Benchmark Review Commodities the only place to hide

E D C L I S S O L D , C F A C H I E F U . S . M A R K E T S T R A T E G I S T

J O S E P H F . K A L I S H C H I E F G L O B A L M A C R O S T R A T E G I S T

R O B A N D E R S O N , C F A U . S . S E C T O R S T R A T E G I S T

Benchmark Review

Commodities the only place to hide

Table of contentsExecutive Summary 2Asset Classes 3Cap & Styles 4Factors 5Sectors & Industries 6Fixed Income 8Regions & Countries 10

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U . S . E Q U I T I E S B E N C H M A R K R E V I E W

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Executive Summary

Too much to absorbThe S&P 500 Index fell 4.9% in Q1, the first

quarterly decline since the 20.0% plunge in Q1

2020 at the start of the pandemic. The first

Fed rate hike since 2018, the highest inflation

in 40 years, and the biggest conflict in Europe

since WWII all weighed on investor confidence.

Large-cap U.S. stocks were not the only asset

class to struggle. Small-caps, Treasurys, cor-

porate bonds, developed international, emerg-

ing markets, and real estate benchmarks all fell

at least 3.5% for the first time since Q3 1981,

even though Treasurys were the only asset to

fall more than 10%. (chart, above).

Commodities were one of the few places to

hide. The S&P/GSCI jumped 29.1% for its best

evident toward the end of the quarter as well.

The S&P 500’s intra-day low was on February

24, the day Russia invaded Ukraine. The NDR

Daily Trading Sentiment Composite fell to its

lowest level since March 2020.

The S&P 500 was down 12.5% as of March

8, but rallied 8.6% to quarter-end, led by

mega-cap Growth stocks that had gotten

crushed to start the year.

The rest of the report contains data and

analyses of returns by asset class, style, factor,

sector, region, and fixed income sector for Q1.

Ex-commodities, worst cross-asset quarter since Q3 1981

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BF22_02A_C

How Hard Is It To Find Winners? Quarterly Data 1981-09-30 to 2022-03-31



BF22_02A_C

How Hard Is It To Find Winners? Quarterly Data 1981-09-30 to 2022-03-31

1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 2022

-0.50.00.51.01.52.02.53.03.54.04.55.05.56.06.57.07.58.0

-10

0

10

20

30

40

50

60

70

80

90

100

110Number of Asset Classes with >=-3.5% Gains per Quarter (Left Scale) (2022-03-31 = 0)

Percentage of Asset Classes with >=-3.5% Gains per Quarter (Right Scale) (2022-03-31 = 0.00%)

Asset Classes: S&P 500 Total Return Index, Russell 2000 Total Return Index, MSCI EAFE Total Return Index (Local), MSCI Emerging Markets Total Return Index (Local), Barclays Long-Term Treasury TotalReturn Index, Barclays Corporate Bonds Total Return, REIT Total Return Index. Ibbotson data used prior to start dates for Russell 2000 and Barclays Treasury Index.

-56-32-18-10

-5-2-10125

10183256

100178

-56-32-18-10

-5-2-10125

10183256

100178Max of Asset Returns (2022-03-31 = -3.60%)

Min of Asset Returns (2022-03-31 = -10.58%)Median of Asset Returns (2022-03-31 = -6.06%)

Source: Ned Davis Research, Inc.Source: MSCI, Bloomberg Barclays Indices, FTSE Russell, Ned Davis Research, Inc., S&P Dow Jones Indices

• Ex commodities, Q1 was the worst quarter across assets since Q3 1981.

• Commodities posted their best quarter on record while bonds had worst in 41 years.

• Resource-based countries, sectors, and styles outperformed, but Growth rebounded in late March.

Key Takeaways

quarter since Q3 1990, when Iraq invaded

Kuwait. Resource-based factors (page 5),

sectors (page 6), and countries (page 10) also

outperformed sharply.

Normally, when risk-on assets like stocks and

real estate fall, risk-off assets like Treasurys

rally. Instead, inflation fears pushed the 10-year

yield to its highest level since May 2019 (page

8). Risk-off strength was found in the dollar,

gold, Utilities, and Aerospace & Defense.

Max pessimismInvestor sentiment’s role in market returns was

mailto:[email protected]

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3 | N E D D A V I S R E S E A R C H

• Commodities had best quarter on record.

• Stocks fell less than bonds.

• Value beat Growth, despite Growth’s late comeback.

Key Takeaways

Asset Classes & Equity Themes

ASSET CLASSESCommodities surge, stocks and bonds fallThe table at right shows returns for 12

asset-class benchmarks for the quarter and

each month of Q1. Every period is ranked sep-

arately, and each asset class has its own color

so that trends can be seen easily. (Click here

for periodic return tables with more bench-

marks and timeframes.)

• Commodities dominated. The S&P/

GSCI soared 29.1% in Q1, gaining at least

7% each month. The GSCI is production

weighted, making its returns dependent

upon energy, but the rally was broad-

based. The equal-weighted Reuters CCI

jumped 27.0%, its best quarter since

data began in 1956, as agricultural and

industrial commodities soared on supply

concerns.

• Dollar/gold combo. The U.S. Dollar

Index and gold often move in opposite

Commodities , stocks and bonds in Q1


directions, but they both rose in Q1 as in-

vestors viewed the U.S. as relatively safe

from international conflict and gold acted

as a flight-to-safety and inflation hedge.

• Stocks outperformed bonds. The

S&P 500 Total Return Index beat the

Bloomberg Barclays U.S. Aggregate by

133 basis points (bps) in Q1. All of the

equity outperformance came in March.

• Nasdaq weak. The tech-heavy Nasdaq

Composite fell 9.1% in Q1, for second-to-

last place on the table. It could have been

worse. The composite was down 20.5%

through March 14, which would have

been its worst start to a year since 2001.

• Developed international outper-formed. The MSCI EAFE Index fell 3.7%

in Q1, outpacing the S&P 500 by 87 basis

points. Note the index is in local currency

terms. In U.S. dollars, EAFE returned -5.9%.

• Emerging markets struggled. The

MSCI Emerging Markets Index slumped

6.1% for the quarter, led by resource-de-

pendent countries like China (see page

10). In U.S. dollars, emerging markets fell

7.0%.

• Bonds crushed. The Barclays Long-

Term Treasury Index fell 10.6%, the worst

benchmark in the table. The U.S. Aggre-

gate and Long-Term Treasury indices fell

each month in Q1. The Aggregate posted

its worst quarter since Q3 1980.

ASSET CLASS BENCHMARK PERFORMANCE 2022 Q1 2022 January 2022 February 2022 MarchS&P GSCI

29.05S&P GSCI

11.16S&P GSCI

7.90S&P GSCI

7.60

Gold6.84

Dollar1.03

Gold5.90

S&P 500 TR3.71

Dollar2.81

T-Bills0.01

Dollar0.06

S&P 5003.58

T-Bills0.08

EM-1.79

T-Bills0.03

NASDAQ3.41

EAFE-3.73

Gold-1.81

Bond Agg-1.12

Gold2.75

DJIA-4.57

Bond Agg-2.15

T-Bonds-1.46

DJIA2.32

S&P 500 TR-4.60

DJIA-3.32

EAFE-2.18

EAFE2.14

S&P 500-4.95

EAFE-3.64

EM-2.38

Dollar1.70

Bond Agg-5.93

T-Bonds-4.14

S&P 500 TR-2.99

T-Bills0.04

EM-6.11

S&P 500 TR-5.17

S&P 500-3.14

EM-2.06

NASDAQ-9.10

S&P 500-5.26

NASDAQ-3.43

Bond Agg-2.78

T-Bonds-10.58

NASDAQ-8.98

DJIA-3.53

T-Bonds-5.34

All data in local currency and price only unless specified as total return (TR). Sources: MSCI,Barclays, Commodity Systems, Inc. (CSI) www.csidata.com, IDC, Ned Davis Research, Inc., S&P Dow Jones Indices

Ned Davis Research BENCH_5_R_AC.RPT

https://www.ndr.com/group/ndr/content-viewer/-/v/BENCH_5

https://www.ndr.com/group/ndr/content-viewer/-/v/BENCH_5_R_AC*RPT



Growth beat Value in Q1...

...despite late comeback by LC Growth

CAP & STYLESThe table at right shows Russell style box

returns for Q1. The chart below shows

Growth/Value returns throughout the

quarter. Value outperformed Growth, but Growth staged a comeback the second half of March.

Large over small• Large-caps outperformed small-caps in

Q1. The Russell Top 200 outpaced the

Russell 2000 by 259 basis points.

• Cap returns were volatile throughout

the quarter. The Russell 2000 was

down 605 bps to the Top 200 as of

February 2, gained it all back by March

10, and then underperformed by

another 694 bps into quarter end.

• Mid-caps held up relatively well, losing

to mega-caps by only 62 basis points.

• SMID Growth bore the brunt of the

weakness, with the Russell Mid-Cap

Growth and Russell 2000 Growth the

only style boxes to decline by double-

digits.

Value over Growth until mid-March• Value outperformed Growth at every

cap-tier by at least 815 bps in Q1.

• Value relative strength was more

pronounced in SMID, where they

outpaced their Growth counterparts

by at least 10%. Note that S&P SMID

Growth benchmarks fell by less than

Russell indices.

• It could have been worse. As of March

14, the Russell 1000 Growth was having

its worst quarter versus the Russell

1000 Value since Q1 2001 before

regaining 741 bps into quarter end.


Russell Cap-Weighted Total-Return Indices % Gain12/31/2021 - 3/31/2022

Value Blend Growth

Large -0.14 -4.94 -8.29

Mid -1.82 -5.56 -12.58

Small -2.40 -7.53 -12.63

Source: Russell. Data Total-Return. Large-cap = Russell Top 200 indices.Mid-cap = Russell MidCap indices.Small-cap = Russell 2000 indices.Blend = broad index at all market-cap levels.

Ned Davis Research SBOX_001.RPT

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permission. All Rights Reserved. See NDR Disclaimer at www.ndr.com/copyright.html.


BA925BA925

Jul Aug Sep Oct Nov Dec Jan

2021

Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan

2022

Feb Mar

120

125

130

135

140

145

150

120

125

130

135

140

145

150

55

60

65

70

75

80

85

55

60

65

70

75

80

85

115

120

125

130

135

140

115

120

125

130

135

140

Source:Source: FTSE Russell



Daily Data 2020-06-30 to 2022-03-31Relative Benchmark Measurements (Russell Style--Total Return)Russell 1000 Growth Index/ Russell 1000 Value Index(2022-03-31 = 130.01)

Russell 2000 Growth Index / Russell 2000 Value Index(2022-03-31 = 58.48)

Russell 3000 Growth Index / Russell 3000 Value Index(2022-03-31 = 122.63)

https://www.ndr.com/group/ndr/content-viewer/-/v/BA900


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Commodity and Value factors strong, profitability weak in Q1

FACTORS The table below shows the performance

of various stock selection factor strategies

for the S&P 500 Index for Q1. The num-

bers show the performance of buying the

top decile (10%) of stocks and selling the

bottom decile. For more factors and time

frames, see our data explorer team’s ST_1A

report.

Value over Growth• The most extreme factor on the table is

Value vs Growth beta (26.7%).

• Other Value factors also performed

well, including operating cash flow yield

(18.9%) and book/price (12.0%).

• Earnings/price (-4.5%) was one of the

few Value factors to underperform.

• Dividend yield (8.8%) was a stronger

factor than dividend payout (3.1%),

dividend growth (1.4%), and LT dividend

growth (-7.2%).

Profitability not favored• LT sales growth (-14.1%), LT EPS growth

(-11.3%), LT EPS growth estimate

(-7.4%), and year/year EPS growth

(-1.1%) all underperformed.

• Balance sheet profitability factors were

weak, including ROI (-17.0%), ROA

(-15.6%), and ROE (-8.5%).

Scarcity• Repurchase announcements soared,

but repurchase yield suffered (-4.1%)

• Earnings revisions were weaker, but

the earnings revisions factor (7.8%) was

among the strongest in the table.

Commodity strength• WTI beta (10.9%) and S&P/GSCI

beta (10.7%) were top economic and

commodity factors.

• Industrial production beta (6.4%)

outperformed.

Bond factors mixed• 10-year government bond beta (-8.1%)

was among the worst economic and

commodity factors.

• Bond factors more closely linked to

economic strength fared better, includ-

ing yield curve slope beta (10.2%) and

credit spread beta (6.2%).

• CPI beta jumped 7.4% as a factor.

Momentum gaining ground• After a few quarters of mixed perfor-

mance, momentum factors have started

to assert themselves over mean rever-

sion, although they have not been as

strong as many macro factors.

• 52-week momentum (5.3%) was the top

momentum and risk factor. 52-week

mean reversion fell 5.7%.

• Despite large-caps outperforming

small-caps in Q1, small vs large beta

rose 9.3%.


S&P 500 Factor Heat Map (12/31/2021 - 03/31/2022)Analyst

EstimatesEconomic and

Commodity SensitivityEfficiency and

QualityLiquidity, Size and Style Sensitivity

Momentum and Risk Payout Profitability Valuation

EarningsRevision

7.83

WTI CrudeOil Beta

10.86

Debt/Asset1.07

Value v.Growth Beta

26.66

52WMomentum

5.33

DividendPayout

3.11

EPSGrowth

-1.07

Operating CashFlow Yield

18.86EarningsSurprise

-2.76

S&P GSCIBeta10.68

AssetTurnover

-0.95

Small v.Large Beta

9.31

52W -4W Momentum

4.03

DividendGrowth

1.37

Foreign/TotalPretax Income

-2.36

EBITDA/Enterprise Value

13.03Long-Term EPSGrowth Estimate

-7.39

Yield CurveSlope Beta

10.17

Debt/Equity-3.66

Cyclical v.Consumer Beta

8.09

MarketBeta3.65

Net PayoutRatio1.07

OperatingLeverage

-2.93

Sales/Price11.99

CPIBeta7.40

Capex/Assets-5.88

Short InterestRatio0.16

4WMomentum

-0.57

LT DividendGrowth

-7.18

LT OperatingEPS Growth

-4.88

Book/Price11.96

British Pound

Beta6.63

Operating CashFlow/Assets

-8.06

High v. LowQuality Beta

-6.85

26WMomentum

-1.18

SalesGrowth

-5.41

CashFlow/Price

10.89

Industrial

Production Beta6.44

CashPosition-10.27

13W

Momentum-1.75

Return On

Equity-8.46

DividendYield8.84

Credit Spread

Beta6.15

TaxPaid/Sales

-10.51

13W MeanReversion

-1.82

PretaxMargin-10.33

Free CashFlow/Price

4.14

US Dollar

Beta2.29

InterestCoverage

-12.54

1WMomentum

-2.46

LT EPSGrowth-11.34

ShareholderYield3.20

EuroBeta-4.05

EBIT/Assets-13.83

2W MeanReversion

-3.12

Net ProfitMargin-13.19

Free CashFlow/EntValue

3.00

10-Yr Gov'tBond Beta

-8.10

1W MeanReversion

-3.46

LT SalesGrowth-14.05

EBIT/EnterpriseValue1.37

GoldBeta

-12.82

26W MeanReversion

-3.72

Return OnAssets-15.62

Net PayoutYield0.05

YenBeta

-18.26

52W MeanReversion

-5.70

Return OnInvestment

-16.95

RepurchaseYield-4.04

43W

Momentum-5.79

Earnings/

Price-4.48

4W MeanReversion

-6.11

For list of all factor definitions, click here. Excerpt from ST_1A

https://www.ndr.com/group/ndr/content-viewer/-/v/ST_1A


https://www.ndr.com/screener-web/stockCriteriaListing



Sectors & Industries

Energy was the clear standout in Q1

• Energy soared 37.7% in Q1, its best quarter since at least 1972.

• All three defensive sectors outperformed during the quarter.

• Sector and industry leadership was very much Value over Growth.

Key TakeawaysSECTORSThe table below shows sector returns for Q1.

Leadership was Value oriented to begin the

year, with Energy and Utilities the only sectors

with positive returns in the quarter. Cyclical

Growth sectors Communication Services, Con-

sumer Discretionary, and Technology were the

worst performers, all down greater than 8%.

Energy led in Q1• Supply disruptions stemming from the

war in Ukraine sent commodity prices

surging in the Q1. The price for WTI

closed as high as $124 per barrel during

March, before finishing the quarter at

$100. The commodity rose by roughly a

third in value during the quarter.

S&P 500 GICS Sector Return Contribution (Q1 2022)

SectorSector Weight

as a % of the S&P 500 12/31/21% Return

12/31/2021 - 3/31/2022Contribution

12/31/2021 - 3/31/2022

Energy 2.67 37.66 1.01

Utilities 2.50 3.96 0.10

Consumer Staples 5.88 -1.63 -0.10

Financials 10.69 -1.91 -0.20

Industrials 7.78 -2.74 -0.21

Materials 2.56 -2.84 -0.07

Health Care 13.29 -2.99 -0.40

Real Estate 2.77 -6.88 -0.19

Information Technology 29.17 -8.55 -2.50

Consumer Discretionary 12.54 -9.19 -1.15

Communication Services 10.16 -12.11 -1.23

Total Sector Contribution -4.95

Actual S&P 500 Gain -4.95

Residual 0.00

Note: S&P Dow Jones Indices launched the Communication Services sector on 2018-09-24. Returns include the new sector composition historically.

Ned Davis Research BENCH_504


• Energy responded by rising 37.7% in Q1, a record going back to 1972 when our

sector data begins.

• The nearly 4200 basis points of outper-

formance over the S&P 500 was also

a record, almost more than double the

previous record of 2200 basis points set

in Q1 2021.

Growth lagged• All three cyclical Growth sectors under-

performed in Q1.

• The FANMAG (FB, AAPL, NFLX, MSFT,

AMZN, GOOGL) group was down as much

as 18.5% in the quarter, but rallied since

mid-March to finish down 7.3% in Q1.

https://www.ndr.com/group/ndr/content-viewer/-/v/BENCH_504*RPT



INDUSTRIES

The table below shows the top 10 and bottom

10 performing industries for Q1.

Commodity industries led in Q1 • Unsurprisingly given the surge in

commodity prices in the quarter, the

top three performing industries in Q1

reside in commodity sectors Energy

and Materials.

• Energy Equipment & Services (48.1%)

was the top performer in the quarter,

led by Halliburton (65.6%) and Baker

Hughes (51.3%).

• The Continuous Commodity Index

(CCI) was up 27.0% in the quarter, and

Metals & Mining (24.7%) finished as the

third-best performing industry.

• All six sub-industries within Metals &

Mining were up over 20% in the quarter.

The Aluminum sub-industry led the

way, rising 31.7% in Q1.

• Along with commodity industries,

the war in Ukraine, and the proposed

increases in defense spending from the

U.S. and other NATO countries, helped

make Aerospace & Defense (11.2%) a

top performer in the quarter.

• Lockheed Martin was the top performer

in Aerospace & Defense, up 24.2%. Boe-

ing (-4.9%) was the worst of the group

following a crash of a Boeing 737-800

plane in China.

Rising yields impacted leadership• The 10-year Treasury yield jumped 83

basis points in Q1, supporting several

industries within Financials, including

Diversified Financial Services (18.0%)

and Insurance (8.4%).

• Rising rates were a headwind for

Growth-oriented industries, with eight

of the bottom 10 coming from cyclical

Top and Bottom Performing S&P 500 Industries (Q1 2022)S&P 500 Industry Q1 2022 Return (%) SectorEnergy Equipment & Services 48.07 Energy

Oil, Gas & Consumable Fuels 36.78 Energy

Metals & Mining 24.74 Materials

Diversified Financial Services 18.03 Financials

Construction & Engineering 14.78 Industrials

Gas Utilities 14.05 Utilities

Aerospace & Defense 11.16 Industrials

Wireless Telecommunication Services 10.67 Communication Services

Multi-Utilities 10.53 Utilities

Insurance 8.38 Financials

Electronic Equipment, Instruments & Components -15.69 Information Technology

Entertainment -18.86 Communication Services

Textiles, Apparel & Luxury Goods -18.93 Consumer Discretionary

Leisure Products -19.51 Consumer Discretionary

Distributors -19.88 Consumer Discretionary

Building Products -21.30 Industrials

Specialty Retail -21.41 Consumer Discretionary

Auto Components -24.75 Consumer Discretionary

Household Durables -25.26 Consumer Discretionary

Personal Products -26.44 Consumer Staples

Cap-weighted, price only. Sources: NDR Multi-Cap Institutional (Universe), S&P Capital IQ and MSCI, Inc. (GICS)

Ned Davis Research T_BF22_02.1

Eight of the bottom 10 industries were from Growth sectors


Top 10Bottom 10

Growth sectors.

• Despite typically having negative cor-

relations with interest rates, Gas Utilities

(14.1%), Wireless Telecommunication

Services (10.7%), and Multi-Utilities

(10.5%) were among the top performers

during the quarter.

Broad Growth weakness • Six of the 10 worst-performing in-

dustries in Q1 were from Consumer

Discretionary.

• No industry from Consumer Discretion-

ary or Technology finished in positive

territory for the quarter.

• Entertainment (-18.9%) was dragged

down by Netflix’s 37.8% drop in Q1 fol-

lowing the company’s disappointing Q4

earnings results and weak guidance.



Fixed IncomeWorst bond performance since Q3 1980

Floating rate debt performed best

• The U.S. bond market suffered its worst quarterly performance since Q3 1980.

• Floating rate debt performed best, whereas EM bonds were the worst sector.

• Global markets underperformed in USD terms.

Key Takeaways

The U.S. bond market suffered its worst quarterly performance since Q3 1980 and the third worst showing since

1973, losing 6.0% (top chart). That was

even worse than the S&P 500’s 4.6% loss.

The only other time the bond market’s

loss exceeded the stock market’s loss to

this degree was in Q1 1980. As a result,

the 60/40 portfolio returned a horrendous

-5.2% for the quarter, as bonds failed to

hedge the loss in equities.

Not surprisingly, floating rate instru-ments performed best. Leveraged

loans lost 10 bp (bottom chart), while

floating rate Treasurys lost 22 bp.

Among non-floating rate instruments,

short-duration asset-backed securities

lost 2.9%, followed by TIPS, which lost

3.0%

© Copyright 2022 Ned Davis Research, Inc. Further distribution prohibited without prior

permission. All Rights Reserved. See NDR Disclaimer at www.ndr.com/copyright.html.


B1GB1G

1974 1976 1978 1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 2022

-20

-15

-10

-5

0

5

10

-20

-15

-10

-5

0

5

10

-30

-20

-10

0

10

20

-30

-20

-10

0

10

20

-10

-5

0

5

10

15

-10

-5

0

5

10

15

Quarterly Rebalancing Source:Source: Bloomberg Barclays Indices, S&P Dow Jones Indices

Source:Source: S&P Dow Jones Indices

Traditional U.S. Agg used January 1976 to June 2009. Gov/Corp Bond Index prior to 1976 Source:Source: Bloomberg Barclays Indices

Quarterly Data 1973-06-30 to 2022-03-31Comparative Returns for the 60/40 Portfolio, Stocks, and Bonds

Available Return Periods:

Monthly | QuarterlyQuarterly | Annual

Available Return Types:

NominalNominal | Real (CPI-Adjusted)

60/40 Portfolio (Quarterly Return) (2022-03-31 = -5.2%)

S&P 500 Total Return (Quarterly Return) (2022-03-31 = -4.6%)

Float-Adjusted U.S. Aggregate (Quarterly Return) (2022-03-31 = -6.0%)

Monthly 3/31/2007 - 3/31/2022

(B29DD)

3/31/2022 = 3312.1Source: Standard & Poors1293

1395

1504

1623

1750

1888

2036

2196

2369

2555

2755

2972

3206

1293

1395

1504

1623

1750

1888

2036

2196

2369

2555

2755

2972

3206

Monthly % Change 3/31/2022 = 0.0%

-12

-10

-8

-6

-4

-2

0

2

4

6

8

-12

-10

-8

-6

-4

-2

0

2

4

6

8

Year-to-Year Change 3/31/2022 = 3.3%

-20

-10

0

10

20

30

40

50

-20

-10

0

10

20

30

40

50

20

08

20

09

20

10

20

11

20

12

20

13

20

14

20

15

20

16

20

17

20

18

20

19

20

20

20

21

20

22

S&P/LSTA Leveraged Loan Total Return Index

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©


3rd worst quarterly return since 1973

https://www.ndr.com/group/ndr/content-viewer/-/v/B1G

https://www.ndr.com/group/ndr/content-viewer/-/v/B29DD



Global marketsDeveloped global markets performed even worse, as the U.S. dollar strengthened.

The Global Aggregate ex-China index in U.S.

dollar terms lost 6.8%.

In local currency terms, the Sterling

Aggregate had the worst performance,

dropping 7.2% (chart right). Asia-Pacific

excluding China (mostly Japan) lost less

than 1%, as the BOJ kept policy steady and

under yield curve control. The Euro-Agg

lost 5.4%.

U.K. market was worst DM performer

Worst bond sector in Q1



B2031

Sterling Aggregate Bond Total Return Index Monthly Data 1998-12-31 to 2022-03-31 (Log Scale)



B2031

Sterling Aggregate Bond Total Return Index Monthly Data 1998-12-31 to 2022-03-31 (Log Scale)

100112126141158178200224251282

100112126141158178200224251282

Source: Bloomberg Barclays

Sterling Aggregate Bond Total Return Index 2022-03-31 = 281.2

-4-3-2-1012345

-4-3-2-1012345Monthly % Change 2022-03-31 = -2.0%

2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 2022

-5.0-2.50.02.55.07.5

10.012.515.017.5

-5.0-2.50.02.55.07.5

10.012.515.017.5Year-to-Year Change 2022-03-31 = -5.4%

Monthly 1/31/1993 - 3/31/2022 (Log Scale)

(B4029)

Source: Bloomberg Barclays Indices114

138

168

204

248

301

366

444

540

656

797

968

1176

114

138

168

204

248

301

366

444

540

656

797

968

1176

Monthly % Change

-24

-20

-16

-12

-8

-4

0

4

8

12

-24

-20

-16

-12

-8

-4

0

4

8

12

Year-to-Year Change

-20-15-10

-505

1015202530354045

-20-15-10

-505

1015202530354045

19

93

19

94

19

95

19

96

19

97

19

98

19

99

20

00

20

01

20

02

20

03

20

04

20

05

20

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20

07

20

08

20

09

20

10

20

11

20

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14

20

15

20

16

20

17

20

18

20

19

20

20

20

21

20

22

Barclays Emerging Markets (USD) Aggregate Total Return Index

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©

But none compared to the 9.2% loss for the U.S. dollar-denominated EM Bond Index, due to plunging Russian debt. Even so, that was only the sixth worst quarter since 1993. For additional detail on fixed income sector performance, please see report BMS_5.


https://www.ndr.com/group/ndr/content-viewer/-/v/B2031

https://www.ndr.com/group/ndr/content-viewer/-/v/B4029

https://www.ndr.com/group/ndr/content-viewer/-/v/BMS_5

A P R I L 1 , 2 0 2 2 1 0P E R I O D I C A L | I S S U E : # B F 2 2 _ 0 2 | N D R . C O M Please see important disclosures at the end of this report.

1 0 | N E D D A V I S R E S E A R C H

Regions & Countries

• Commodity-based countries outperformed, regardless of geographic location or developed classification.

• Resource-dependent countries underperformed, especially in U.S. dollar terms.

• The U.S. underperformed for only the third time in the last 21 quarters.

Key Takeaways

The map below and table on page 11

show the contribution to returns of the

MSCI All Countries World Index (ACWI) in

local currencies in Q1. Resource-based countries were among the few to post gains to start 2022.

Commodity winners• The strength in commodities was

evident in country returns. Among

regions/major countries, the U.K.,

Canada, and Pacific ex. Japan gained,

while Japan, the U.S., Emerging Markets,

and Europe ex. U.K. fell.

• Resource-based developed countries

such as Norway (8.9%) and Australia

(2.2%) were among the few developed

markets to rise in Q1.

• The resource split was even more

evident in Emerging Markets. Every

Latin American market rose, led by Peru

(34.3%) and Brazil (14.6%) Indonesia

jumped 9.0%.

• In Emerging EMEA, Turkey (21.5%),

UAE (19.4%), Qatar (16.1%), South Africa

(9.3%) were among the strongest

countries in the entire ACWI.

Resource-dependent losers• Big importers of natural resources fell

sharply. China tumbled 13.9%, South

Korea slumped 8.2%, Taiwan fell 3.5%,

and Egypt dropped 10.9%..

• European countries dependent upon

Russian energy underperformed,

including Germany (-11.2%), Austria

(-18.2%), and Hungary (-17.9%).

• Japan fell 2.5%. Note that returns are in

local currency terms. The yen tumbled

5.4% against the U.S. dollar, so Japan fell

7.5% in dollar terms.

Commodity exporters big winners in Q1



BA6000 © Copyright 2022 NDR, Inc. Further distribution prohibited without prior permission.All Rights Reserved. See NDR Disclaimer at www.ndr.com/copyright.html


BA6000

MSCI All Country World Index Year-to-Date Performance Map

-18.

22.

2

-2.9

14.6

2.9

-6.2

18.9

-13.

922

.3

3.6

-11.

2-5

.4-1

0.9

-2.2

-11.

1-6

.8

3.5

3.0

-1.9

-17.

99.

0

-18.

9-5

.6

-0.1

-8.4

-2.5

-8.2

5.5

1.3

-15.

68.

9

-10.

834

.3

3.0

-6.7

4.6

-13.

7-1

.4

2.8

21.5

-3.5

-5.5

9.3

Aus

tria

Aus

tral

ia

Belg

ium

Braz

il

Cana

da

Switz

erla

nd

Chile

Chin

a

Colo

mbi

a

Czec

h Re

publ

ic

Ger

man

y

Den

mar

k

Egyp

t

Spai

n

Finl

and

Fran

ce

U.K

.

Gre

ece

Hon

g Ko

ng

Hun

gary

Indo

nesi

a

Irela

nd

Isra

el

Indi

a

Italy

Japa

n

Sout

h Ko

rea

Mex

ico

Mal

aysi

a

Net

herla

nds

Nor

way

New

Zea

land

Peru

Phili

ppin

es

Pola

nd

Port

ugal

Swed

en

Sing

apor

e

Thai

land

Turk

ey

Taiw

an

U.S

.

Sout

h A

fric

a

Chart Notes:Return period: 2021-12-31 - 2022-03-31.Returns are price-only in local currency.Return table sorted alphabetically by country name.

Returns in red reflect lowest returns.Returns in dark green reflect highest returns.

Returns (2021-12-31 - 2022-03-31)

Source: MSCI

U . S . E Q U I T I E S B E N C H M A R K R E V I E WU . S . E Q U I T I E S B E N C H M A R K R E V I E WU . S . E Q U I T I E S B E N C H M A R K R E V I E W

Rare U.S. weakness• The U.S. underperformed the ACWI by

43 bps in Q1, only the third quarter in

the last five years the U.S. has trailed

the global benchmark.

Europe ex. U.K. struggles• Europe ex. U.K. was the weakest region/

major country at -8.6%. In U.S. dollars,

Europe ex. U.K. fell 10.4%.

Benchmark changes• MSCI reclassified Russia, Argentina, and

Pakistan out of the MSCI All-Country

World Index.



1 1 | N E D D A V I S R E S E A R C H

Basic resources mattered more than geography or developed classification in Q1


MSCI Regional Contribution Q1 2022 (Local Currency Terms)All-Countries World Index Region % Gain % Weight % ContributionUnited Kingdom 3.50 3.60 0.13Canada 2.88 2.90 0.08Pacific ex. Japan 0.56 2.73 0.02Japan -2.50 5.54 -0.14United States -5.55 61.31 -3.40Emerging Markets -6.46 11.18 -0.72Europe ex. UK -8.61 12.57 -1.08Contribution % Gain -5.12ACWI % Gain -5.12Residual 0.00Europe ex. U.K. Index Country % Gain % Weight % ContributionNorway 8.90 1.29 0.11Portugal 4.58 0.38 0.02Spain -2.18 4.39 -0.10Belgium -2.90 1.74 -0.05Denmark -5.35 5.30 -0.28Switzerland -6.18 20.51 -1.27France -6.83 22.95 -1.57Italy -8.40 4.87 -0.41Finland -11.06 2.02 -0.22Germany -11.15 17.38 -1.94Sweden -13.71 7.77 -1.06Netherlands -15.62 9.60 -1.50Austria -18.21 0.46 -0.08Ireland -18.90 1.36 -0.26Contribution % Gain: -8.61Europe ex. UK % Gain: -8.61Residual: 0.01Pacific ex. Japan Index Country % Gain % Weight % ContributionAustralia 2.17 62.41 1.35Singapore -1.42 10.86 -0.15Hong Kong -1.91 24.86 -0.47New Zealand -10.76 1.88 -0.20Contribution % Gain: 0.52Pacific ex. Japan % Gain: 0.56Residual: -0.04Emerging Europe, Middle East and Africa Index Country % Gain % Weight % ContributionTurkey 21.50 1.62 0.35United Arab Emirates 19.36 7.83 1.52Qatar 16.06 5.46 0.88South Africa 9.27 22.23 2.06Czech Republic 3.59 0.97 0.04Greece 3.04 1.46 0.04Poland -6.74 5.34 -0.36Egypt -10.90 0.60 -0.07Hungary -17.89 1.65 -0.29Contribution % Gain: 4.16Emerging Europe, Middle East and Africa % Gain: -10.27Residual: 14.43Latin America Index Country % Gain % Weight % ContributionPeru 34.26 2.84 0.97Colombia 22.35 2.48 0.55Chile 18.95 5.45 1.03Brazil 14.57 59.00 8.60Mexico 5.54 30.23 1.68Contribution % Gain: 12.83Latin America % Gain: 12.73Residual: 0.10Emerging Asia Index Country % Gain % Weight % ContributionIndonesia 9.01 1.83 0.17Philippines 2.99 0.90 0.03Thailand 2.82 2.12 0.06Malaysia 1.32 1.75 0.02India -0.12 15.77 -0.02Taiwan -3.45 20.38 -0.70South Korea -8.20 16.22 -1.33China -13.92 41.03 -5.71Contribution % Gain: -7.49Emerging Markets Asia % Gain: -7.53Residual: 0.04Contribution % Gain: -1.36Emerging Markets Asia % Gain: -1.34Residual: -0.02Market cap is MSCI calculation. % Weight = region/country market cap as a percent of region market cap on 12-31-2021. Percentage gain 12/31/2021 - 3/31/2022, % Contribution = % Weight X % Gain. Source: MSCI Ned Davis Research T_BF22_02.3

NDR HOUSE VIEWS (Updated March 21, 2022)

For global asset allocation, NDR recommends overweight allocation to cash, marketweight allocation to stocks and underweight allocation to bonds. Equities remain in the secular bull market started in 2009. But we have been expecting increased volatility and recognize the possibility of a cyclical bear market.

Equity Allocation

U.S. | Our intermediate-term outlook for U.S. equities is neutral.

On an asset allocation basis, we are overweight cash and

underweight bonds. We favor large-caps over small-caps and

are neutral on Growth versus Value.

INTERNATIONAL | We are overweight Europe ex. U.K. and

Canada, underweight Pacific ex. Japan and the U.S., and

marketweight on all other regions.

Macro

ECONOMY | The global economy is poised for slower, but still

strong growth in 2022, as high savings and wealth, pent-up

demand, and the broadening of vaccines globally support

growth. The COVID pandemic, supply chain issues, elevated

inflation, and tighter global monetary policy present risks to

the outlook.

FIXED INCOME | We are 85% of benchmark duration and

expect the yield curve to flatten. We are overweight CMBS,

ABS, and HY corporates, and marketweight everything else.

GOLD | Long-term uptrend intact. We are bullish.

DOLLAR | Our long-term technical composite is positive. We

are neutral, also recognizing real interest rate di� erentials.

Overweight Marketweight Underweight

Near term activity: Accelerating Neutral Decelerating

Global Asset Allocation

Cash (15%)

Stocks (55%)

Bonds (30%)

Benchmark: Stocks (55%), Bonds (35%), Cash (10%)

Equities — Regional Relative Allocation

Europe ex. U.K. (16%) | Canada (6%)

Japan (6%) | Emerging Markets (13%) | U.K. (4%)

U.S. (54%) | Pacific ex. Japan (1%)

Benchmark – U.S. (59.5%), Europe ex. U.K. (12.7%), Emerging Markets (12.2%), Japan (6.0%), U.K. (3.7%), Pacific ex. Japan (2.9%), Canada (2.9%)

Global Bond Allocation

Europe (30%) | Japan (20%)

U.K. (5%)

U.S. (45%)

Benchmark: U.S. (52%), Europe (27%), Japan (15%), U.K. (6%)

U.S. AllocationCash (15%) | Large-Cap

Stocks (55%) | Growth | Value | Mid-Cap

Bonds (30%) | Small-Cap

Benchmark: Stocks (55%), Bonds (35%), Cash (10%)

Sectors

Energy (5%) | Materials (4%) | Consumer Staples (9%) | Health Care (16%)| Utilities (4%)

Consumer Discretionary (10%) | Communication Services (8%) | Technology (23%)

Benchmark: Technology (27.4%), Health Care (12.9%), Financials (10.9%), Communication Services (10.9%), Consumer Discretionary (13.1%), Consumer Staples (6.4%), Industrials (8.2%), Energy (2.8%), Utilities (2.4%), Real Estate (2.5%), Materials (2.5%)

U.S. Bonds — 85% of Benchmark Duration

Global Economy(4.3%)

U.S. Economy(3.0%-3.5%)

U.S. Inflation(4.0%-4.5%)

Economic gauges reflect changes in near-term economic activity. Numbers in parenthesis refer to NDR 2022 forecasts.

Economic Summary March 28, 2022


U . S . S E C T O R S E Q U I T I E S

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