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The Investment Clock
Special Report : Making Money from Macro

CONTENTS

Section Page
The Investment Clock 1. A pictorial summary of our findings 2
How the Model Works 2. Explaining ML’s Investment Clock framework 4
Back-Testing Methodology 3. Using more than thirty years of U.S. data 7
Market Returns over the Cycle 4. Strong results for assets, equity sectors and fixed income; some
intriguing patterns for foreign exchange and equity country strategy
10
Using the Investment Clock in
Practice
5. Top-down cycle analysis should be the starting point for tactical asset
allocation; we continue to favour global “Overheat” plays
17
Statistical Appendix I. Which results are robust and which aren’t 21

Highlights of this Issue
The Investment Clock
ML’s Investment Clock is an intuitive way of relating asset rotation and sector
strategy to the economic cycle. In this report we back-test the theory using
more than thirty years of data. We find that, while every cycle has unique
aspects, there are clear similarities that can help investors to make money.
Methodology and Results
The Investment Clock model splits the economic cycle into four phases
depending on the direction of growth relative to trend and the direction of
inflation (Table 1). We use OECD “output gap” estimates and CPI inflation
data to identify the historic phases in the U.S. since 1973. Then we calculate
the average asset and sector returns for each phase, testing our results for
statistical significance. We confirm that Bonds, Stocks, Commodities and
Cash outperform in turn as the cycle progresses. We also find a very useful
read-across to equity sector strategy and to the shape of the yield curve. See
the diagram on the next page for a summary of the main results.
Economic Cycle Analysis is Key
We are not testing a real-time, quantitative trading rule. Rather, we are
showing that a correct macro view ought to pay off in a particular way. It is
striking how consistent the results are given that we pay no explicit attention
to valuation, a factor often held to be of utmost importance. Economic cycle
analysis, including an assessment of the aims and effectiveness of policymakers,
will form the core of our tactical asset allocation work.
Based on this methodology, we still favour global “Overheat” plays:
commodities, industrial stocks, Asian currencies, Japan and the emerging
markets. We would underweight Government bonds, financials, consumer
discretionary stocks and the U.S. dollar. See pages 17-20 for details.

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