* EUR is underpricing Brexit and that shorting Euro was a cheaper way to express such a view via options. CHF tends to perform strongly when risks become more localized. Closed on 28 Aug 2016: Buy EUR/USD 6m 1.00/1.20 strangle for 155 usd pips (off 1.1020 spot, DF two-way vols...
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Rotation trade — valuations have moved a long way While technical metrics suggest a pause is due in the reflation rotation, we have also seen a significant amount of ground covered from a valuation perspective in the market moves to date. The scatter chart below compares the PE...
…ding Financials and Real Estate via three sources: 1) Bloomberg data on cash held overseas (if disclosed/available}, 2) BofAML analyst estimates on cumulative overseas profits or cash, and 3) our own estimate if neither (1) or (2) are available, based on (Total cash x [% of forei...
…fo Tech Industrials Real Estate Staples Health Care Info Tech m 15% tax rate mw 20% tax rate mw 25% tax rate Source: BofAML US Equity & Quant Strategy, FactSet, S&P Source: BofAML US Equity & Quant Strategy, FactSet, S&P Source: BofAML US Equity & Quant Strategy, FactSet, S&P...