GlobalCross-AssetStrategy03October2019GlobalAssetAllocationAddlongsinGoldandOilvolGlobalCross-AssetStrategyNikolaosPanigirtzoglouAC(44-20)7134-7815nikolaos.panigirtzoglou@jpmorgan.comBloombergJPMAFLOWJ.P.MorganSecuritiesplcMarkoKolanovic,PhDAC(1-212)272-1438marko.kolanovic@jpmorgan.comJ.P.MorganSecuritiesLLCJohnNormandAC(44-20)7134-1816john.normand@jpmorgan.comJ.P.MorganSecuritiesplcMikaInkinenAC(44-20)77426565mika.j.inkinen@jpmorgan.comJ.P.MorganSecuritiesplcSeepage38foranalystcertificationandimportantdisclosures,includingnon-USanalystdisclosures.J.P.Morgandoesandseekstodobusinesswithcompaniescoveredinitsresearchreports.Asaresult,investorsshouldbeawarethatthefirmmayhaveaconflictofinterestthatcouldaffecttheobjectivityofthisreport.Investorsshouldconsiderthisreportasonlyasinglefactorinmakingtheirinvestmentdecision.www.jpmorganmarkets.comStrategyWeremainOWequitiesandmodestlyOWincommoditiesvs.UWbonds,butmaintainportfoliohedgesviaanUWincreditandOWingold.TheseportfoliohedgesalongwithournewlongvolpositionsinOilandGoldandourexistingEuroSTOXX50putandHSCEIforwardskewstructuresaswellasourpredominantlydefensiveFXtrades,areinouropinionsufficienttoprotectourportfolioagainstgrowthortradewarrisks.WithinequitiesweupgradeEuroareaequitiestoOWfromUWviatacticallytakingprofitonourpreviousJapaneseequityOW.WecontinuetofavorValuevs.LowVolandMomentumInthefixedincomespace,weholdalongdurationexposureviaUSTs,OWinperipheryvs.corecountriesintheEuroareaandlongsincross-marketcarry.IntheFXspace,weretaindefensiveexposurevialongsinsafehavenssuchastheyen,Swissfrancandpreciousmetalsvs.riskycurrenciessuchascommoditycurrenciesandEM.Withincommoditieswefavorenergyandpreciousmetals.TradingThemes1.StayOWequitiesvs.bonds,withcreditUWasahedge.2.AddlonginOilVolviabuying3-monthstraddlesandselling6-monthstraddlesveganeutral.3.AddlonginGoldVolviaalongpositionin3-monthstraddlesongoldfuturesasaproxyforratevol4.ReversepreviousUWinEurozoneequities5.Holdlongsinyen,Swissfrancandpreciousmetalsvs.riskycurrenciessuch...
