March Economic Report Month ending March 31, 2015
MARKET DASHBOARD Last Price Change % Chg. YTD % Last Price Change % Chg. YTD % S&P 500 2,102.06 24.22 1.17% 1.6% Russell Global EM 3,201.86 106.44 3.44% 7.4% Dow Industrials 18,057.65 195.49 1.10% 0.8% 10-Year US Treas. 1.95 3 bps NM NM Nasdaq 4,995.98 87.63 1.79% 5.0% DJ UBS Comm. Idx. 99.47-0.61-0.61% -5.0% Russell 2000 1,264.78 3.45 0.27% 4.5% Gold $1,208.17 -$1.66-0.14% 1.8% Euro Stoxx 412.93 13.94 3.50% 20.2% Crude Oil $51.72 $1.53 3.11% -7.8% Shanghai Composite 4,034.31 208.53 5.45% 24.7% Dollar 99.40 3.00 3.11% 10.3% Russell Global 1,809.56 28.60 1.61% 4.5% VIX 12.52-1.58-10.77% -31.8% ; % change is based on price. S&P 500 : Trailing 180 Days 2150 2100 2050 2000 1950 1900 1850 1800 1750 1700 9/23 10/7 10/21 11/4 11/18 12/2 12/16 12/30 1/13 1/27 2/10 2/24 3/10 L S One Week YTD Value Growth Value Growth 1.08% 1.24% 1.38% -1.74% 1.14% 3.99% 0.27% 0.89% 1.44% 2.41% 4.58% 6.60% -0.42% 0.27% 0.94% 1.61% 4.52% 7.40% Sector Performance: S&P/Global Industry Classification Sectors (GICS) % Wgt in S&P 500 Week % Chg. YTD % Chg. Consumer Discretionary 12.6 0.96% 5.9% Consumer Staples 9.7 0.82% 1.9% Energy 8.2 2.58% -0.7% Financials 16.2 0.12% -2.0% Health Care 14.9 2.03% 7.2% Industrials 10.3 1.46% -0.6% Information Technology 19.6 1.49% 1.1% Materials 3.2 1.24% 1.9% Telecom Services 2.2-0.96% 1.0% Utilities 3.0-0.59% -6.2% 28 26 24 22 20 18 16 14 12 VIX : Trailing 180 Days 10 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 1.5 1.4 1.3 1.2 1.1 1 0.9 0.8 0.7 Wealth Growth of $1: Trailing 24 Months Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 S&P 500 Dow Industrials Small Cap EAFE Emerging Mkts. 1
S&P/Case-Shiller Home Price -Trailing 12 Mos. 144 143 142 141 140 139 138 137 136 135 134 Dec-10 Feb-11 Apr-11 Jun-11 Aug-11 Oct-11 THE ECONOMY AND MARKETS A Macro View March Monthly Recap Domestic equity markets were generally lower in March, continuing the up-and-down performance that has been characteristic so far in 2015. Markets assimilated economic data that, while still trending higher, has slowed somewhat recently. The government s third estimate of fourth quarter real Gross Domestic Product (GDP) came in at +2.2%, the same as the prior estimate, but below the rate of the third quarter. Investors also continue to analyze the Federal Reserve s (Fed) likely next move with respect to interest rates. The Fed is weighing how soon to begin to normalize interest rates, as well as when to begin to reduce the size of its balance sheet. Inflation is not yet an issue, but many analysts believe the Fed will begin to hike rates sometime in the fall. Within this context, stocks on balance generated modest losses in March. The S&P 500 declined -1.6% for the month, reducing its year-to-date return to +0.95. The Dow Jones Industrials (DJIA) retreated -1.9% for the month. The tech-heavy Nasdaq Composite gave up -1.2% in March. The Russell 2000 of small cap stocks materially outperformed the Russell 1000 of large cap stocks, with returns of +1.7% and -1.3%, respectively. Growth stocks continued their strong performance relative to value stocks during the month. In terms of sector performance, the top performers in the month were health care, consumer discretionary and financials, with returns of +0.9%, -0.5% and -0.6%, respectively. Materials and telecom services were the poorest performers, with returns of -4.7% and -3.7%, respectively. Commodities once again dropped sharply, shedding -5.4% for the month, and the asset class is now down -27% over the past year. International equity markets overall had a difficult month as well. Economic growth remains lackluster, and investors are wondering whether the European Central Bank s (ECB) recently announced asset purchase program will have the intended effects. The MSCI World ex-u.s. fell -1.6% for the month, reducing its gain for the year to +4.0%. Emerging markets also declined in March, as moderating world growth kept those markets in check. The MSCI Emerging Markets eased by -1.4% for the month, and the MSCI EAFE, which measures developed markets performance, was also down -1.4%. Regionally, China was the best performer on a relative basis, gaining +2.4%. Latin America and Europe were among the poorest relative performers, with results of -7.5% and -2.6%, respectively. Fixed-income markets were modestly higher in March, coinciding with the decline in equities, and speculation as to when the Fed would begin to raise interest rates. Within this environment, the 10-year U.S. Treasury yield ended the month at 1.93%, down seven basis points from the 2.00% level of February 28th. Broad-based fixed-income indices fared decently during March, with the Barclays U.S. Aggregate Bond advancing +0.5% for the month. Global fixed-income markets remained mired in a downward trend, as the Barclays Global Aggregate ex-u.s. fell -2.9% for the month. Intermediate-term corporate bonds reversed course from the prior month, as the Barclays U.S. Corporate 5-10 Year advanced by +0.4%. The Barclays U.S. Corporate High Yield eased, retreating by -0.6%. Municipals returned to generating positive performance, gaining +0.3% for the month. 2
% % % % EUROZONE SELECTED EUROPEAN SOVEREIGN YIELD PERFORMANCE Last Change % Chg. YTD % Last Change % Chg. YTD % Germany 10-Yr. Govt. 0.16 3 bps NM NM France 10-Yr. Govt. 0.45 4 bps NM NM Greece 10-Yr. Govt. 11.11 31 bps NM NM Ireland 10-Yr. Govt. 0.71 4 bps NM NM Italy 10-Yr. Govt. 1.30 0 bps NM NM Portugal 10-Yr. Govt. 1.63 7 bps NM NM Spain 10-Yr. Govt. 1.24-2 bps NM NM Netherlands 10-Yr. Govt. 0.31 5 bps NM NM Belgium 10-Yr. Govt. 0.43 3 bps NM NM U.K. 10-Yr. Govt. 1.57 2 bps NM NM Basis points (bps) 0.45 Germany 10-Year Government Bond Yield 1.8 Spain 10-Year Government Bond Yield 0.40 1.7 0.35 0.30 0.25 0.20 0.15 0.10 1.6 1.5 1.4 1.3 1.2 0.05 1.1 0.00 2/26 3/12 3/26 4/9 1.0 1/21 2/4 2/18 3/4 3/18 4/1 1.5 Italy 10-Year Government Bond Yield 13.0 Greece 10-Year Government Bond Yield 1.4 12.0 1.4 11.0 10.0 1.3 9.0 1.3 8.0 1.2 1.2 7.0 6.0 5.0 1.1 2/26 3/12 3/26 4/9 4.0 1/21 2/4 2/18 3/4 3/18 4/1 3
EQUITIES WORLD MARKET PERFORMANCE Last Change % Chg. YTD % Last Change % Chg. YTD % S&P 500 2,102.06 24.22 1.17% 1.57% Swiss Market 9,471.46 262.78 2.88% 4.56% Dow Industrials 18,057.65 195.49 1.10% 0.76% CAC 40 (France) 5,240.46 134.81 2.66% 21.91% Nasdaq Composite 4,995.98 87.63 1.79% 5.04% DAX (Germany) 12,374.73 199.05 1.66% 24.08% Russell Global 1,809.56 28.60 1.61% 4.5% Irish Overall 6,232.29 211.99 3.52% 19.39% Russell Global EM 3,201.86 106.44 3.44% 7.4% Nikkei 225 19,907.63 485.43 2.50% 14.15% S&P/TSX (Canada) 15,388.43 299.69 1.99% 4.74% Hang Seng 27,272.39 2073.34 8.33% 14.27% Mexico IPC 44,882.01 710.33 1.61% 4.10% Shanghai Composite 4,034.31 208.53 5.45% 24.72% Brazil Bovespa 54,214.11 679.64 1.28% 7.59% Kospi (S. Korea) 2,087.76 33.65 1.65% 8.53% Euro Stoxx 600 412.93 13.94 3.50% 20.20% Taiwan Taiex 9,617.70-3.53-0.04% 3.11% FTSE 100 7,089.77 181.90 2.66% 6.84% Tel Aviv 25 1,650.84 9.97 0.61% 12.69% IBEX 35 (Spain) 11,749.30 100.60 0.86% 14.16% MICEX (Russia) 1,657.02-13.87-0.82% 19.40% ; % change is based on price. Dow Jones Industrial Average -Trailing 90 Days 18,400 18,200 18,000 17,800 17,600 17,400 17,200 17,000 16,800 16,600 1/9 1/23 2/6 2/20 3/6 3/20 4/3 Nasdaq Composite-Trailing 90 Days 5,100 5,000 4,900 4,800 4,700 4,600 4,500 4,400 4,300 1/9 1/23 2/6 2/20 3/6 3/20 4/3 4,500 Shanghai Composite -Trailing 90 Days 420 Euro Stoxx -Trailing 90 Days 4,000 400 3,500 380 360 3,000 340 2,500 320 2,000 1/9 1/23 2/6 2/20 3/6 3/20 4/3 300 1/9 1/23 2/6 2/20 3/6 3/20 4/3 4
Yield % INTEREST RATES SELECTED INTEREST RATES Last Change % Chg. YTD % Last Change % Chg. YTD % 2-Yr. U.S. Treasury 0.55% -1 bps NM NM Prime Rate 3.25% 0.00 NM NM 5-Yr. U.S. Treasury 1.40% 5 bps NM NM Fed Funds Rate 0.25% 0.00 NM NM 10-Yr. U.S. Treasury 1.95% 3 bps NM NM Discount Rate 0.75% 0.00 NM NM 30-Yr. U.S. Treasury 2.58% 7 bps NM NM LIBOR (3 Mo.) 0.27% 0 bps NM NM German 10-Yr. Govt. 0.16% 3 bps NM NM Bond Buyer 40 Muni 3.68% 2 bps NM NM France 10-Yr. 0.45% 4 bps NM NM Bond Buyer 40 G.O. 3.49% NA NM NM Italy 10-Yr. 1.30% 0 bps NM NM Bond Buyer 40 Rev. 4.18% NA NM NM Fed 5-Yr Fwd BE Inf. 1.87% -1 bps NM NM 6.00 5.00 YIELD CURVES 4.00 US Treasury Actives Curve 20150403 US Treasury Actives Curve 20150410 USD US Industrial (BB) BFV Cur 20150410 USD Composite (BBB) BFV Curve 20150410 3.00 2.00 1.00 0.00 1M 1Y 3Y 5Y 8Y 10Y 15Y 20Y 30Y 10-Year Treasury Yield - Trailing 180 Days 2.50 2.40 2.30 2.20 2.10 2.00 1.90 1.80 1.70 1.60 1.50 BBB/Baa- 10-Yr Treas. Spread Rising Line = Risk Aversion 1.90 1.80 1.70 1.60 1.50 1.40 1.30 1.20 1.10 1.00 5
CURRENCIES SELECTED CURRENCY PERFORMANCE Last Change % Chg. YTD % Last Change % Chg. YTD % Dollar 99.33 2.363 2.45% 9.57% Chinese Yuan 6.21 0.015-0.24% -0.06% Euro 1.06-0.029-2.63% -11.72% Swiss Franc 0.98 0.023-2.40% 1.97% Japanese Yen 120.19 1.530-1.27% -0.60% New Zealand Dollar 0.75-0.003-0.33% -2.71% British Pound 1.46-0.020-1.35% -5.51% Brazilian Real 3.08-0.065 2.13% -13.09% Canadian Dollar 1.26 0.010-0.77% -7.63% Mexican Peso 15.21 0.257-1.70% -2.20% 105 U.S. Dollar - Trailing Six Months 1.40 Euro - U.S. Dollars per Euro 100 1.30 95 1.20 90 1.10 85 1.00 80 0.90 75 0.80 6.30 Chinese yuan - yuan per U.S. Dollar 125.00 Japanese yen - Yen per U.S. Dollar 6.25 120.00 6.20 115.00 6.15 110.00 6.10 105.00 6.05 100.00 6.00 95.00 6
$ per bushel $ per barrel $ per ounce COMMODITIES SELECTED COMMODITY MARKET PERFORMANCE Last Change % Chg. YTD % Last Change % Chg. YTD % DJ UBS Comm. Idx. 99.47-0.61-0.61% -5.03% Platinum Spot $1,174.25 $2.95 0.26% -4.07% Rogers Int. Comm. Idx. 2588.75-11.78-0.45% -7.22% Corn 377.00-8.25-2.13% -6.59% Crude Oil $51.70 $1.53 3.11% -7.81% Wheat 524.00-18.00-3.36% -13.22% Natural Gas $2.51 -$0.18-6.52% -12.67% Soybeans 951.50-32.25-3.27% -7.40% Gasoline ($/Gal.) $2.40 $0.00 0.17% 7.10% Sugar 12.83 0.06 0.47% -14.21% Heating Oil 177.19 4.68 2.78% -4.11% Orange Juice 112.65-7.60-6.09% -16.73% Gold Spot $1,207.92 -$1.66-0.14% 1.76% Aluminum 1,762.50-19.50-1.09% -4.86% Silver Spot $16.49 -$0.83-4.85% 3.32% Copper 5,995.00 15.00 0.25% -4.84% ; % change is based on price. Crude Oil - Light Crude ($ per barrel) 90 85 80 75 70 65 60 55 50 45 40 Gold - Spot gold price ($ per ounce) 1,350 1,300 1,250 1,200 1,150 1,100 Copper 7,000 6,800 6,600 6,400 6,200 6,000 5,800 5,600 5,400 5,200 5,000 10/13 11/12 12/12 1/11 2/10 3/12 Corn - Active Contract 440 420 400 380 360 340 320 7
ALTERNATIVE INVESTMENTS SELECTED ALTERNATIVE INVESTMENT INDEX PERFORMANCE Last Change % Chg. YTD % Last Change % Chg. YTD % HFRX Global Hedge Fund 1242.81 7.97 0.64% 2.77% HFRX Distressed 1014.74 1.43 0.14% 0.61% HFRX Equity Market Neutral 999.88-4.71-0.47% 1.24% HFRX Merger Arbitrage 1644.30 2.33 0.14% 2.83% HFRX Equity Hedge 1209.19 9.52 0.79% 3.37% HFRX Convertible Arbitrage 714.96 0.99 0.14% 1.85% HFRX Event-Driven 1535.46 7.09 0.46% 2.13% HFRX Macro CTA 1229.70 13.45 1.10% 3.79% HFRX Absolute Return 1017.57 4.26 0.42% 2.09% IQ Fixed Income Beta Arb 1401.97 3.55 0.25% 1.03% ; % change is based on price. HFRX Global Hedge Fund - Trailing 90 Days 1,260 1,250 1,240 1,230 1,220 1,210 1,200 1,190 1,180 1/12 1/26 2/9 2/23 3/9 3/23 4/6 HFRX Equity Hedge - Trailing 90 Days 1,230 1,220 1,210 1,200 1,190 1,180 1,170 1,160 1,150 1,140 1/12 1/26 2/9 2/23 3/9 3/23 4/6 1,010 HFRX Equity Market Neutral - Trailing 90 Days 1,410 IQ Fixed Income Beta Arb - Trailing 90 Days 1,005 1,405 1,000 1,400 995 1,395 990 1,390 985 1,385 980 1,380 975 1,375 970 1,370 965 1/12 1/26 2/9 2/23 3/9 3/23 4/6 1,365 1/12 1/26 2/9 2/23 3/9 3/23 4/6 8
PORTFOLIO CONSTRUCTION 3.50 S&P 500/MSCI EAFE - Trailing 180 Days 6.00 S&P 500/MSCI EM - Trailing 180 Days 3.40 5.50 3.30 5.00 3.20 4.50 3.10 4.00 3.00 3.50 2.90 3.00 1.70 1.65 1.60 1.55 1.50 1.45 1.40 MSCI EAFE/MSCI EM - Trailing 180 Days Large Cap/Small Cap - Trailing 180 Days 0.42 0.41 0.40 0.39 0.38 0.37 0.36 1.35 0.35 Growth/Value - Trailing 180 Days 0.81 0.80 0.79 0.78 0.77 0.76 0.75 0.74 0.73 0.72 9
PORTFOLIO CONSTRUCTION (cont d.) 0.206 Info Tech/S&P 500 - Trailing 180 Days 1.88 Inv. Grade Bonds/Int. Govt. Bonds - Trailing 180 Days 0.204 0.202 1.87 1.86 1.85 0.200 1.84 0.198 0.196 1.83 1.82 1.81 0.194 1.80 High Yield Bonds/Int. Govt. Bonds - Trailing 180 Days 0.64 0.63 0.62 0.61 0.60 0.59 0.58 0.57 0.56 0.55 High Yield/Inv. Grade Bonds - Trailing 180 Days 0.345 0.340 0.335 0.330 0.325 0.320 0.315 0.310 0.305 0.300 10
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