February 2021 investment update - Follow us Monthly investment updates @DolfinHQ Dolfin
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Monthly investment updates
February 2021
investment update
Follow us
@DolfinHQ Dolfin
#DolfinResearch
Dolfin l 50 Berkeley Street l London W1J 8HA l info@dolfin.com l +44 (0) 20 3883 1800
Contents Authors
Simon Black
1. Performance Head of Investment Management
2. Macro James Gutman
Head of Investment Portfolios
3. Fixed income Mikhail Trebunskikh
Portfolio Manager
4. Equities
Maksat Stamakunov
5. Appendix Analyst
Adrian van den Bok
Senior Portfolio Manager
Geoff Wan
Analyst
Paul Nesteruk
Head of Product, Digital Assets
dolfin.comPerformance
Simon Black, Head of Investment Management
• USD performance hit by steepening of US Treasury yield curve
• GBP performance also negatively impacted by rising yields
• We cut exposure to core equities in January in expectation of a pull back
#DolfinResearch
dolfin.comYear to date performance
As at end of January 2021
Portfolios Major indices and commodities
USD Conservative Balanced Growth Asset YTD
Year to date performance -0.92% -0.27% 0.31% MSCI World -0.97%
Target return 0.24% 0.32% 0.49%
S&P 500 -1.01%
ARC Private Client Index -0.20% -0.10% 0.00%
Euro Stoxx 600 -0.73%
FTSE 100 -0.79%
EUR Conservative Balanced Growth
Brent $ 7.88%
Year to date performance 0.09% 0.46% 0.76%
Target return 0.10% 0.18% 0.35% Gold $ -1.92%
ARC Private Client Index -0.10% 0.20% 0.40%
Government bonds
10 year Dec-20 Jan-21
GBP Conservative Balanced Growth
Year to date performance -0.49% -0.24% -0.01% US 0.912% 1.094%
Target return 0.18% 0.26% 0.43% UK 0.196% 0.327%
ARC Private Client Index -0.40% -0.30% -0.30% EU -0.575% -0.520%
Past performance is not a reliable indicator of future returns.
If the information is not listed in your base currency, then the result may increase or decrease due to currency fluctuations
Source: Eikon Refinitiv, Dolfin, ARC, February 2021. All returns quoted net of fees.
February 2021 investment update | Performance | Macro | Fixed income | Equities | Appendix dolfin.comAsset allocation
USD balanced model for the month of January 2021
USD
Asset 31 December 2020 31 January 2021
Cash & equivalent 3.83% 12.69%
Fixed income 62.23% 63.41%
Government 13.37% 13.09%
Investment grade 32.79% 32.87%
High yield 16.07% 17.45%
Equity 33.94% 22.89%
Global equities 21.25% 12.25%
Satellites 12.69% 10.64%
Alternatives 0.00% 1.01%
Mutual Funds 0.00% 1.01%
Past performance is not a reliable indicator of future returns.
If the information is not listed in your base currency, then the result may increase or decrease due to currency fluctuations
Source: Refinitiv Portfolio Analytics, Dolfin, February 2021
February 2021 investment update | Performance | Macro | Fixed income | Equities | Appendix dolfin.comMacro
James Gutman, Head of Investment Portfolios
• Eurozone inflation spike – warning or head-fake?
• Expectations for inflation are pushing higher
• We may be on the cusp of a new inflation regime – and an end to four decades of price stability
#DolfinResearch
dolfin.comEurozone Inflation Spiked in January
This may be due to one-off quirks – or maybe not
CPI INFLATION
6.0%
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
-1.0%
-2.0%
-3.0%
2000 2005 2010 2015 2020
Eurozone Flash HICP US CPI UK RPI
Source: Dolfin, Bloomberg, ECB, February 2021
February 2021 investment update | Performance | Macro | Fixed income | Equities | Appendix dolfin.comInflation expectations are picking up
Neither market nor survey-based measures have broken out, but both are pushing upper end of range
ZEW SURVEY OF INFLATION EXPECTATIONS 5Y/5Y BREAKEVEN RATES
5.0
100
4.5
80
4.0
60
3.5
40
3.0
20
2.5
0
2.0
-20
1.5
-40
1.0
-60
0.5
-80
0.0
-100
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
2000 2005 2010 2015 2020
US UK Germany USGG5Y5Y Index DEGG5Y5Y Index UKGG5Y5Y Index
Past performance is not a reliable indicator of future returns.
If the information is not listed in your base currency, then the result may increase or decrease due to currency fluctuations
Source: Dolfin, Bloomberg, ZEW, February 2021
February 2021 investment update | Performance | Macro | Fixed income | Equities | Appendix dolfin.comDisinflation via goods has sharply reversed
Overall inflation is probably higher than assumed thanks to good price inflation
US CPI INFLATION US PCE DEFLATOR
14%
3.0%
12%
Durable Goods Inflation, % YoY
2.5% 10%
8% Services Inflation, %YoY
2.0%
6%
1.5% 4%
CPI, Basket Unadjusted 2%
1.0%
0%
CPI, Basked Adjusted for Covid
0.5% -2%
-4%
0.0%
-6%
19
20
9
0
9
0
9
0
19
9
20
0
-1
-2
l-1
l-2
-1
-2
-1
-2
p-
p-
n-
n-
ov
ov
ar
ar
ay
ay
Ju
Ju
Ja
Ja
Se
Se
60
65
70
75
80
85
90
95
00
05
10
15
20
M
M
N
N
M
M
19
19
19
19
19
19
19
19
20
20
20
20
20
Source: Dolfin, Bloomberg, Cavallo (2021), BEA, February 2021
February 2021 investment update | Performance | Macro | Fixed income | Equities | Appendix dolfin.comAre 35 years of price stability coming to an end?
And if so, what would central banks do about it?
Inflationary Factors Disinflationary Factors
• Money Supply Growth - Accelerating • Inflation expectations – Two generations have forgotten about inflation
• Output gap/full employment – Narrowing fast • Productivity – Technology still has room to boost productivity
• Commodity cycle – Add semiconductors to the list? • Demography – Aging societies are disinflationary
• Wage growth – Minimum wage hike, and stealth UBI?
• Currency – China is no longer exporting disinflation
• Globalisation – Efficiency gains from change stalling – note Brexit?
Source: Dolfin, Bloomberg, BEA, February 2021
February 2021 investment update | Performance | Macro | Fixed income | Equities | Appendix dolfin.comIf price instability beckons, returns will be elusive
Source: Dolfin, Refinitiv, February 2021
February 2021 investment update | Performance | Macro | Fixed income | Equities | Appendix dolfin.comJanuary 2021 major asset class returns analysis
The case for dynamic asset allocation
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 YTD*
Higher
EM equities EM equities Global agg. High yield US equities US equities US equities UK equities EM equities EM debt US equities US equities Commodities
78.92% 19.24% 4.79% 18.65% 31.79% 12.69% 0.69% 19.16% 37.85% 2.63% 30.88% 20.73% 3.82%
High yield Commodities EM debt EM equities UK equities Global agg. EM debt High yield US equities Global agg. EM equities EM equities EM equities
57.70% 17.44% 4.33% 18.53% 18.43% 7.60% 0.20% 15.60% 20.16% -0.68% 18.82% 18.76% 2.97%
UK equities US equities High yield US equities High yield EM debt Global agg. EM equities UK equities High yield UK equities Global agg. Alternatives
27.59% 14.77% 3.63% 15.33% 6.47% 4.53% -0.24% 11.75% 11.71% -2.81% 16.37% 8.26% 0.44%
US equities High yield US equities Global agg. Alternatives High yield High yield US equities High yield US equities High yield High yield High yield
26.25% 15.06% 1.36% 11.06% 6.29% 2.58% -0.69% 10.89% 8.17% -5.82% 13.34% 5.73% -0.03%
Commodities UK equities UK equities UK equities Global agg. UK equities Alternatives Commodities Alternatives Alternatives Global agg. Alternatives EM debt
23.46% 12.18% -1.83% 10.19% 0.07% 0.50% -1.54% 9.29% 4.76% -5.47% 12.51% 5.72% -0.18%
Global agg. EM debt Alternatives EM debt EM equities Alternatives UK equities Global agg. Global agg. UK equities Commodities EM debt Global agg.
16.60% 6.15% -6.18% 7.08% -2.26% -0.49% -2.21% 6.22% 5.74% -8.82% 9.41% 3.21% -0.79%
Alternatives Global agg. Commodities Alternatives EM debt EM equities EM equities Alternatives EM debt Commodities EM debt Commodities UK equities
11.44% 7.24% -8.26% 2.38% -2.48% -1.97% -14.61% 3.78% 3.63% -12.79% 8.47% -9.68% -0.69%
Lower
EM debt Alternatives EM equities Commodities Commodities Commodities Commodities EM debt Commodities EM equities Alternatives UK equities US equities
3.11% 5.29% -18.16% -5.86% -5.03% -17.92% -23.40% 3.28% 1.96% -14.22% 5.33% -13.23% -0.96%
Past performance is not a reliable indicator of future returns.
If the information is not listed in your base currency, then the result may increase or decrease due to currency fluctuations
Source: Dolfin, Bloomberg *2021 YTD as at end January 2021. US equities is represented by the MSCI USA Net Total Return index, UK equities is represented by the MSCI UK Net Total Return Local index, EM equities is
represented by the MSCI Emerging Markets Index, high yield is represented by the Bloomberg Barclays Global High Yield Total Return Index Value Hedged USD, commodities is represented by the Thomson Reuters Core
Commodity index, EM debt is represented by the Bloomberg Barclays EM Local Currency Government TR Index Value Hedged USD, alternatives is represented by the Hedge Fund Research HFRX Equal Weighted Strategies
Index
February 2021 investment update | Performance | Macro | Fixed income | Equities | Appendix dolfin.comMajor asset class and currency returns
As at end January 2021
BY ASSET CLASS BY CURRENCY
Alternatives RUB
Commo dities GBP
EUR
EM Equities
DXY
Global equities
ZAR
EM bonds
AUD
Global bonds
CAD
Inflation linked bonds NOK
-2% -1% 0% 1% 2% 3% 4% 5% -4% -3% -3% -2% -2% -1% -1% 0% 1% 1%
YTD MTD YTD MTD
Past performance is not a reliable indicator of future returns.
If the information is not listed in your base currency, then the result may increase or decrease due to currency fluctuations
Source: Dolfin, Bloomberg as at end January 2021. Inflation linked bonds is represented by the Bloomberg Barclays Global Inflation-Linked Total Return Index Value Hedged USD, global bonds is represented by the Bloomberg
Barclays Global Aggregate Corporate Total Return Index Hedged USD, EM bonds is represented by the Bloomberg Barclays EM Local Currency Government TR Index Value Hedged USD, global equities is represented by the
MSCI World index, EM equities is represented by MSCI Emerging Markets Index, commodities is represented by Thomson Reuters Core Commodity index, alternatives is represented by the Hedge Fund Research HFRX Equal
Weighted Strategies Index.
February 2021 investment update | Performance | Macro | Fixed income | Equities | Appendix dolfin.comFixed income
Adrian van den Bok, Senior Portfolio Manager | Geoff Wan, Analyst
• Fed can not risk Taper tantrum this year
• Curve steepening and stretch risk in credit markets
• Relative attractiveness of corporate bond income
#DolfinResearch
dolfin.comThe US Treasury curve is steepening
Challenge for the Fed will be to steer a gradual steepening
US 10 YEAR – 2 YEAR TREASURY SPREAD Period Length Steepening (bp)
(days)
4
1: 04/82 to 05/85 1119 208
3
2: 03/89 to 09/92 1277 308
2
2 3: 04/00 to 07/03 1208 327
1
3 4 4: 11/06 to 02/10 1191 308
0
Average of prior 1199 288
1 5
-1
5: 08/19 to current 506 102
-2
82
85
88
91
94
97
00
03
06
09
12
15
18
21
Potential 693 186
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
n-
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Ja
Source: Dolfin, Bloomberg, February 2021
February 2021 investment update | Performance | Macro | Fixed income | Equities | Appendix dolfin.comShort end of Treasury curve is not moving
Volatility in the long end but Fed can’t risk “taper tantrum 2” – REDUCE DURATION
US GOVT 90 DAY TRADING RANGES US GOVT 250 DAY TRADING RANGE
2.00 2.00
1.50 1.50
Yield (%)
Yield (%)
1.00 1.00
0.50 0.50
-00 -00
US 2yr (90D) US 5yr (90D) US 10yr (90D) US 30yr (90D) US 2yr 250D us 5yr 250D US 10yr 250D US 30yr 250D
Max Min Current Max Min Current
No room for mistakes: the US economy is highly sensitive to a rise in interest rates.
• Rising rates are negative for markets if they are expanding because of excess supply amid lower support from central banks
• Small upward move in interest rates today would have a bigger impact than in past cycles on corporate debt, the equity market and real estate markets.
• Tapering is more likely in 2022 when the core PCE index is expected to increase to an average of 2% or higher.
• Asset purchases should remain in place “until substantial further progress has been made towards the committee’s maximum employment and price stability goals”
Source: Dolfin, Bloomberg, February 2021
February 2021 investment update | Performance | Macro | Fixed income | Equities | Appendix dolfin.comAsset correlation
Avoid treasury curve steepening and stretch risk in equity markets
Correlation between US Treasury and investment grade Correlation between S&P 500 and US high yield corporate
corporate bonds bonds
1
0.9
1
0.9 0.8
0.8 0.7
0.7 0.6
0.6
0.5
0.5
0.4
0.4
0.3
0.3
0.2 0.2
0.1 0.1
0 0
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021e
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021e
Source: Dolfin, Bloomberg, rolling 5-day total returns
February 2021 investment update | Performance | Macro | Fixed income | Equities | Appendix dolfin.comCame for the price, staying for the coupon
Searching for income? Look no further than corporate bonds
TOTAL RETURN COMPOSITION OF US HIGH YIELD COMPOSITION OF US HIGH YIELD
YIELD BONDS (%) BONDS (%)
12 20 70.0%
10 18
60.0%
8 16
14 50.0%
6
4 12 40.0%
10
2 30.0%
8
0
6 20.0%
-2
4
-4 10.0%
2
-6 0 0.0%
-8
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
-10
-12
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
credit spread US Treasury rate % all-in yield from Treasury (RHS)
price return income return coupon
Past performance is not a reliable indicator of future returns.
If the information is not listed in your base currency, then the result may increase or decrease due to currency fluctuations
Source: Dolfin, BAML indices
February 2021 investment update | Performance | Macro | Fixed income | Equities | Appendix dolfin.comEquities
Mikhail Trebunskikh, Portfolio Manager | Maksat Stamakunov, Analyst
• 2021 focus list with a range of overlapping themes and drivers
• Reasonably priced ways to get exposure to electric vehicles
• Key stocks to get exposure to digital assets
#DolfinResearch
dolfin.comA look back at our 2020 equity baskets
Strong positive performance across both of our baskets
2020 Resilient basket 2020 Recovery basket
Trade Desk Mosaic
DocuSign
MercadoLibre
JD.com
Embracer Peugeot
Alphabet Yandex
Amazon Dell Technologies
Microsoft
Walt Disney
TAL Education
Mastercard Siemens
Alibaba LVMH
Just Eat Takeaway Volkswagen
Visa
Adidas
Ubisoft Entertainment
Unilever TOTAL
0% 50% 100% 150% 200% 250% 300% 350% 0% 50% 100% 150% 200% 250% 300% 350%
Price change since 31-Mar-2020 Price change since 31-May-2020
Past performance is not a reliable indicator of future returns.
If the information is not listed in your base currency, then the result may increase or decrease due to currency fluctuations
Source: Dolfin, Bloomberg; February 2021
dolfin.com2021 focus list
A wide range of opportunities
Name Theme Highlight
Volkswagen Autos / Resumption Major global automaker with a clear EV strategy
Total Oil / Resumption One of the lowest break-even O&G majors
Delta Air Lines Resumption Strong balance sheet, low cash burn, favourable geo exposure
New Oriental Education Online Education Key player in the Chinese education market
Trade Desk Online Advertising Key player in ‘smart’ online ads
Activision Blizzard Video games Major AAA games publisher
Embracer Group Video games Key AA games studio consolidator
AMD Semiconductors Market share gainer
ASML Semiconductors Monopoly in cutting-edge semiconductor equipment
Ozon Holdings E-commerce / EM Russian e-commerce company
Mercadolibre E-commerce / EM Brazilian e-commerce company
StoneCo Payments / EM Brazilian cloud-based payments provider
Moncler Luxury / Resumption Key luxury goods company + M&A optionality
EQT Corp LNG / Resumption US natural gas producer
Straumann Holding Healthcare Dental implants manufacturer
Sibanye Stillwater Hydrogen / Green Energy (Fuel cell EV) Third-largest global platinum producer
YouGov Data & Analytics UK-based high growth data & analytics company
Blue Prism Software automation Global leader in robotic process automation (RPA)
Ocado Online grocery Global leader in online groceries
Anglo American Commodities / Resumption / EV Major global commodities (platinum, copper, nickel) producer
Avast Cybersecurity UK-listed cybersecurity company
JD Sports Athleisure / Resumption Global leader in athleisure retailing
Source: Dolfin, Bloomberg; February 2021
February 2021 investment update | Performance | Macro | Fixed income | Equities | Appendix dolfin.comElectric vehicles
Gaining exposure to the theme along the value chain
Source: Dolfin, Bank of America, Bernstein; February 2021
February 2021 investment update | Performance | Macro | Fixed income | Equities | Appendix dolfin.comDigital asset equities
Invest in the sector, not just the assets
Low EXPOSURE TO SECTOR High
PERFORMANCE (3 MONTHS)
Low
Argo Blockchain 1254%
Marathon Patent Group 925%
HIVE Blockchain Technologies Ltd. 487%
Silvergate Capital 349%
MicroStrategy 304%
Exposure to Bitcoin
Bitcoin 160%
Stock
VPC Impact Acquisition Holdings 158%
Galaxy Digital 121%
Tesla 98%
Square 40%
Paypal 27%
Intercontinental Exchange Inc. 17%
Mode 15%
GMO Internet Group 9%
0%
200%
400%
600%
800%
1000%
1200%
1400%
Price Performance (%)
High
Past performance is not a reliable indicator of future returns.
If the information is not listed in your base currency, then the result may increase or decrease due to currency fluctuations
Source: Dolfin, Bloomberg; February 2021
February 2021 investment update | Performance | Macro | Fixed income | Equities | Appendix dolfin.comAppendix
#DolfinResearch
dolfin.comGlossary
§ bps, or basis points, are a unit of measure to describe the percentage change in the value or rate of a financial instrument, where one basis point is equivalent to 0.01 per cent
§ BTP, Buoni del Tesoro Poliannuali, a debt security (bond) issued by the Italian Government
§ Bund, a debt security (bond) issued by the German Government
§ CoCo bonds, a contingent convertible bond (or enhanced capital note, ECN) is a fixed-income instrument that is convertible into equity if a pre-specified trigger event occurs
§ Consumer Price Index (CPI), is a measure of the change in selling prices paid by domestic buyers of goods and services and as such is a popular measure of inflation
§ Dividend yield, the most recently announced gross dividend, annualised based on the dividend frequency, then divided by the current market price
§ Duration, the measure of sensitivity of the price of a bond to a change in interest rates, expressed in number of years
§ Earnings per share (EPS), the portion of a company's profit allocated to each share of common stock. Earnings per share serve as an indicator of a company's profitability.
§ EBITDA margin, measured in percentage, calculating the relation of earnings before interest, taxes, depreciation and amortisation to revenue. Calculated as: EBITDA/revenue * 100
§ EV/EBITDA adjusted, enterprise value to adjusted earnings before interest and taxes value. Adjusted EBITA excludes the effect of abnormal items. Calculated as: enterprise
value/adjusted trailing 12-month operating income
§ Fallen Angel, a bond which has been reduced from investment grade rating to junk bond status due to the weakening financial condition of the issuer
§ Federal Open Market Committee (FOMC), the branch of the Federal Reserve bank that is in charge of short and long-term monetary policy decisions
§ Floating rate notes (FRNs) are bonds that have a variable coupon
§ Global financial crisis (GFC), the financial crisis between 2007-2008
§ Gross value added (GVA) is the measure of the value of goods and services produced in an area, industry or sector of an economy. In national accounts GVA is output minus
intermediate consumption
§ Harmonised index of consumer prices (HICP), an indicator of inflation, harmonised across EU member states
§ Idiosyncratic risk is a risk that affects only a small number of assets or single asset and is sometimes referred to as non-systematic risk
§ Ifo refers to the Ifo Institute for Economic Research and is a Munich-based research institution
February 2021 investment update | Performance | Macro | Equities | Fixed income | Appendix dolfin.comGlossary
§ Institutional Brokers Estimate System (IBES) is a database that gathers and compiles the different estimates made by analysts on the future earnings for publicly listed companies
§ Institute of Supply Management (ISM), a professional supply management organisation providing PMI data in the US
§ Interest on excess reserves (IOER), the Federal Reserve Banks pay interest on required reserve balances and on excess reserve balances
§ Japanese Government Bond (JGB), a debt security (bond) issued by the government of Japan
§ LTRO, or the long-term refinancing operation, is a loan scheme for European banks that was announced by the European Central Bank (ECB) towards the end of 2011 in a bid to
help ease the eurozone crisis
§ Macro, Valuation, Sentiment, Technical (MVST) model, a proprietary model utilising the aforementioned factors to assess market conditions
§ Main Refinancing Operations (MRO), the Eurosystem’s regular open market operations consist of one-week liquidity-providing operations in euro
§ Markowitz Mean Variance Optimisation, creation of portfolios that have the maximum mean (expected return) for a given variance of return (or standard deviation of returns) or the
minimum variance of return for a given mean (expected return)
§ Monetary Policy Committee (MPC), central committee of the Bank of England which takes monetary policy decisions
§ Mortgage-backed securities (MBS), a type of asset-backed security that is secured by a mortgage or collection of mortgages
§ Nominal interest rates, the interest rate before adjusting for inflation
§ Natural interest rates, the rate that would keep the economy operating at full employment and stable inflation
§ Okun’s Law, a relationship between the US economy's unemployment rate and its gross national product (GNP). It states that when unemployment falls by 1 per cent, GNP rises by 3
per cent when the unemployment rate is between 3 and 7.5 per cent
§ Personal consumption expenditure index (PCE), an indicator of inflation used by the US Federal Reserve
§ PE next year, price earnings ratio calculated on next year earnings per share estimates. Calculated as: last price/expected next year earnings
§ Purchasing Managers Index (PMI), an indicator of the economic health of the manufacturing or services sectors. In the US, the PMI data is provided by the Institute of Supply
Management. In the UK and Europe, the PMI is provided by Markit
§ Producer Price Index (PPI), is a measure of the change in selling prices received by domestic producers of goods and services and as such is a popular measure of inflation
February 2021 investment update | Performance | Macro | Equities | Fixed income | Appendix dolfin.comGlossary
§ Overnight indexed swap (OIS), a hedging arrangement in which a cash flow based on an overnight lending rate is exchanged for another predetermined cash flow
§ Quantitative easing (QE), the introduction of new money supply in to a financial system by the central bank in order to increase liquidity – often via asset purchases
§ Quantitative tightening (QT), a contractionary monetary policy applied by the central bank restricting the new money supply to a financial system
§ Real interest rates, the interest rate after adjusting for inflation
§ Relative Strength Index (RSI), a momentum oscillator that measures the speed and change of price movements. The RSI oscillates between zero and 100. Traditionally the RSI is
considered overbought when above 70 and oversold when below 30
§ Return on assets (ROA), an indicator of how profitable a company is relative to its total assets, expressed in percentage
§ Return on equity (ROE), a measure of profitability that calculates the net income returned as a percentage of shareholder equity
§ Risk parity portfolio, an approach to investment portfolio management which focuses on allocation of risk, usually defined as volatility, rather than allocation of capital
§ SAAR, the seasonally adjusted annual rate is a rate adjustment that attempts to remove seasonal variations in the data
§ Standard & Poor’s (S&P), a ratings agency that determines an issuer’s ability to meet payment obligations. A bond with a rating of BBB- or above is deemed investment grade. A
bond with a rating of BB+ or below is deemed high yield
§ Seniority, the order of repayment in the event of a sale or bankruptcy of the issuer. Senior debt must be repaid before subordinated debt is repaid
§ Stochastics, a tool for estimating probability distributions of potential outcomes by allowing for random variation in one or more inputs over time. The random variation is usually
based on fluctuations observed in historical data for a selected period using standard time-series techniques
§ United States Treasury yield curve (UST curve), shows the yields of bills, notes and bonds issued by the United States Treasury plotted on a graph vs. the year of maturity of each
instrument
§ VIX, the Chicago Board Options Exchange (CBOE) Volatility Index, a widely-used indication of the stock market's expectation of volatility implied by S&P 500 index options
§ WTI, West Texas Intermediate is a grade of crude oil used as a benchmark in oil pricing, particularly in the United States
§ Year-over-Year (YoY), a method of evaluating two or more measured events to compare the results with those of a comparable period on an annualised basis
§ Yield to worst (YTW), an estimate of the lowest yield that you can expect to earn from a bond when holding to maturity, absent a default.
February 2021 investment update | Performance | Macro | Equities | Fixed income | Appendix dolfin.comDisclaimer
This is a financial promotion issued by Dolfin Financial (UK) Ltd (“Dolfin”). This document is for information purposes only and does
not take into account specific circumstances of any recipient. The information contained in this document does not constitute the
provision of investment advice nor a recommendation, offer or solicitation to acquire, or dispose of, any of the financial instruments
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completeness or fairness of the information in this document and no responsibility or liability is accepted for any such information
(save in respect of fraudulent representation or warranty).
Prior to making any investment decision investors should seek independent professional advice regarding suitability of any transaction
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amount you invested.
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themselves about and to observe such restrictions.
Dolfin is the trading name of Dolfin Financial (UK) Ltd, a company authorised and regulated by the Financial Conduct Authority (with
reference no. 552894) and registered in England and Wales (with company number 07431519).
Copyright © 2021 Dolfin Financial (UK) Ltd. All rights reserved.
February 2021 investment update | Performance | Macro | Equities | Fixed income | Appendix dolfin.comDolfin l 50 Berkeley Street l London W1J 8HA l info@dolfin.com l +44 (0) 20 3883 1800
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