J.P. 摩根-全球-量化策略-MSCI期货展望-2019.6.10-22页.pdf

Global Quantitative&Derivatives Strategy10 June 2019 MSCI Futures Rollover OutlookJune-September 2019Global Quantitative and Derivatives StrategyBram Kaplan,CFA AC(1-212)272-J.P.Morgan Securities LLCYukun Zhang AC(852)2800-J.P.Morgan Securities(Asia Pacific)Limited/J.P.Morgan Broking(Hong Kong)LimitedDavide Silvestrini(44-20)7134-J.P.Morgan Securities plcMarko Kolanovic,PhD(1-212)622-J.P.Morgan Securities LLCTony SK Lee(852)2800-J.P.Morgan Securities(Asia Pacific)Limited/J.P.Morgan Broking(Hong Kong)LimitedSee page 19 for analyst certification and important disclosures,including non-US analyst disclosures.J.P.Morgan does and seeks to do business with companies covered in its research reports.As a result,investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report.Investors should consider this report as only a single factor in making their investment The MSCI EM roll is trading very cheap to fair value,near its cheapest roll cost over the past 5 years.Positioning in EM futures appears to have deteriorated significantly this quarter,so we believe the EM roll is slightly biased towards cheapening into expiry;however,much of this deterioration in positioning may already be priced in and the extent of further cheapening could be limited.The EM roll faces binary risks from trade and the Fed,as discussed in our US Roll Outlook,and can move on major news on either front.The EM roll also faces risk due to dividend concentration this quarter,with most of these dividends coming from companies in China and Taiwan.The MSCI EAFE roll is trading cheap to fair value;however,the roll has barely begun to trade and open interest on the September futures is close to zero,so there could be a sizable price adjustment once the roll spread begins actively trading later this week.Investor positioning in international developed market equities appears little changed to slightly worse over the past quarter.We thus believe the roll positioning is neutral to slightly biased short,and the roll will most likely be relatively uneventful(in the absence of a major catalyst)with a slight cheapening bias this quarter.For other liquid regional MSCI Jun-19/Sep-19 futures rolls:MSCI Europe NTR(ZRPA)roll currently trades at a small discount,in line with 2Q-4Q18 levels.On the other hand,MSCI EM Asia NTR(ZTWA)roll cost is quite discounted compared to the past 2 years.MSCI World NTR(ZWPA)roll is currently trading at a slightly narrower discount compared to last quarter,but remains cheap vs.historical levels.Among liquid country MSCI contracts,MSCI Singapore,Taiwan and Indonesia rolls all traded at lower premia/higher discounts compared to fair value in May 2019.The weaker net long demand(as reflected by cheaper roll cost)is in-line with the regional trend in Asia Pacific,as EM outflows and fragile sentiment take a toll.Investors can also find roll color in our regional Futures Roll Outlooks at the following links:US Roll Outlook,European Roll Outlook,Japan Roll Outlook,and KOSPI 200 Roll Outlook.2Global Quantitative&Derivatives Strategy10 June 2019Bram Kaplan,CFA(1-212)272- Table of ContentsMSCI EM and EAFE Roll Outlook.3MSCI EM Roll.3MSCI EAFE Roll.5Other Regional MSCI Contracts Overview.8MSCI Europe.8MSCI EM Asia.8MSCI World.9Country MSCI Contracts Overview.10MSCI Singapore.10MSCI Taiwan.11MSCI Indonesia.12Asia Pacific futures roll review.13Roll Data Summary.14Appendices.16Appendix 1:Basic Roll Concepts.16Appendix 2:Roll Cost Expressed as Implied Financing Rate.17Appendix 3:Calendar of upcoming holidays.183Global Quantitative&Derivatives Strategy10 June 2019Bram Kaplan,CFA(1-212)272- MSCI EM and EAFE Roll OutlookMSCI EM RollThe MSCI EM roll is trading 28bps cheap to the Eurodollar fair value(based on an estimated 10.49 index points of net dividends for the roll spread),which near its cheapest roll cost over the past 5 years(Figure 2).The relative cheapness of the roll this quarter is likely due to a deterioration in EM positioning which suggests decreased demand for EM equity financing(see the Positioning section below),and dividend concentration(40%of the full year dividends go ex between the June and September expiries)since the futures embed lower tax withholding rates than those assumed by MSCI1.Last quarter,the MSCI EM roll generally richened through the highest volume days,reflecting the relatively strong positioning in EM futures,in-line with our view,but cheapened significantly during expiry week.Positioning in EM futures appears to have deteriorated significantly this quarter(see the Positioning section below),so we believe the EM roll is slightly biased towards cheapening into expiry;however,much of this deterioration in positioning may already be priced in and the extent of further cheapening could be limited,given the roll trading near its cheapest levels in 5 years.Furthermore,the EM roll faces binary risks from trade and the Fed as discussed in our US Roll Outlook,and can thus move on major news on either front.Figure 1:Roll cost for the MSCI EM Jun-Sep19 futures rollSource:J.P.Morgan Equity Derivatives Strategy.Figure 2:MSCI EM historical roll costsVolume weighted avg roll cost in the quarter*(vs.3M LIBOR,annualized)Source:J.P.Morgan Equity Derivatives Strategy.*Jun-19 shows current roll cost,not VWAPThe EM roll is progressing at a slightly slower than average pace but quicker than last quarter,with 1.0%of the June contracts rolled through June 7th,compared to an average of 1.7%at this point in rolls over the past 2 years(Figure 6).Exchange holidays in Russia(June 12th)and Brazil(June 20th)could impact liquidity and drive increased volatility in the roll.1For example,many futures participants can achieve lower effective dividend tax rates than the headline withholding rate,due to cross-border tax treaties-60-40-2002040608015131197531IFR Spread bps Rich/CheapTrading Days to ExpirationEuro$Mar-JunAvg Past 4 QtrsJun/Sep Roll cost(vs E$)Jun/Sep Rollcost(vs Fed)-60-40-20020406080100Mar-14Mar-15Mar-16Mar-17Mar-18Mar-194Global Quantitative&Derivatives Strategy10 June 2019Bram Kaplan,CFA(1-212)272- PositioningEM futures positioning appears to have deteriorated significantly over the past quarter.Global EM funds(Mutual Funds and ETFs)recorded strong outflows thispast month(though so far they have only unwound 1/3 of the inflows in Q1,Figure 5)and EM equities have underperformed the US by 6%since March expiry.Meanwhile,EM futures open interest decreased 15%q/q,dealer short positions decreased 10%since March(Figure 3)and speculative net long positions decreased 20%over this period(Figure 4),suggesting significantly lower demand for levered long exposure to EM stocks.Figure 3:Net dealer short positions decreased 10%since March,suggesting decreased demand for levered exposure to EM stocksContracts(000s)Source:J.P.Morgan Equity Derivatives Strategy,CFTC.Figure 4:as does the 20%decline in EM speculative net futures long positions over the past quarter Contracts(000s)Source:J.P.Morgan Equity Derivatives Strategy,CFTC.Figure 5:Global EM equity funds saw strong outflows the past monthCumulative flows($Bn)Weekly flows($Bn)Source:J.P.Morgan Equity Derivatives Strategy,EPFR.Figure 6:MSCI EM roll paceTrading days before expirySource:J.P.Morgan Equity Derivatives Strategy,Bloomberg.DividendsWe forecast 10.49 index points(104 bps)of net dividends on MSCI EM between the June and September expiries,with nearly 2/3 of these dividends coming from companies in China or Taiwan(Figure 7).The roll faces dividend risk due to concentration this quarter,as 40%of the indexs full year dividends fall between the Jun and Sep expiries.Based on this dividend assumption,the roll spread is currently trading 28bps cheap(annualized)to the-4.35 index point Eurodollar-based fair value,or 7bps cheap vs.the-4.9 index point Fed Funds-based spread FV.-1000-900-800-700-600-500-400-300-200-1000Jul-15 Jan-16 Jul-16 Jan-17 Jul-17 Jan-18 Jul-18 Jan-19MSCI EM FuturesDealer Net Positions-50050100150200250300201420152016201720182019MSCI EM SpeculativeNet Positions-4-3-2-1012345-50510152025Jan-19Mar-19May-19Weekly FlowsCumulative Flows0%10%20%30%40%50%60%70%80%90%20151050Average of past 2 yearsLast QuarterCurrent roll pace5Global Quantitative&Derivatives Strategy10 June 2019Bram Kaplan,CFA(1-212)272- The current roll spread of-5.05 is trading at an implied financing rate of 2.13%based on the forecast dividends.Figure 7:MSCI EM dividends by country Source:J.P.Morgan Equity Derivatives Strategy.MSCI EAFE RollRoll DynamicsThe MSCI EAFE roll is trading 22bp cheap to the Eurodollar fair value(based on an estimated 9.00 index points of net dividends for the roll spread).However,the EAFE roll has barely begun to trade and open interest on the September futures is close to zero,so there could be a sizable price adjustment to a tradable level once the roll spread begins actively trading later this week(as has occurred frequently in the past).Last quarter,the MSCI EAFE roll exhibited a modest cheapening trend through most of the roll(once it completed a sharp price adjustment to a tradable level at the start),but richened the final 2 days into expiry.After the early price adjustment,the roll was relatively well-behaved.As we discussed in our Roll Outlook,the EAFE roll traded very cheap to fair value due to dividend concentration last quarter.Investor positioning in international developed market equities appears little changed to slightly worse over the past quarter(see the Positioning section below).We thus believe the roll positioning is neutral to slightly biased short,and believe the roll will most likely be relatively uneventful(in the absence of a major catalyst)with a slight cheapening bias this quarter.The EAFE roll is running at a slower than normal pace again this quarter,with just 0.3%of the June EAFE contracts rolled as of June 7th,compared to 2.1%rolled on the average at this stage during the past two years rolls(but zero by this point last quarter,Figure 13).Brazil,0.27,3%China,3.23,31%India,0.48,5%Russia,0.99,9%S.Africa,0.45,4%Korea,0.35,3%Taiwan,3.41,33%ASEAN,0.53,5%Other,0.77,7%6Global Quantitative&Derivatives Strategy10 June 2019Bram Kaplan,CFA(1-212)272- Figure 8:Roll cost for the MSCI EAFE Jun-Sep19 futures rollSource:J.P.Morgan Equity Derivatives Strategy.Figure 9:MSCI EAFE historical roll costsVolume weighted avg roll cost in the quarter*(vs.3M LIBOR,annualized)Source:J.P.Morgan Equity Derivatives Strategy.*Jun-19 shows current roll cost,not VWAP.PositioningEAFE funds(mutual funds and ETFs)recorded modest inflows the past couple of months,but these werent enough to offset the larger outflows in early April(Figure 12).EAFE equities underperformed the US by 2%since March expiry.EAFE futures net dealer short positions are nearly unchanged q/q(Figure 10)but speculator net long positions declined significantly since March(Figure 11),suggesting investors EAFE futures positioning appears little changed to slightly worse over the past quarter.Figure 10:Dealer short positions are little changed since MarchContracts(000s)Source:J.P.Morgan Equity Derivatives Strategy,CFTC.Figure 11:Speculators long positions in EAFE futures decreased since MarchContracts(000s)Source:J.P.Morgan Equity Derivatives Strategy,CFTC.-100-80-60-40-20020406015131197531IFR Spread bps Rich/CheapTrading Days to ExpirationEuro$Mar-JunAvg Past 4 QtrsJun/Sep Roll cost(vs E$)Jun/Sep Roll cost(vs Fed)-100-80-60-40-200204060Mar-14Mar-15Mar-16Mar-17Mar-18Mar-19-200-180-160-140-120-100-80-60-40-200Jul-15 Jan-16 Jul-16 Jan-17 Jul-17 Jan-18 Jul-18 Jan-19MSCI EAFE FuturesDealer Net Positions010203040506070809020152016201720182019MSCI EAFE Speculative NetPositions7Global Quantitative&Derivatives Strategy10 June 2019Bram Kaplan,CFA(1-212)272- Figure 12:Global DM ex-US equity funds recorded modest inflows the past 2 months,but not enough to offset the prior outflowsCumulative flows($Bn)Weekly flows($Bn)Source:J.P.Morgan Equity Derivatives Strategy,EPFR.Figure 13:MSCI EAFE roll paceTrading days before expirySource:J.P.Morgan Equity Derivatives Strategy,Bloomberg.DividendsWe forecast 9.00 index points(49 bps)of net dividends on the MSCI EAFE between the June and September expiries.Figure 14 below shows a breakdown of these dividends by country.Based on our dividend assumption,the roll spread is currently trading 22bps cheap(annualized)to the 2.45 index point Eurodollar-based fair value,or 1bp cheap vs.the 1.45 index point Fed Funds-based spread FV,based on our dividend assumptions.The current roll spread of 1.4 represents an implied financing rate of 2.19%based on the forecast dividends.Figure 14:MSCI EAFE dividends by country Source:J.P.Morgan Equity Derivatives Strategy.-3-2-10123-12-10-8-6-4-202Jan-19Mar-19May-19Weekly FlowsCumulative Flows0%5%10%15%20%25%30%0%10%20%30%40%50%60%70%80%90%151050Avg daily%of OI rolled(right)Average of past 2 yearsLast quarterCurrent roll paceAustralia,1.43,16%Eurozone,1.47,16%Hong Kong,0.57,6%Japan,0.78,9%Singapore,0.43,5%UK,3.99,44%Other,0.34,4%8Global Quantitative&Derivatives Strategy10 June 2019Bram Kaplan,CFA(1-212)272- Other Regional MSCI Contracts OverviewMSCI EuropeThe MSCI Europe Net Total Return EUR Index futures(ZRPA contracts)roll is currently trading 20bps cheap relative to our EUR swap rate based fair value.The current roll cost is trading roughly in-line with 2Q-4Q18 level.The expiry of the roll is Fri,21-Jun-19.Figure 15:MSCI Europe futures roll cost daily moveSource:J.P.Morgan Equity Derivatives Strategy,Bloomberg.Figure 16:MSCI Europe historical roll costAverage roll cost in the quarter*(vs.3M EUR swap rate,annualized)Source:J.P.Morgan Equity Derivatives Strategy,Bloomberg.*Jun-19 shows current roll costMSCI EM AsiaThe MSCI EM Asia Net Total Return USD Index futures(ZTWA contracts)roll is currently trading 35bps cheap relative to our fair value estimate.The calendar roll is currently trading at the most discounted level in over 2 years due to the overall EM outflows and weakness.The expiry of the calendar roll is Fri,21-Jun-19.Figure 17:MSCI EM Asia futures roll cost daily moveSource:J.P.Morgan Equity Derivatives Strategy,Bloomberg.Figure 18:MSCI EM Asia historical roll costAverage roll cost in the quarter*(vs.3M LIBOR,annualized)Source:J.P.Morgan Equity Derivatives Strategy,Bloomberg.*Jun-19 shows current roll cost-160-140-120-100-80-60-40-20015131197531IFR Spread bps Rich/CheapTrading Days to ExpirationAverage of the past yearDec-18/Mar-19 RollMar-19/Jun-19 RollJun-19/Sep-19 Roll-38-21-20-81-6-7-11-109-30-15-24-124-20-140-120-100-80-60-40-200Jun-16Sep-16Dec-16Mar-17Jun-17Sep-17Dec-17Mar-18Jun-18Sep-18Dec-18Mar-19Jun-19-100-5005010015020025015131197531IFR Spread bps Rich/CheapTrading Days to ExpirationAverage of the past yearDec-18/Mar-19 RollMar-19/Jun-19 RollJun-19/Sep-19 Roll562-656579587468-11-11829-35-80-60-40-20020406080100Jun-16Sep-16Dec-16Mar-17Jun-17Sep-17Dec-17Mar-18Jun18Sep18Dec-18Mar-19Jun-199Global Quantitative&Der