WM Chief Investment Office

2021 10 12

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WM Chief Investment Office | 2021 10 12

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Jan-21 Apr-21 Jul-21 Oct-21%

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Real yield 10y 2y spread (RHS)

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0.48

0.50

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WM Chief Investment Office | 2021 10 12

3

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0%

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30%

45%

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UK

Fra

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Italy

Bra

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Canada

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Vaccination rate (30-Jun) Vaccination rate (6-Oct)

61.1

61.9

58.6

56.4

10

30

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Oct-19 Jun-20 Feb-21 Oct-21

Ind

ex

US ISM Mfg PMI US ISM Services PMI

EU Mfg PMI EU Services PMI

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0.0

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Oct-16 Jun-18 Feb-20 Oct-21

% y

/y

Eurozone CPI Eurozone core CPI

SC

WM Chief Investment Office | 2021 10 12

4

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100

110

Jan-16 Dec-17 Nov-19 Oct-21

%

DX

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DXY 10y rate diff* (RHS)

2y rate diff* (RHS)

SC

WM Chief Investment Office | 2021 10 12

5

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13.6%19.8%

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20%

40%

60%

80%

2002 2008 2011 2020 2011 2018 2020

Retu

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SC

WM Chief Investment Office | 2021 10 12

6

Manish Jaradi

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130

180

230

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330

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90

110

130

150

170

Jan-16 Dec-17 Nov-19 Oct-21

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Oct-20 Feb-21 Jun-21 Oct-2110

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Oct-06 Jul-10 Apr-14 Jan-18 Oct-21

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100

150

SC

WM Chief Investment Office | 2021 10 12

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주간 성과 요약*

* USD . : 2020 12 31 – 2021 10 7 . 1 : 2021 9 30 – 2021 10 7

0.0%0.2%

-0.1%-0.2%

0.0%

-0.1%-0.3%

1.1%-0.2%

1.2%-0.1%

-0.1%4.6%

0.7%2.9%

1.9%0.9%

1.6%

-1.0%-0.6%-0.2%

-0.5%-0.4%

-0.3%-0.3%-0.4%-0.3%-0.3%-0.2%

1.2%2.0%

1.5%1.0%1.2%

0.7%-0.3%

2.4%3.6%

0.8%0.9%

-1.2%-4.1%

0.6%0.9%1.0%

-1.3%4.2%

1.7%-0.2%

0.2%-4.6%-4.6%

0.7%0.5%

2.1%0.0%

1.4%0.9%1.2%

-7.0% -2.0% 3.0% 8.0%

1 Week

0.0%9.5%

2.3%0.6%3.6%

-2.7%-7.4%

-0.4%-5.4%-5.0%-1.9%

-7.5%61.5%

-9.4%23.5%

78.3%20.2%

31.2%

-2.1%-1.8%

4.3%1.9%

-3.0%

-7.9%-5.5%

-1.8%-9.0%

-2.8%-6.0%

14.1%1.9%

13.9%8.2%

14.5%10.9%9.8%

23.5%37.1%

3.4%3.7%

15.0%-11.3%

27.3%-15.9%

35.3%-6.7%

32.8%6.4%

-3.7%7.4%

1.1%9.2%10.8%

15.7%17.4%

-1.2%14.6%

9.0%12.5%

-35% -15% 5% 25% 45% 65% 85%

Macro CTAsEquity Long/Short

Event DrivenRelative Value

Composite (All strategies)

SGDJPY

GBPEURAUD

Asia ex-Japan

GoldCrude Oil

Precious MetalIndustrial Metal

EnergyAgriculture

Diversified Commodity

Asia HCEurope High Yield

US High YieldDM High Yield Corporates

DM IG Corporates

Asia EM LCEM Sovereign LCEM Sovereign HC

EU SovereignUS Sovereign

DM IG Sovereign

Global Property Equity/REITsUtilities

TelecomMaterials

ITIndustrial

HealthcareFinancial

EnergyConsumer Staples

Consumer Discretionary

TaiwanSouth Korea

IndiaChina

Middle EastLatam

Eastern EuropeAfrica

Asia ex-JapanAustralia

Japan (USD)Japan (Local)

Western Europe (USD)Western Europe (Local)

USEmerging Markets (EM)

Developed Markets (DM)Global High Divi Yield Equities

Global Equities

2021 YTD

FX (against USD)

Bonds | Credit

Equity | Country & Region

Equity | Sector

Bonds | Sovereign

Alternatives

Commodity

SC

WM Chief Investment Office | 2021 10 12

8

Equities ▲ Alternatives ◆

Euro area ▲ Equity hedge ▲

UK ◆ Event-driven ◆ US ▲ Relative value ▼

Asia ex-Japan ▼ Global macro ◆

Japan ◆

Other EM ◆ Cash ▼

USD ▼

Bonds (Credit) ◆ EUR ▲

Asia USD ▲ GBP ▲

Corp DM HY ▲ CNY ◆ Govt EM USD ▲ JPY ◆

Corp DM IG ▼ AUD ▲

NZD ▲

Bonds (Govt) ▼ CAD ◆

Govt EM Local ▼

Govt DM IG ▼ Gold ◆

: (GIC)

: ▲ | ▼ | ◆

Event Next week Period Prior

MO

N

TU

E

EU ZEW Survey Expectations Oct 31.1%

WED

US CPI y/y Sep 5.3%

CH Trade Balance Sep $58.34b

CH Exports y/y Sep 0.256

CH Imports y/y Sep 33.1%

TH

UR

CH CPI y/y Sep 0.008

CH PPI y/y Sep 9.5%

US Initial Jobless Claims 9-Oct –

FRI/

SA

T US Retail Sales Ex Auto and

Gas Sep 2.0%

US U. of Mich. Sentiment Oct P 72.8

: , SC

. (%), P-

, F- , sa- , y/y - , m/m -

S&P500, 1 1.5%

, 2021 10 7

1 1

S&P500 4,400 4,334 4,433

STOXX 50 4,098 4,030 4,132

FTSE 100 7,078 7,023 7,105

Nikkei 225 27,678 27,214 28,457

3,568 3,536 3,601

Hang Seng 24,702 24,212 24,947

MSCI 800 788 806

MSCI 1,253 1,236 1,262

( ) 82.0 80.0 83.2

(Gold) 1,754 1,749 1,764

10 1.58 1.50 1.62

: , SC

(10 6 )

Level 1 Diversity 1-month

trend Fractal

dimension

Global Bonds ◐ 1.46

Global Equities ● 1.66

Gold ● 1.61

Equity

MSCI US ● 2.46

MSCI Europe ● 1.52

MSCI AC AXJ ◐ 1.39

Fixed Income

DM Corp Bond ● 1.44

DM High Yield ● 1.61

EM USD ● 1.51

EM Local ◐ 1.50

Asia USD ● 1.52

Currencies

EUR/USD ◐ 1.42

: , SC ;

1.25 /

: ● | ◐ ~ | ○

SC

WM Chief Investment Office | 2021 10 13

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SC : SC TMKT110-20211012~20220930