WEEKLY REPORT

Markets Research
SPOTLIGHT
10-YEAR BOND YIELDS

May 13th May 17th

Portuguese yields continue to fall

Portuguese 10-Year Bond Yields ended this week at the lowest level since the beginning of 2013 (5.292%). This downward movement was also registered in most peripheral countries of Europe. Furthermore, the Portuguese industrial production increased 0.7%, while it retreated 1.7% in the Eurozone. However, Portugal suffered the highest annual GDP drop in Europe (3.9%), after Greece and Cyprus (5.3% and 4.1% respectively). After BOE raised its expectations for the British economic growth, stocks all over Europe were able to recover some of the losses registered in the beginning of the week.
May 17
6.115,53 4.001,27 8.398,00 6.723,06 15.138,12 1.667,47 3.473,04

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Indexes Performance
May 13
PSI 20 CAC 40 DAX 30 FTSE 100 S&P 500 NASDAQ
6.219,09 3.945,20 8.279,29 6.631,76

May 14
6.032,07 3.966,06 8.339,11 6.686,06 14.758,42 1.650,34 3.462,61

May 15
6.090,49 3.982,23 8.362,42 6.693,55 15.096,03 1.658,78 3.471,31

May 16
6.063,45 3.979,07 8.369,87 6.687,80 15.037,24 1.650,47 3.465,24

Wkly Chg %
-2,55% 1,20% 1,44% 1,48% 3,63% 2,07% 1,06%

Growth continues, despite mixed data

US stocks continued their growth trend, despite mixed economic data. Retail sales increased 0.1%, when it was expected that they would decrease 0.5%, and household debt decreased 1%. However, industrial production disappointed the market, decreasing 0.5% in Apr and starts at building sites for homes fell 16.5% last month. Moreover, after a 2-week spiral decrease, it was revealed on Thursday that initial jobless claims jumped by 32,000, an announcement that put a brake on the weekly growth of US equities.

NIKKEI 225 14.782,21

1.633,70 3.438,79

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Commodities Energy & Metals

-0,03% 4,02% 0,87% Crude Oil WTI Natural Gas Crude Oil Brent -6,15% -6,88% -2,01% Gold Silver Copper

Growth slows down in Asia

Asian shares continue to rise, even after mixed economic data was revealed. Chinas industrial output and fixed-asset investment fell short of market expectations (grew 9.3% and 20.6%, respectively). Also, the announcement that China would not provide monetary stimulus to the economy negatively hit the market. Japans real GDP beat market expectations (0.9% against an expectation of 0.7%). In Australia, signs of a weakening economy were observed, resulting mainly in the depreciation of the Australian dollar, which fell below the $1 mark.

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Reference Rates
May 13
Euribor 1M Euribor 3M Euribor 6M Euribor 12M Eonia 0,112% 0,203% 0,303% 0,490% 0,086%

May 14
0,112% 0,203% 0,303% 0,491% 0,081%

May 15
0,112% 0,203% 0,303% 0,491% 0,078%

May 16
0,112% 0,202% 0,301% 0,486% 0,082%

May 17
0,112% 0,200% 0,297% 0,479% 0,066%

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Commodities
Gold prices continued to decrease, after a string of disappointing indicators in the US and Europe led the investors to seek the safety of the dollar. Additionally, Fed authorities put to rest talk the U.S. central bank may delay dismantling stimulus programs. Brent oils premium to WTI widened, driven by the increase in US refined products inventories. Page 1/2

Currencies
May 13
EUR/USD EUR/JPY EUR/GBP EUR/YUAN 1,299 132,060 0,849 7,984

May 14
1,236 132,200 0,850 7,947

May 15
1,288 131,720 0,845 7,919

May 16
1,288 131,590 0,843 7,923

May 17
1,283 132,460 0,846 7,879

Wkly Chg %
-1,20% 0,34% 0,09% -1,21%

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WEEKLY REPORT
Portfolio Management
Markowitz Investment Strategy
Markowitz S&P 500

May 13th May 17th

Markowitz holds still as S&P gains

This week, Markowitz lost 0.78% of its value, while benchmark yielded a 1.46% return. The opportunity cost of a lower volatility is increasing, as S&P strives on favorable macroeconomic conditions. While S&P registered a standard deviation of 0.5%, our portfolio remained at 0.2%, with no positive correlation between their returns, -0.1. As the risk perceived in stocks has been decreasing and the stock market (SPY) has been registering cumulative gains, bonds have been losing their flavor and their prices (LEMB/GTIP) have been falling to the levels recorded in March. Despite this growth, the stock market expectations are not as good as they may seem due to the decrease in US industrial production and to the increase in that economys jobless claims. Eastern European assets dropped, generating a positive return to our short positions, while precious metals (DBP) had a negative impact.

113% 99% 18-Out 26-Out 06-Nov 15-Nov 26-Nov 05-Dec 14-Dec 25-Dec 03-Jan 14-Jan 23-Jan 01-Feb 12-Feb 21-Feb 04-Mar 13-Mar 22-Mar 02-Apr 11-Apr 22-Apr 01-May 10-May

Asset Contribution to Markowitz

GMF DBP DBE GTIP LEMB AFK ESR ILF SPY -1,0% -0,8% -0,6% -0,4% -0,2% 0,0% 0,2% 0,4%

New stock picks yield positive return

The revised Value portfolio generated, this week, a positive return for the first time. However, it was not able to outperform S&P, as it yielded a 0.97% return, while the latter achieved 1.46% one. 1st Constitution Bankcorp (FCCY) unexpectedly suffered a slight drop, as its Q1 earnings report showed a positive performance. CPI Aerostructures (CVU) observed a significant increase in its stock price, as the extension of its agreement with Bell Helicopter will increase its manufacturing revenue by $3.95 million. American Capital (MTGE) yielded a negative return, after being under heavy selling pressure. QCR Holdings (QCRH) completed its strategic merger with Community National Bank and Community National Bank Corporation. Its share price declined due to the likelihood of failure in generating the expected synergies, such as market expansion and customer proximity. Atlantic Power (TA) generated a considerable positive return, as it announced its regular monthly dividend payment. This company distributes annually a $0.39 dividend per share, resulting in a 7.5% dividend yield.

Value Investment Strategy

Value S&P 500
117%

114%

29-Nov 07-Dec 17-Dec 25-Dec 02-Jan 10-Jan 18-Jan 28-Jan 05-Feb 13-Feb 21-Feb 01-Mar 11-Mar 19-Mar 27-Mar 04-Apr 12-Apr 22-Apr 30-Apr 08-May 16-May

Asset Contribution to Value

FCCY CVU MTGE QCRH TA -6,0% -4,0% -2,0% 0,0% 2,0% 4,0% 6,0%

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