Chart Book-11302016

MONTHLY CHART BOOK

December 2016

Sailesh Radha, Chief Investment Officer

Email: [email protected];

803-319-6628

www.borealisga.com

http://www.borealisga.com

2

Country Allocation Report— Footnotes

www.Borealisga.com | 13 Richmond Lane | Columbia, SC 29223 | 803-319-6628

The BGA Short-term Country Score is based on factor signals developed using a proprietary BGA

Global Country Allocation Framework (BGA G-CAF™) for projecting a country’s one- to six-

month return forecast. The score is scaled above and below zero. The countries with positive

scores have an allocation in the BGA model portfolio. The positive score followed by an upward

arrow reflects improvement, while positive score followed by a downward arrow shows a decline in

the return forecast. The countries with negative scores have no allocation in the portfolio. The

short term is defined as one to six months.

The Weighting is our proprietary portfolio weighting for this country, for the current month, rela-

tive to its weight in the benchmark. The potential values for this measure are Over-/Under-/

Market-/Zero- Weight. This weighting reflects the BGA short-term country score. The benchmark

is MSCI All Country World Index Ex USA.

Calendar Year Forecast Percentile Rank is the relative rank of a country in percentile terms based

on its calendar year return forecast expressed in real terms. The forecast is obtained by netting its

compounded cumulative market returns for the trailing five (full calendar) years from its com-

pounded cumulative returns over a six-year (full calendar) period based on its medium-term yield

forecast (CY-M™) from five years ago. For example, if the medium-term country yield forecast (CY

-M™) as of end of calendar year 2010 for the period 2011-2016 was 8%, which is an average annu-

al real return estimate and represents approximately 48% cumulatively over six years; is com-

pared to the actual 2011–2015 cumulative real return of 20%, the resulting calendar year estimate

would be approximately 28% (48% less 20%). The higher the rank the better.

The Medium-term Performance Quintile reflects the average annual real return forecast of a coun-

try for successive six years as it ranks relative to all countries in the benchmark. The average an-

nual real return forecast of the country for the successive six years is expressed by CY-M™ derived

from the proprietary modified CAPE model.

The Medium-term Country Yield Forecast (CY-M™)is the average annual real return expectations

of a country over successive six years based on our proprietary modified CAPE model, the Country

Yield Forecasting Mechanism (CY-FOREM™). The measure should not be used as a specific fore-

cast measure, but only as a comparative forecast measure. For example, we should be more opti-

mistic about the returns prospects of a country, over the next six years ,with a CY-M™ measure of

13% compared to a country with a measure of 9%. Correspondingly, a country with a negative CY-

M™ measure, we should be highly pessimistic about its return prospects. In other words, higher

the measure, the more optimistic, we should be of the country’s prospects and the lesser the meas-

ure, the more pessimistic of the country’s prospects.

Quantitative Factor Strength Charts:

BGA uses a proprietary multi-factor model, the BGA Global Country Allocation Model (BGA G-

CAM™) to forecast country prospects for successive one- to six- month horizon. The strength

charts reflect both the level and relative impact of the various factors in the model to determine

the country’s short-term score. The factors are scaled above and below zero, meaning factors above

zero are contributing positively, while those below zero have a negative impact on the country

score. The colors within the stacked bar chart represent the attribution of the factors in the model

estimating the country’s short-term return forecast, and they are as follows:

Value Factors Volatility Factors

Currency Factors Dividend Factors

Momentum Factor

Additional notes: BGA has for the time being excluded the following countries that exist in the benchmark from this chart

book - Czech Republic, Finland, Hungary, Qatar, and UAE. Czech Republic and Hungary have been excluded because of lack

of appropriate single-country ETFs in the market, UAE and Qatar for lack of sufficient data history, and Finland is under

review for inclusion in our model next month.

BGA Short-term Country

Score

1.2

Underweight

(zero last month)

Calendar Year Forecast

Percentile Rank

40%

Medium-term Performance

Quintile

3rd

Medium-term Country Yield

Forecast (CY-MTM)

6%

3

How to Decipher the Graphs?


BGA Quantitative Factor Strength

Look for strength in the number of factors and their sizes as

they rise above the zero score line. In addition, a rising score

line (in red), as it moves above the zero level is useful for short-

term forecasts. The rankings to the left (blue side panel) show

BGA’s short-term scoring as well as weighting relative to

benchmark.

BGA Medium-term Forecast

Look for a positive stable or a slowly rising line with projected

real returns above 0% or a chart with a significant rising valua-

tion line both in time-frame and degree from historic lows. The

calendar year forecast percentile rank is based on the inferred

CY-M™ for the current calendar year (see footnotes). The Medi-

um-term measures in the left panel reflect the real return fore-

cast for the coming six-year period.

Alert: Charts of Qatar and UAE have been excluded from the chart book due to limited

data history and lack of ETFs. Chart of Finland has been excluded as its ETF has been

in the market for less than five years.

4

Country Allocation Report—Australia

December 5, 2016



Score

.26

Underweight (Under last month)


Percentile Rank

44%

Actual Return and Percentile as of

Nov. 30

8.9% (67%)


Quintile

3rd


Forecast (CY-MTM)

4.1%


BGA Medium-term Forecast (next update February, 2017)

5

Country Allocation Report—Austria

December 5, 2016



Score

.14

Overweight (Zero last month)


Percentile Rank

23%


Nov. 30

7.4% (60%)


Quintile

4th


Forecast (CY-MTM)

-1.0%



6

Country Allocation Report—Belgium

December 5, 2016



Score

.20

Overweight (Under last month)


Percentile Rank

0%


Nov. 30

-8.6% (18%)

Medium-Term Performance

Quintile

5th

Medium-Term Country Yield

Forecast (CY-MTM)

-16.8%



7

Country Allocation Report—Brazil

December 5, 2016



Score

-1.44

Zeroweight (Zero last month)


Percentile Rank

51%


Nov. 30

65.2% (100%)


Quintile

1st


Forecast (CY-MTM)

25.1%



8

Country Allocation Report—Canada

December 5, 2016



Score

1.16

Overweight (Over last month)


Percentile Rank

64%


Nov. 30

23.2% (89%)


Quintile

2nd


Forecast (CY-MTM)

9.2%



9

Country Allocation Report—Chile

December 5, 2016



Score

.32



Percentile Rank

92%


Nov. 30

17.2% (80%)


Quintile

1st


Forecast (CY-MTM)

15.8%



10

Country Allocation Report—China

December 5, 2016



Score

.75



Percentile Rank

69%


Nov. 30

5.4% (58%)


Quintile

1st


Forecast (CY-MTM)

13.6%



11

Country Allocation Report—Colombia

December 5, 2016



Score

.55



Percentile Rank

100%


Nov. 30

17.2% (80%)


Quintile

1st


Forecast (CY-MTM)

25.1%



12

Country Allocation Report—Denmark

December 5, 2016



Score

-.09



Percentile Rank

5%


Nov. 30

-19.3% (4%)


Quintile

5th


Forecast (CY-MTM)

-4.4%



13

Country Allocation Report—Egypt

December 5, 2016



Score

-.63

Zeroweight (Over last month)


Percentile Rank

82%


Nov. 30

-16.6% (7%)


Quintile

1st


Forecast (CY-MTM)

14.4%



14

Country Allocation Report—France

December 5, 2016



Score

-.28



Percentile Rank

26%


Nov. 30

0.4% (49%)


Quintile

4th


Forecast (CY-MTM)

-0.4%



15

Country Allocation Report—Germany

December 5, 2016



Score

-.30



Percentile Rank

10%


Nov. 30

-3.3% (38%)


Quintile

4th


Forecast (CY-MTM)

1.7%



16

Country Allocation Report—Greece

December 5, 2016



Score

-2.74



Percentile Rank

62%


Nov. 30

-13.2% (9%)


Quintile

5th


Forecast (CY-MTM)

-1.1%



17

Country Allocation Report—Hong Kong

December 5, 2016



Score

.14

Underweight (Over last month)


Percentile Rank

33%


Nov. 30

9.3% (69%)


Quintile

4th


Forecast (CY-MTM)

3.7%



18

Country Allocation Report—India

December 5, 2016



Score

-.16



Percentile Rank

38%


Nov. 30

-1.4% (42%)


Quintile

2nd


Forecast (CY-MTM)

8.2%



19

Country Allocation Report—Indonesia

December 5, 2016



Score

.02



Percentile Rank

90%


Nov. 30

11.4% (76%)


Quintile

1st


Forecast (CY-MTM)

21.1%



20

Country Allocation Report—Ireland

December 5, 2016



Score

.50



Percentile Rank

3%


Nov. 30

-10.8% (11%)


Quintile

5th


Forecast (CY-MTM)

-30.4%



21

Country Allocation Report—Israel

December 5, 2016



Score

.10

Underweight (Over last month)


Percentile Rank

13%


Nov. 30

-24.3% (0%)


Quintile

2nd


Forecast (CY-MTM)

12.0%



22

Country Allocation Report—Italy

December 5, 2016



Score

-0.57



Percentile Rank

15%


Nov. 30

-19.9% (2%)


Quintile

5th


Forecast (CY-MTM)

-8.8%


.BGA Medium-term Forecast (next update February, 2017)

23

Country Allocation Report—Japan

December 5, 2016



Score

.06



Percentile Rank

28%


Nov. 30

1.7% (53%)


Quintile

3rd


Forecast (CY-MTM)

7.4%



24

Country Allocation Report—Korea

December 5, 2016



Score

.49



Percentile Rank

85%


Nov. 30

8.3% (62%)


Quintile

2nd


Forecast (CY-MTM)

9.8%



25

Country Allocation Report—Malaysia

December 5, 2016



Score

.34



Percentile Rank

74%


Nov. 30

-4.4% (33%)


Quintile

2nd


Forecast (CY-MTM)

11.7%



26

Country Allocation Report—Mexico

December 5, 2016



Score

.03



Percentile Rank

79%


Nov. 30

-9.5% (16%)


Quintile

3rd


Forecast (CY-MTM)

5.6%



27

Country Allocation Report—Netherlands

December 5, 2016



Score

.28



Percentile Rank

8%


Nov. 30

1.5% (51%)


Quintile

5th


Forecast (CY-MTM)

-10.6%



28

Country Allocation Report—New Zealand

December 5, 2016



Score

.78



Percentile Rank

41%


Nov. 30

22.6% (87%)


Quintile

5th


Forecast (CY-MTM)

-3.7%



29

Country Allocation Report—Norway

December 5, 2016



Score

-.30



Percentile Rank

56%


Nov. 30

10.8% (73%)


Quintile

3rd


Forecast (CY-MTM)

8.1%



30

Country Allocation Report—Peru

December 5, 2016



Score

1.35



Percentile Rank

95%


Nov. 30

55.4% (98%)


Quintile

1st


Forecast (CY-MTM)

32.3%



31

Country Allocation Report—Philippines

December 5, 2016



Score

.11



Percentile Rank

77%


Nov. 30

-6.9% (27%)


Quintile

3rd


Forecast (CY-MTM)

5.1%



32

Country Allocation Report—Poland

December 5, 2016



Score

-.62



Percentile Rank

67%


Nov. 30

-6.9% (27%)


Quintile

3rd


Forecast (CY-MTM)

8.3%



33

Country Allocation Report—Portugal

December 5, 2016



Score

.22



Percentile Rank

21%


Nov. 30

-1.1% (44%)


Quintile

5th


Forecast (CY-MTM)

-2.7%



34

Country Allocation Report—Russia

December 5, 2016



Score

.32



Percentile Rank

59%


Nov. 30

38.5% (96%)


Quintile

2nd


Forecast (CY-MTM)

11.0%



35

Country Allocation Report—Singapore

December 5, 2016



Score

-.86



Percentile Rank

54%


Nov. 30

3.3% (56%)


Quintile

2nd


Forecast (CY-MTM)

9.7%



36

Country Allocation Report—South Africa

December 5, 2016



Score

-.15



Percentile Rank

46%


Nov. 30

12.3% (78%)


Quintile

2nd


Forecast (CY-MTM)

8.4%



37

Country Allocation Report—Spain

December 5, 2016



Score

-1.01



Percentile Rank

72%


Nov. 30

-8.1% (22%)


Quintile

4th


Forecast (CY-MTM)

0.7%



38

Country Allocation Report—Sweden

December 5, 2016



Score

-.37



Percentile Rank

31%


Nov. 30

-2.4% (40%)


Quintile

3rd


Forecast (CY-MTM)

6.0%



39

Country Allocation Report—Switzerland

December 5, 2016



Score

.34



Percentile Rank

18%


Nov. 30

-7.9% (24%)


Quintile

4th


Forecast (CY-MTM)

-0.2%



40

Country Allocation Report—Taiwan

December 5, 2016



Score

.17



Percentile Rank

36%


Nov. 30

21.1% (84%)


Quintile

4th


Forecast (CY-MTM)

2.8%



41

Country Allocation Report—Thailand

December 5, 2016



Score

.38

Overweight (Under last month)


Percentile Rank

97%


Nov. 30

24.4% (91%)


Quintile

1st


Forecast (CY-MTM)

18.3%



42

Country Allocation Report—Turkey

December 5, 2016



Score

-.45



Percentile Rank

87%


Nov. 30

-10.2% (13%)


Quintile

2nd


Forecast (CY-MTM)

12.0%



43

Country Allocation Report—United Kingdom

December 5, 2016



Score

1.15



Percentile Rank

49%


Nov. 30

-4.0% (36%)


Quintile

4th


Forecast (CY-MTM)

2.8%



44

Tranche Forecast Report As of February, 2016

December 5, 2016


This chart plots the average CY-M™ measure of the countries in each tranche

across time. Look for a positive stable or a slowly rising lines with projected real

returns above 0% or a chart with a significant rising valuation lines both in time-

frame and degree from historic lows.

The countries in the benchmark are carved into three tranches—Upper Tranche,

Middle Tranche, and Lower Tranche.

The BGA Upper Tranche is made of Australia, Canada, France, Germany, Hong

Kong, Italy, Japan, Netherlands, Singapore, Spain, Sweden, Switzerland, and UK;

The Middle Tranche is composed of Brazil, China, India, Korea, Mexico, Russia,

South Africa, and Taiwan; and

The Lower Tranche is composed of Austria, Belgium, Chile, Colombia, Czech Re-

public, Denmark, Egypt, Finland, Greece, Hungary, Indonesia, Ireland, Israel, Ma-

laysia, New Zealand, Norway, Peru, Philippines, Poland, Portugal, Qatar, Thailand,

Turkey, and UAE.

Next update February 2017.

45

BGA Model Country Allocation Weights

as of end of November, 2016


December 5, 2016

Country Tranche

Short-

term

Score Allocation

Australia Upper 0.258 3.53%

Canada Upper 1.163 12.67%

France Upper -0.277 0.00%

Germany Upper -0.299 0.00%

Hong Kong Upper 0.137 1.95%

Italy Upper -0.574 0.00%

Japan Upper 0.064 1.00%

Netherlands Upper 0.276 3.76%

Singapore Upper -0.861 0.00%

Spain Upper -1.007 0.00%

Sweden Upper -0.366 0.00%

Switzerland Upper 0.337 4.53%

UK Upper 1.148 12.57%

Brazil Middle -1.435 0.00%

China Middle 0.751 8.70%

India Middle -0.164 0.00%

Korea Middle 0.492 5.84%

Mexico Middle 0.025 0.00%

Russia Middle 0.317 3.70%

South Africa Middle -0.153 0.00%

Taiwan Middle 0.168 1.76%

Austria Lower 0.137 0.84%

Belgium Lower 0.196 1.44%

Chile Lower 0.316 2.65%

Colombia Lower 0.550 4.87%

Denmark Lower -0.087 0.00%

Egypt Lower -0.627 0.00%

Finland Lower -0.169 0.00%

Greece Lower -2.743 0.00%

Indonesia Lower 0.016 0.00%

Ireland Lower 0.501 4.43%

Israel Lower 0.095 0.40%

Malaysia Lower 0.341 2.90%

New Zealand Lower 0.783 6.81%

Norway Lower -0.302 0.00%

Peru Lower 1.352 10.17%

Philippines Lower 0.109 0.55%

Poland Lower -0.620 0.00%

Portugal Lower 0.221 1.69%

Thailand Lower 0.379 3.27%

Turkey Lower -0.449 0.00%

46

BGA Model Country Allocation Weights

as of end of November, 2016


December 5, 2016

Country Tranche

Short-

term

Score Allocation

Peru Lower 1.352 10.17%

Canada Upper 1.163 12.67%

UK Upper 1.148 12.57%

New Zealand Lower 0.783 6.81%

China Middle 0.751 8.70%

Colombia Lower 0.550 4.87%

Ireland Lower 0.501 4.43%

Korea Middle 0.492 5.84%

Thailand Lower 0.379 3.27%

Malaysia Lower 0.341 2.90%

Switzerland Upper 0.337 4.53%

Russia Middle 0.317 3.70%

Chile Lower 0.316 2.65%

Netherlands Upper 0.276 3.76%

Australia Upper 0.258 3.53%

Portugal Lower 0.221 1.69%

Belgium Lower 0.196 1.44%

Taiwan Middle 0.168 1.76%

Austria Lower 0.137 0.84%

Hong Kong Upper 0.137 1.95%

Philippines Lower 0.109 0.55%

Israel Lower 0.095 0.40%

Japan Upper 0.064 1.00%

Mexico Middle 0.025 0.00%

Indonesia Lower 0.016 0.00%

Denmark Lower -0.087 0.00%

South Africa Middle -0.153 0.00%

India Middle -0.164 0.00%

Finland Lower -0.169 0.00%

France Upper -0.277 0.00%

Germany Upper -0.299 0.00%

Norway Lower -0.302 0.00%

Sweden Upper -0.366 0.00%

Turkey Lower -0.449 0.00%

Italy Upper -0.574 0.00%

Poland Lower -0.620 0.00%

Egypt Lower -0.627 0.00%

Singapore Upper -0.861 0.00%

Spain Upper -1.007 0.00%

Brazil Middle -1.435 0.00%

Greece Lower -2.743 0.00%

47

BGA Medium-term Country Forecasts

Period 2016-21


December 5, 2016

Next update February 2017.

48

About the Author


Sailesh Radha is President, Chief Investment Officer, and co-founder of Borealis

Global Advisory (BGA). Sailesh’s development of the multi-pillar global capital allo-

cation framework (G-CAF) is unique and has a patent pending (15/047680). He also

developed the novel country yield forecasting mechanism (CY-FOREM) to forecast

medium-term equity yields for countries and the Double “Z” methodology to rank,

select, and allocate countries for international equity investments. Prior to co-

founding BGA, he founded the investment research firm IMRA LLC and worked

with Yardeni Research, Inc. as a global macroeconomic strategist to develop their

Leading Economic Index (LEI) and Coincident Economic Index (CEI); at CCM In-

vestment Advisers as an international portfolio manager/chief economist; at the

World Health Organization (WHO) in Geneva, Switzerland as a research economist;

and at the Strategic Finance Group (SFG) of ICICI Bank at Mumbai, India as a

quantitative analyst. He received his master’s degree with a focus in global macroe-

conomics & international development from the Fletcher School of Law & Diploma-

cy, Tufts University, and his MBA in Finance from the Darla Moore School of Busi-

ness, University of South Carolina. His undergraduate degree is in Electrical & Elec-

tronics Engineering from National Institute of Technology (NIT), Warangal, India.

BGA provides global equity recommendations for financial advisors, money manag-

ers, and institutions. Visit him at borealisga.com, and contact him at 803-319-6628

or [email protected].

49

Disclosures


The information contained herein is based on data gathered from sources we believe to be reliable. It is not guar-

anteed against errors and or omissions, and is not intended as the primary basis for investment decisions. Addi-

tionally, it should not be construed as advice meeting the particular individual investment needs or any investor.

All references made to investment or portfolio performance are based on historical data. One should not assume

that this performance will continue in the future. BGA is registered in the state of South Carolina. This publica-

tion is not intended to be a solicitation for clients in any other state. BGA welcomes residents (institutions and

individuals) of other states to contact BGA directly concerning their individual state’s compliance requirements.

BGA services will only be rendered after compliance regulations are satisfied and prospective clients have re-

ceived Borealis Global Advisory brochure (ADV Form Part 2).

Chart Book-11302016

Documents

Transcript of Chart Book-11302016