JPM-Global Markets Outlook and Strategy-July 2013 P44

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The Economy
Market disruption unlikely to damage EM economic prospects given Fed
conditionality but EM faces more structural worries that are being
exacerbated by drying up of capital inflows.
Asset allocation
DM should stabilize again as a further sell off would damage the economy
and force the Fed to postpone tapering, thus undoing the cause of the sell
off. We stay long equities vs. fixed income and add to this position, by
now also being overweight equities vs credit. The EM asset class and
economy have negative momentum and feed on each other. We stay
underweight EM across asset classes.
Cross asset volatility
The spike in CDS index implied vol is making credit once again one of the
cheapest assets to sell vol in. Short CDX.IG 3-month straddles/long
S&P500 3-month straddles, vega neutral. Close long FX vol vs. short Rate
vol theme at a loss. Open a long US rate vol vs. short Euro rate vol and a
long Copper vol vs. short AUD vol. Take profit in Gold vs. Equity vol.

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