PureGroup: Sensitivity of US equities to macroeconomics

The data shows the sensitivity of selected US equity funds to macroeconomic factors.

IPE and PureGroup selected from the largest domestic and cross-border institutional funds (EUR share class) registered for sale in UK, in terms of assets, from the Morningstar database. The selected funds are:

• Allianz Global Investors - Allianz Best Styles US Equity WT EUR
• Edgewood L Select – US Select Growth I EUR
• Franklin US Opportunities Fund I (acc) EUR
• JPMorgan – US Select Equity Fund C (acc) EUR
• Robeco BP – US Premium Equities I EUR

The higher the sensitivity of each fund to the macro factor, the higher the probability that performance will respond to changes in that factor. The data* was analysed using PureGroup’s Forward Perspective Model, a macroeconomic factor model built for the investment industry.

For a better reading of the data, we show how funds are positioned versus their peer group, as well as a range of performance data and the underlying macroeconomic data.

As shown by the data, US short-term rates and inflation have had the biggest impact on funds’ performance. This is linked to US monetary policy, which has seen several Fed rate rises in recent months. All funds are neutral to negatively correlated to changes in US rates. However, changes to US rates have affected those with higher negative sensitivities – JPMorgan, Allianz and Robeco – as shown by their year-to-date performance numbers.

The return of US inflation has affected both one-year and year-to-date numbers and has been a drag again on the Robeco and JPMorgan funds, leading to their combined relative under performance. Looking at the other factors, US volatility has disappeared and US consumer confidence is high, but funds are positioned differently to with respect to these factors. An analysis of the sensitivity of the five funds shows that Edgewood US Select is favourably positioned to the influence of all three factors and, more importantly, is following the expected movement in the factor direction.

sensitivity of us equities to macroeconomics 1

sensitivity of us equities to macroeconomics 2

sensitivity of us equities to macroeconomics 3

sensitivity of us equities to macroeconomics 4

* Historic performance date is at 31.5.17.
Factor date is at 30.4.17

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