EM strength vs US flows as Europe globalises further

Research evidence excerpt

EM strength vs US flows as Europe globalises further

European Momentum Conviction Indicator

Exhibit 44: BofA European Momentum Conviction Indicator (MCI) Exhibit 45: Declines in Momentum Volatility and Trend Reversal

stands at 19, below the threshold of 30 which signals a potential Risk inputs pushed the indicator down by 5 points over the week

crash in the Momentum style BofA European Momentum Conviction Indicator’s inputs latest readings

BofA European Momentum Conviction Indicator (100=High, 0 = Low) (100=High, 0=Low)

100 100 Latest Backtested period 1w ago

80 80 1m ago

60 60

40 30 40

20 20 8

Low conviction

on Momentum 0 0

Momentum Volatility Implied Volatility Trend Reversal Risk 99 01 03 05 07 09 11 13 15 17 19 21 23 25

Input Input Input

Source: BofA European Equity Quant Strategy, FactSet. Disclaimer: Performance through 06

October 2020 (shaded on the chart above) is back-tested and does not represent the actual Source: BofA European Equity Quant Strategy, FactSet. For definitions of the inputs and the latest

performance of any account or fund; actual performance from 07 October 2020. Backtested screen of stocks please see Appendix

performance depicts the theoretical (not actual) performance of a particular strategy over the time BofA GLOBAL RESEARCH

period indicated. No representation is being made that any actual portfolio is likely to have

achieved returns similar to those shown herein. The indicator identified as the BofA European

Conviction Momentum Indicator above is intended to be an indicative metric only and may not be

used for reference purposes or as a measure of performance for any financial instrument or

contract, or otherwise relied upon by third parties for any other purpose, without the prior written

consent of BofA European Equity Quant Strategy.