Reviewed Country Strategy Model

This deterministic table summarizes the macro, equity, bond, FX and stock-selection evidence used for the country allocation call.

Overweight candidates
Country	Tier	Stance	Score	Macro	Equity YTD	Bond YTD	FX	Z-rank mode
Norway	Developed Markets	Overweight	1.32	1.02	+31.23%	+17.20%	NOK +2.47%	neutral
South Korea	Emerging Markets	Overweight	0.93	0.33	+31.86%	+7.76%	KRW +5.16%	direct
Taiwan		Overweight	0.79	1.05	+33.25%	-0.54%	TWD +2.01%	direct
Ireland	Developed Markets	Overweight	0.62	1.12	+14.72%	-1.18%	EUR +1.16%	neutral
Australia	Developed Markets	Overweight	0.56	-0.08	+18.01%	+12.28%	AUD +2.88%	neutral

Underweight candidates
Country	Tier	Stance	Score	Macro	Equity YTD	Bond YTD	FX	Z-rank mode
France	Developed Markets	Underweight	-0.57	-1.15	+6.74%	-0.67%	EUR +1.16%	neutral
Philippines	Emerging Markets	Underweight	-0.69	0.00	-22.92%	-0.77%	PHP -2.54%	neutral

Selected neutral countries
Country	Tier	Stance	Score	Macro	Equity YTD	Bond YTD	FX	Z-rank mode
Denmark	Developed Markets	Neutral	0.48	1.06	+10.74%	+0.63%	DKK +0.93%	neutral
Kuwait	Frontier Markets	Neutral	0.40	1.45	+0.13%	+2.12%	KWD +0.00%	neutral
United Arab Emirates	Emerging Markets	Neutral	0.26	1.22	-3.34%	+0.64%	AED +0.00%	neutral
Switzerland	Developed Markets	Neutral	0.17	0.71	-1.11%	+3.98%	CHF +0.00%	reverse
Israel	Developed Markets	Neutral	0.15	0.06	+10.42%	+5.01%	ILS +1.00%	neutral
Sweden	Developed Markets	Neutral	0.11	0.77	-0.06%	-2.11%	SEK -0.10%	direct
Portugal	Developed Markets	Neutral	0.09	-0.03	+16.12%	-1.48%	EUR +1.16%	neutral
Malaysia	Emerging Markets	Neutral	0.07	0.11	+7.07%	+0.63%	MYR +1.49%	reverse

MidLincoln Country Strategy – September 2026

Global risk appetite stayed constructive in September 2026, but pay‑offs were highly country‑specific, driven by the interaction of macro quality, equity and bond momentum, and FX. Cross‑asset correlations continued to drift lower, creating room to add value from country rotation rather than beta alone.

Our stance this month is to keep core developed allocations balanced while leaning into high‑conviction overweights in North Asia and select smaller markets, and funding these primarily from weaker equity/FX complexes and macro‑challenged credits.

Last Month Review

The reconstructed August 2026 configuration delivered positive excess returns overall, with strong contributions from high‑beta overweights and limited drag from underweights that rallied.

Overweight Norway remained effective: in September, ML Norway Equity Index returned +7.53%, while ML Norway Bond Index returned +4.90%. Equities modestly outpaced bonds again, supported by a solid macro score and NOK appreciating 2.47% versus USD, which amplified local gains for USD investors.
Overweight South Korea was the standout: ML South Korea Equity Index returned +17.55%, while ML South Korea Bond Index returned +4.47%. Equities materially outperformed already strong duration gains, and KRW strength of 5.16% versus USD further boosted returns. This validates the combination of high equity momentum and supportive FX in our framework.
Underweight South Africa was a mild headwind: ML South Africa Equity Index (not in the current list) gained 6.82% and ML South Africa Bond Index gained 2.01% in September. The rally, together with our move to Neutral now, suggests much of the easy underweight money has been realized.
Underweight Belgium cost some performance as ML Belgium Equity Index returned +3.07% and ML Belgium Bond Index returned +0.60%. Belgian bonds still underperformed peers year‑to‑date, but the September bounce and a move to Neutral argue for less aggressive short exposure.
Underweight France worked directionally but modestly: ML France Equity Index returned +0.24%, while ML France Bond Index returned +0.74%. Bonds marginally beat equities, but the macro score remains poor; we maintain the Underweight.
Underweight Italy slightly detracted as bonds outpaced equities: ML Italy Equity Index returned +0.21% versus ML Italy Bond Index at +1.31%. With the stance now Neutral, we see less asymmetric downside at current spreads and growth expectations.

Overall, the reconstructed August configuration would have benefited from our pro‑North Asia stance and pro‑carry in Norway, with some give‑back from shorts in improving but still fragile European credits.

Core Markets

United States – Neutral, favouring stock selection over country calls

ML United States Equity Index returned +1.46% in September 2026, while ML United States Bond Index returned +0.66%. Equities modestly outperformed bonds, but both sleeves delivered only mid‑single‑digit annualised returns, consistent with a Neutral country stance given a weak macro score and only modest equity momentum.

Base currency is USD; FX does not alter the signal. Equity leadership was narrow and tech‑centric: ATLASSIAN CORP CLASS A (+87.72%), CIRCLE INTERNET GROUP CLASS A (+71.05%) and STRATEGY INC CLASS A (+52.67%) dominated gains, while MONSTER BEVERAGE (-52.88%) and AMPHENOL CORP CLASS A (-49.76%) weighed on defensives and hardware. In credit, high‑beta names such as HERTZ CORPORATION (THE) 144A 2029 (+23.43%) and MPH ACQUISITION HOLDINGS LLC 144A 2031 (+18.30%) rallied strongly, contrasting with sharp losses in MERCER INTERNATIONAL INC. 2029 (-42.88%) and ACCENDRA HEALTH INC 144A 2033 (down over 30%), underscoring idiosyncratic risk rather than a broad US duration call.

United Kingdom – Neutral, with bonds slightly ahead of equities

ML United Kingdom Equity Index returned +1.09% in September 2026, while ML United Kingdom Bond Index returned +1.29%. Gilts slightly outperformed UK equities, in line with our Neutral stance and a soft macro profile, while GBP was flat versus USD and therefore did not impact cross‑border performance.

Equity gains were concentrated in Materials, with ENDEAVOUR MINING (+35.36%), FRESNILLO PLC (+27.35%) and ANGLO AMERICAN PLC (+13.36%) driving the index, against weakness in SMITH AND NEPHEW PLC (-11.57%) and IMPERIAL BRANDS PLC (-8.35%). In credit, THAMES WATER UTILITIES FINANCE PLC bonds across 2029–2034 maturities all rallied around 11%, signalling some relief in a stressed issuer, while cyclicals like MOTION FINCO SARL 2032 (-3.80%) and PAYSAFE FINANCE PLC 2029 (-2.47%) lagged. We keep the UK as a relative‑value stock‑selection market rather than a directional country bet.

Norway – Overweight, cross‑asset momentum with FX tailwind

ML Norway Equity Index returned +7.53% in September 2026, while ML Norway Bond Index returned +4.90%. Equities continued to outperform strong local bonds, and NOK appreciation of 2.47% versus USD amplified both sleeves. Solid macro (current account surplus above 15% of GDP and low public debt) plus positive equity and bond momentum justify a continued Overweight.

South Korea – Overweight, equity and FX leadership

ML South Korea Equity Index returned +17.55%, while ML South Korea Bond Index returned +4.47%. Equities dramatically outpaced bonds, and a 5.16% gain in KRW versus USD reinforced the signal. Macro is only modestly positive, but very strong equity and FX scores make South Korea a high‑conviction Overweight within emerging markets.

Taiwan – Overweight, strong equities versus soft bonds

ML Taiwan Equity Index returned +12.33% in September 2026, while ML Taiwan Bond Index returned -0.45%. Equities decisively outperformed bonds, and a 2.01% appreciation of TWD versus USD further improved USD returns. The macro score is solid and equity momentum is strong despite negative bond trends; we stay Overweight, treating local bonds more cautiously.

Ireland – Overweight, macro‑supported with improving risk assets

ML Ireland Equity Index returned +8.93%, while ML Ireland Bond Index returned +1.61%. Equities clearly led bonds, supported by a strong macro backdrop and moderate EUR strength of 1.16% versus USD. We keep Ireland Overweight, with a tilt towards equities over sovereign duration.

Australia – Overweight, balanced equity and bond performance

ML Australia Equity Index returned +6.49%, while ML Australia Bond Index returned +3.82%. Both sleeves rallied, with bonds slightly behind equities, and AUD appreciating 2.88% versus USD adding to returns. Despite a muted macro score, the combination of equity and bond momentum with supportive FX keeps us modestly Overweight.

Philippines – Underweight, equity drawdown and FX drag

ML Philippines Equity Index returned -8.77% in September 2026, while ML Philippines Bond Index returned +0.61%. Equities sold off sharply, only partially offset by positive but modest bond returns. PHP weakened 2.54% versus USD, further deteriorating foreign investor outcomes. Weak equity and bond momentum alongside negative FX justify our Underweight.

France – Underweight, weak macro with only tentative market support

ML France Equity Index returned +0.24%, while ML France Bond Index returned +0.74%. Bonds modestly outperformed equities, but both lag stronger European peers. EUR strength of 1.16% versus USD provided a small offset. With a poor macro score (low growth and high debt) and uninspiring equity momentum, France remains a funding source at the margin.

Denmark – Neutral, good macro but muted bonds

ML Denmark Equity Index returned +4.60%, while ML Denmark Bond Index returned +1.23%. Equities modestly outperformed bonds, aided by DKK appreciating 0.93% versus USD. Strong external balances support the macro score, but only moderate equity momentum and soft bonds argue for a Neutral stance.

Belgium – Neutral, balanced but unexciting

ML Belgium Equity Index returned +3.07%, while ML Belgium Bond Index returned +0.60%. Equities outperformed still‑weak bonds, but a low macro score and mediocre overall momentum keep us at Neutral. EUR gains of 1.16% versus USD offer only a small FX uplift.

Italy – Neutral, bonds outperform but macro remains fragile

ML Italy Equity Index returned +0.21%, while ML Italy Bond Index returned +1.31%. Bonds outpaced equities, but the macro profile remains weak with high public debt. EUR appreciation of 1.16% versus USD provides a modest benefit; we see no strong case yet for an outright Overweight or Underweight.

Kuwait – Neutral, macro‑rich but lacking market follow‑through

ML Kuwait Equity Index returned -0.85%, while ML Kuwait Bond Index returned +0.71%. Weak equities contrasted with steady bonds, and a flat KWD versus USD meant FX was neutral. Strong fiscal and external balances are offset by negative equity momentum and limited bond upside, justifying a Neutral view.

India – Neutral, equity correction with stable FX

ML India Equity Index returned -0.71%, while ML India Bond Index returned +0.92%. Bonds modestly beat equities as the latter extended their year‑to‑date drawdown. INR gained 0.89% versus USD, partially cushioning losses. Despite high headline growth, weak equity and bond momentum keeps India at Neutral, with scope for selective stock picking only.

China – Neutral, equities lag bonds with mild FX support

ML China Equity Index returned +0.65%, and ML China Bond Index also returned +0.65% in September 2026, indicating similar performance across sleeves. CNY appreciated 0.45% versus USD, marginally lifting returns. Given a weak macro score and only modest bond outperformance, we remain Neutral.

Thailand – Neutral, bonds still soft despite monthly gain

ML Thailand Equity Index returned -1.36%, while ML Thailand Bond Index returned +1.21%. Bonds beat equities in September, but remain negative year‑to‑date, and THB appreciation of 1.09% versus USD only partially offsets this. Mixed signals across macro and markets support a Neutral stance.

United Arab Emirates – Neutral, macro strong but markets hesitant

ML United Arab Emirates Equity Index returned +0.06%, while ML United Arab Emirates Bond Index returned +0.98%. Bonds moderately outperformed almost flat equities. With AED pegged to USD, FX does not shift the picture. Robust macro conditions contrast with weak equity momentum and soft bond scores, leading to a balanced view.

Chile – Neutral, equities stabilising with FX headwind

ML Chile Equity Index returned +2.66%, while ML Chile Bond Index returned +0.09%. Equities outpaced flat bonds, but CLP weakened 1.09% versus USD, eroding some of the equity gains for global investors. With only modest macro support and still‑weak bond momentum, we hold Neutral.

Greece – Neutral, risk assets outperform but macro keeps us cautious

ML Greece Equity Index returned +4.20%, while ML Greece Bond Index returned +2.34%. Both sleeves delivered strong returns, with equities ahead, and EUR appreciation of 1.16% versus USD further enhancing performance. However, high public debt and a negative macro score temper enthusiasm, so we stay Neutral.

Japan – Neutral, strong equities vs soft bonds and modest JPY support

ML Japan Equity Index returned +6.64%, while ML Japan Bond Index returned +0.73%. Equities strongly outperformed bonds, and JPY gained 0.75% versus USD, giving a small FX boost. The macro score remains weak and bond trends are negative; we therefore keep a Neutral country weight while using Japan as a stock‑selection market.

Germany – Neutral, subdued equities and bonds

ML Germany Equity Index returned +1.44%, while ML Germany Bond Index returned +1.13%. Performance was modest across both sleeves, with EUR gaining 1.16% versus USD. A flat macro score and lack of clear momentum edge keep Germany squarely Neutral.

Saudi Arabia – Neutral, muted cross‑asset performance

ML Saudi Arabia Equity Index returned -0.09%, while ML Saudi Arabia Bond Index returned +0.53%. Bonds modestly outperformed slightly negative equities, with SAR stable versus USD and thus FX‑neutral. Mixed macro and market scores lead us to a Neutral allocation.

Turkey – Neutral, cautious stance amid FX weakness

ML Turkey Equity Index returned +2.42%, while ML Turkey Bond Index returned +0.91%. Equities outpaced bonds on the month, but TRY weakened 1.61% versus USD, diluting returns for foreign investors. With moderate macro metrics but weak equity and bond momentum and negative FX, we avoid a directional stance.

Spain – Neutral, equities modestly ahead of bonds

ML Spain Equity Index returned +2.63%, while ML Spain Bond Index returned +1.12%. Equities outperformed bonds, helped by EUR’s 1.16% appreciation versus USD. Macro remains only mid‑pack and bond momentum is negative year‑to‑date, so we maintain Neutral.

Top Overweights

Country	Stance	Total Score	Macro	Equity Momentum	Bond Momentum	FX Impact vs USD
Norway	Overweight	1.32	1.02	1.63	1.77	NOK +2.47%
South Korea	Overweight	0.93	0.33	1.85	0.83	KRW +5.16%
Taiwan	Overweight	0.79	1.05	1.92	-0.63	TWD +2.01%
Ireland	Overweight	0.62	1.12	0.96	-0.40	EUR +1.16%
Australia	Overweight	0.56	-0.08	0.92	1.16	AUD +2.88%

Norway: High macro quality, strong equity and bond momentum, and NOK appreciation justify a core Overweight across both equities and duration.

South Korea: Equity momentum and a strong FX tailwind dominate a middling macro score; we prefer equities but keep some duration given solid bond gains.

Taiwan: Exceptional equity performance offsets weak bonds; TWD strength further supports an equity‑heavy Overweight while remaining cautious on local rates.

Ireland: Robust macro and improving equities justify an Overweight, with bonds used selectively despite their weaker score.

Australia: Balanced equity and bond momentum with supportive FX warrant a measured Overweight, even with a softer macro profile.

Top Underweights

Country	Stance	Total Score	Macro	Equity Momentum	Bond Momentum	FX Impact vs USD
Philippines	Underweight	-0.69	0.00	-2.00	-0.50	PHP -2.54%
France	Underweight	-0.57	-1.15	-0.10	-0.47	EUR +1.16%

Philippines: Deep equity drawdown, soft bonds, and PHP depreciation support an Underweight in both equities and local debt; any exposure should be skewed to higher-quality sovereign lines.

France: Weak macro and uninspiring equity and bond momentum keep France as a structural Underweight despite modest EUR strength.

Qatar, Egypt and Hong Kong remain weak monthly movers, but they are not formal model Underweights in this month's reviewed country allocation and should be treated only as watchlist markets.

Stock Selection Layer

Country allocation is driven by macro score, equity momentum, bond momentum and FX, while z‑rank evidence is used only inside each country for security selection.

Direct z‑rank countries (e.g., United States, South Korea, Taiwan, India, China, Turkey): In these markets, high z‑rank names are favoured. For example, in South Korea the strength of SAMSUNG SDI LTD, POSCO FUTURE M LTD and DB INSURANCE LTD aligns with the direct pattern; in the US, outsized gains in ATLASSIAN CORP CLASS A and CIRCLE INTERNET GROUP CLASS A illustrate the payoff to owning high‑ranked growth and tech risk.
Reverse z‑rank countries (e.g., United Kingdom, Japan, Germany, Spain): Here, lower z‑rank (cheaper, less crowded) names are preferred. UK performance being driven by Materials rather than crowded defensives, and Japan’s broad advance despite weak bonds, are consistent with favouring contrarian exposures within a Neutral country stance.
Neutral z‑rank countries (e.g., Norway, Ireland, Australia, Philippines, France, Denmark, Belgium, Italy, Kuwait, Thailand, United Arab Emirates, Chile, Greece, Saudi Arabia, Hungary, Indonesia, Qatar, Egypt, Hong Kong, Switzerland): In these markets, we do not apply a systematic tilt to high or low z‑ranks; selection leans more on fundamental and thematic considerations. For instance, in Norway and Australia we focus on sector and duration balance rather than z‑rank bias.

This structure ensures that country weights remain anchored in top‑down macro and cross‑asset evidence, while z‑ranks refine security choice only within the chosen markets.

Cross-Asset Divergence and FX Lens

Equity vs bond splits:
- Equities materially outpaced bonds in South Korea, Taiwan, Norway, Japan, Ireland, Australia, Indonesia, Hungary and Greece, supporting an equity‑heavy implementation in these markets.
- Bonds led equities in Italy, France, Belgium, Thailand, Spain, Egypt, Switzerland and the Philippines, arguing for caution on equity risk where macro is weak or FX unsupportive.
- Equities and bonds moved similarly in China, Germany, the United States and the United Arab Emirates, consistent with Neutral country stances.
FX amplifiers and offsets vs USD:
- Positive FX amplifiers: KRW (+5.16%), NOK (+2.47%), AUD (+2.88%), TWD (+2.01%), HUF (+1.59%), THB (+1.09%) and EUR (+1.16%) all enhanced local equity and bond returns, particularly in our Overweight markets South Korea, Norway, Taiwan, Ireland and Australia.
- Negative FX offsets: PHP (-2.54%), CLP (-1.09%), TRY (-1.61%) and EGP (-1.49%) reduced USD returns, reinforcing Underweight or Neutral stances despite occasional local‑currency gains.
- FX‑neutral pegs and flat pairs: QAR, HKD, AED, KWD, SAR and CHF were effectively flat versus USD over the month, leaving local asset performance as the main driver.
Single‑name dispersion:
- Large US corporate bond moves, such as HERTZ CORPORATION (THE) 144A 2029 rallying 23.43% versus MERCER INTERNATIONAL INC. 2029 falling 42.88%, highlight the importance of issuer selection even in Neutral country calls.
- In the UK, THAMES WATER UTILITIES FINANCE PLC bonds across multiple maturities delivered ~11% gains, contrasting with weaker high‑yield names like MOTION FINCO SARL 2032, underscoring that bond momentum can be dominated by specific capital structures.
- In Switzerland, VISTA MANAGEMENT HOLDING INC 144A 2032 and VISTAJET MALTA FINANCE PLC 144A 2030 led bond gains, while equity laggards such as AVOLTA AG and STRAUMANN HOLDING AG illustrate equity‑bond divergence at the issuer level.

Implementation Notes

Bucket	Countries	Portfolio Action
High-conviction Overweights	Norway, South Korea, Taiwan, Ireland, Australia	Overweight equities; add or maintain local bonds where bond momentum is positive (Norway, South Korea, Australia) and keep duration lighter where bond trends are weak (Taiwan, Ireland).
Underweights / Funding	Philippines, France	Underweight equities; keep bond exposure selective and skewed to higher-quality sovereign or quasi-sovereign lines where spreads compensate for macro and FX risk.
Core Neutrals	United States, United Kingdom, Germany, Japan, Spain, Italy, Belgium, Denmark, India, China, Thailand, United Arab Emirates, Chile, Greece, Saudi Arabia, Kuwait, Turkey, Qatar, Egypt, Hong Kong, Switzerland	Maintain benchmark-like country weights; focus on intra-country stock and bond selection, applying direct or reverse z-rank rules where empirically supported.
FX-aware Tilts	South Korea, Norway, Taiwan, Australia (positive FX); Philippines, Chile, Turkey, Egypt (negative FX)	Favour unhedged exposure in positive-FX overweights; consider partial or full FX hedging, or reduced local exposure, in markets with persistent currency weakness.