protectionism = 34%, higher rates = 28%, financial event = 18%, weaker EPS = 15%. FMS says best protectionist investment (and thus barometer of protectionist risk) = gold. 4. FMS says most crowded trade = long US dollar (= big reason US$ down YTD)

6、. FMS asset allocation data since 2001 for everything else; note US$, EUR data since 2001 for everything else; note USD, EUR defensive = staples, telcos for “sell” signals, the median return for global equities would have been 5.8% loss over the subsequent three months with a hit-rate of 77%. Table

7、1: BofAML Global FMS Macro* Indicator and global equity backtest performance Buy signals and MSCI ACWI backtest performance +1m +2m +3m +4m +5m +6m Backtest median 1.7% 3.3% 4.5% 5.9% 5.2% 4.6% Backtest hit ratio 62% 66% 79% 72% 57% 61% # of backtest signals 29 Sell signals and MSCI ACWI backtest pe

8、rformance +1m +2m +3m +4m +5m +6m Backtest median 0.8% (3.0%) (5.8%) (8.1%) (7.4%) (4.9%) Backtest hit ratio 46% 77% 77% 77% 69% 69% # of backtest signals 13 * Inflation expectations, capex demand, risk appetite, cyclicals vs defensive sector positioning and equity vs bond positioning. Source: BofA

9、Merrill Lynch Global Investment Strategy, FMS, Bloomberg Backtesting is hypothetical in nature and reflects application of the screen prior to its introduction. It is not intended to be indicative of future performance. Past performance should not and cannot be viewed as an indicator of future perfo

10、rmance. 6 6 Global Fund Manager Survey | 14 February 2017 On MacroOn Macro Exhibit 10: What economic outcome do you expect new populist policies to induce? “Populist policies” would most likely induce 37% think inflation 36% think stagflation 7% think goldilocks Just 14% think recession or stagnatio

11、n Source: BofA Merrill Lynch Global Fund Manager Survey Exhibit 11: How soon do you expect tax reform to be passed in the US? The BofAML FX “goldilocks” = above-trend growth “stagflation” = below-trend growth “secular stagnation” = below-trend growth or (ii) a debt security (including equity preferr

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31、imited, Frankfurt Branch (BAMLI Frankfurt) distributes this report in Germany and is regulated by BaFin. This research report has been prepared and issued by MLPF periphery shorts make a new record low as sentiment gets ever more bearish In the UK, glass half full remains the consensus view, with mo

32、st investors confident in an eventual EU-UK transition deal Our survey was conducted on 03-08 February2017. A total of 81 Fund Managers responded, with USD 363.5bn AUM. Responses came from the UK, Continental Europe, Asia and 2) How is your portfolio structured in terms of duration exposure?” Respon

33、ses are weighted to create a Bull-Bear index from -100 to 100. There are five responses from which to choose: Heavily Overweight, Moderately Overweight, Neutral, Moderately Underweight, and Heavily Underweight. An index value of zero represents a neutral, or benchmark, weight. 1 The formula used to

34、calculate the Bull-Bear Index (B/B) is as follows: B/B= (% Heavy Overweight * 1.0) + (% Moderately Overweight * 0.5) + (% Neutral * 0) - (% Moderately Underweight * 0.5) - (% Heavily Underweight * 1.0). *BofAML makes no representations or warranties whatsoever as to the data and information provided

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