J.P. 摩根-全球-宏观策略-全球资金与流动性定位指标-2019.3.18-185页.pdf

Global Markets Strategy18 March 2019 F&L LibraryPosition indicatorsGlobal Markets StrategyNikolaos Panigirtzoglou AC(44-20)7134-Bloomberg JPMA FLOW J.P.Morgan Securities plcMika Inkinen(44-20)7742 J.P.Morgan Securities plcNishant Poddar,CFA(91-22)6157-J.P.Morgan India Private LimitedSee page 183 for analyst certification and important Below are excerpts of past issues of Flows&Liquidity on the topic of:Position indicators.The excerpts can be found in reverse chronological order,with the most recent update below.The excerpts are not updated and are accurate only as of the date indicated.Generally,we do not email out this document,but maintain it on J.P.Morgan Markets as a reference tool.How extreme are European underweights post the ECB?(extract from Flows&Liquidity,08 Mar 19)In the equity space,hedge funds appear to have increased their negative stance on European banks over the past week,shifting towards more extreme negative territory.ETF investors have become progressively more underweight on European equities.Their current underweight stands at more than a decade low.In the euro,CFTC data suggest that heavy spec shorts vs.the dollar are not only confined to hedge funds but extend to non-hedge fund investors also.This weeks bond rally may have been exacerbated by short covering by active Euro bond funds and a shift back towards long duration positions in USTs by CTAs.More confirmation from US Flow of Funds that the 2018 US repatriation episode is largely behind us.Our best guess is that last years US repatriation flow of$430bn was mostly used for share buybacks,by around 2/3rds,with the rest split between corporate bond withdrawal and capex.As the US repatriation flow appears to be largely behind us,this raises the prospect of downside risk to US share buybacks and capex growth,and upside risk to US corporate bond issuance,relative to last year.TLTRO 3s provide a meaningful extension of existing low cost funding,and creates around 120bn of additional borrowing space for periphery banks on aggregate.The market reaction to this weeks ECB meeting was rather puzzling.The collapse in European bank stocks in particular was in our mind at odds with the ECBs generosity which effectively allows banks to secure cheap long-term funding until 2023.This market reaction seemed even more puzzling for Italian banks given the rally in Italian government bonds.2Global Markets StrategyFL Library-Position indicators18 March 2019Nikolaos Panigirtzoglou(44-20)7134- What types of investors were likely responsible for this market reaction?Looking at EMEA sector positioning from J.P.Morgans Prime Finance clients,it looks like hedge funds were the most likely culprits.Figure 1shows that although hedge funds clients were rather underweight on European financials ahead of the ECB meeting,they increased their underweight position by even more post the ECB meeting.As a result their underweight position has become more extreme at 1.5x stdevs currently.Figure 1:L/S ratio by sector in EMEA based on J.P.Morgan Prime Finance client positioning z-score;see page on J.P.Morgan Prime Finance client positioning in the Appendix for descriptionSource:J.P.Morgan.The extremity of investors underweights on European financials is also reflected in the share of European banks in equity indices.This is shown in Figure 2 which depicts the difference in the share of banks in the Stoxx600 index minus the share of banks in the MSCI AC World index.This difference has breached previous historical lows seen during the Euro debt crisis in the summer of 2012 and ahead of the French presidential election at the beginning of 2017.What about real money or retail investors stance?To gauge real money or retail investors stance we typically look at ETF based position indicators.However there are no ETFs on European banks that are large enough to be reliable indicators in our mind.By looking at the broader universe of European equity ETFs we find that ETF investors have become progressively more underweight on European equities.This is shown in Figure 3 which shows the European share in equity ETFs divided by the European share in global equity indices.This equity position proxy has been declining steeply during both 2018 and 2019 to a level that is currently well below the low previously seen during the Euro debt crisis.What about investors positioning on the euro?Figure 4 shows two types of spec positions on EURUSD futures based on CFTC data:the spec positions for the Non-Commercial category(i.e.the overall universe of specinvestors)and the spec positions for Leveraged Funds(i.e.hedge funds).The two indicators have been moving in similar direction over the past year or so but hedge funds appear to have been generally more negative on the euro and earlier than non-hedge fund investors.Hedge funds short base on the euro appears to have been little changed since last October at close to 20%of open interest.It was rather non-hedge fund investors that appear to have become progressively more negative on the euro over the past few months including this past week.The negative of non-hedge fund investors likely converged to that of hedge funds after this weeks ECB meeting.Figure 2:Share of banks in Stoxx600 over the share of banks in the MSCI AC World index”Monthly observations.Mar19 observation as of 7th March 2019.Source:Bloomberg,DatastreamFigure 3:European share in equity ETFs over European share in the MSCI AC World indexMonthly observations.Mar19 observation as of 7th March 2019.Source:Bloomberg,Datastream-2.0-1.00.01.02.03.0FinancialsUtilitiesReal EstateIndustrialsInfo TechCons Disc.Telecom SrvcsEnergyHealthcareMaterialsCons Staples27-Feb6-Mar1.01.11.21.31.41.51.61.71.81011121314151617181930%32%34%36%38%40%42%44%46%050607080910111213141516171819European equity ETF share over European share in MSCI AC world equity indices 3Global Markets StrategyFL Library-Position indicators18 March 2019Nikolaos Panigirtzoglou(44-20)7134- Figure 4:Spec positions on EURUSD futures EURUSD spec positions for Non-Commercial(i.e.overall spec)and Leveraged Funds(i.e.hedge funds)categories as reported by CFTC.Last CFTC reported obs is for 26th Feb 2019.The dotted lines are extrapolated values for 5th March and 7th March respectively based on changes in the open interest.Source:CFTCWhat about investors positioning in Euro bonds?The past week has seen a marked rally in bond markets into the ECB meeting.We had flagged in recent weeks that positioning in Bunds looked elevated,making this weeks reaction somewhat harder to reconcile.We had noted over the previous three weeks that our regular metrics for momentum-based investor positioning(Exhibits A5 and A6)have flagged quite extended duration longs in 10y Bunds and somewhatmore neutral positions on 10y USTs.Indeed,we noted last week that there were signs these extended Bund longs had begun to trigger mean reversion signals,and that UST momentum was starting to turn bearish.This weeks rally has reversed both of those shifts,with Bund momentum again rising close to extreme levels(Figure 5).For UST futures,both the shorter-and longer-term signals turned short last week,only to switch again this week suggesting that position shifts by CTAs might have exacerbated volatility in bond markets over the past two weeks.Figure 5:Momentum signals for 10Y UST and Bundsz-score of the momentum signal in our Trend Following Strategy framework shown in Tables A5 and A6 in the Appendix.Solid lines are for the shorter term and dotted lines for longer-term momentum.Source:Bloomberg,J.P.MorganWhat about real money active bond managers?Both Euro and US active bond managers had shifted from a more bearish duration bias in early February to quite elevated betas towards the end of February.This is shown in Figure 6 and Figure 7,which depicts the beta of the 20 largest active Euro and US bond mutual funds relative to their benchmarks.However,they showed some divergence last week,where the beta of Euro active bond managers had fallen sharply by Friday March 1stto below average levels suggesting they had turned short duration amid the sell-off into February month-end.As these data are only available with a two-day lag,the shift did not become apparent until this week.The beta of US active managers also declined somewhat,suggesting that US fund managers had cut duration longs by the week ending March 1st,though it appears they did not turn short.This picture remains the same even if we use a shorter 10-day rolling window to calculate the betas.-30%-20%-10%0%10%20%30%40%Jan-18Apr-18Jul-18Oct-18Jan-19Non-Commercial CategoryLeveraged Funds-1.5-1.0-0.50.00.51.01.5Jul-18Sep-18Nov-18Jan-19Mar-1910Y USTs10y Bunds4Global Markets StrategyFL Library-Position indicators18 March 2019Nikolaos Panigirtzoglou(44-20)7134- Figure 6:21 day rolling beta of 20 biggest active Euro bond mutual fund managers with respect to the Euro Agg bond indexThe dotted line shows the average beta since 2013.Source:Bloomberg,J.P.MorganFigure 7:21 day rolling beta of 20 biggest active US bond mutual fund managers with respect to the US Agg bond indexThe dotted line shows the average beta since 2013.Source:Bloomberg,J.P.MorganIn addition,while the magnitude of the rally in both 10y Bunds and USTs was broadly similar this week at around 12bp,this weekly change as a ratio of the volatility of weekly changes over the past year was larger for Bunds at around-2.1stdevs compared to-1.6stdevs for USTs.In all,it appears that this weeks bond rally may have been exacerbated by short covering by active Euro bond funds and a shift back towards long duration positions in USTs by CTAs.In the equity space,hedge funds appear to have increased their negative stance on European banks over the past week,shifting towards more extreme negative territory.ETF investors have become progressively more underweight on European equities.Their current underweight stands at more than a decade low.In the euro,CFTC data suggest that heavy spec shorts vs.the dollar are not only confined to hedge funds but extend to non-hedge fund investors also.The Norges Bank and SNB bought a total of around$45bn of equities in 4Q18(extract from Flows&Liquidity,01 Mar 19)As our regular readers are aware,we look at the asset allocation of the Norges Banks oil fund and the SNB as an indication for the behavior of sovereign wealth funds more broadly.With the Norges Bank having released its annual results,we update our estimates of equity and bond purchases for both.For the Norges Bank,we calculate the flow of purchases using a 65:35 USD:EUR currency basket in order to infer flows,which broadly coincides with the weight of European and non-European equity investments.We then convert the reported market value and accumulated returns of its equity holdings to units of the currency basket,and calculate the flow before converting to USD.For the SNB,we estimate its net purchases of equities by looking at the quarterly allocation to equities reported by the SNB.Following the decline in equity markets during 4Q,the reported equity allocation declined to 19%from 20%.We then take the allocation to US equities from the SNBs Form 13F filings to the SEC to estimate the split between US and non-US equities,and approximate portfolio returns using the MSCI US and MSCI World ex-US non-financial equities,since,in order to avoid conflicts of interest,it does not buy bank equities.We use a similar methodology to estimate net bond purchases using the reported currency allocation of its fixed-income portfolio and returns from our GBI country indices for 1-10Y maturity bonds to better match the SNBs reported average duration of 4.4 years.Both the Norges Bank and SNB behaved in a rather contrarian manner in 4Q.We estimate that the Norges Bank bought nearly$35bn of equities during a quarter that saw its benchmark,the FTSE Global All Cap index,decline by around 13.5%,more than offsetting the just over$5bn of equity sales in the first three quarters of 2018.At the same time,they appear to have sold just over$10bn of bonds during 4Q.Similarly,we estimate that the SNB likely bought around$10bn of equities in 4Q18 and sold around$4bn of bonds.-0.100.000.100.200.300.400.50Jan-18Mar-18May-18Jul-18Sep-18Nov-18Jan-19Mar-190.400.450.500.550.600.650.700.75Jan-18Mar-18May-18Jul-18Sep-18Nov-18Jan-19Mar-195Global Markets StrategyFL Library-Position indicators18 March 2019Nikolaos Panigirtzoglou(44-20)7134- Momentum signals approaching a more bullish shift for equities outside the US(extract from Flows&Liquidity,01 Mar 19)We update our framework of trend-following signals(Tables A5 and A6 in the Appendix)to infer how momentum-based investors such as CTAs have been shifting their positions in recent weeks.Weve noted in recent weeks the extremity shorter-term momentum in US equities,with the z-score having hovered around 1.3-1.4 for the past two weeks,though the longer-term momentum signal remains at relatively muted levels.Despite the somewhat muted price action in equities,the longer-term momentum signals for the Eurostoxx,Nikkei and MSCI EM indices are approaching a switch to positive territory(Figure 8),suggesting that CTAs may be getting close adding to what has thus far likely been relatively modest bullish equity exposure.Figure 8:Longer-term momentum signals for Equities outside USz-score of the momentum signal in our Trend Following Strategy framework shown in Tables A5 and A6 in the Appendix.Source:Bloomberg,J.P.MorganThis weeks rise in bond yields from their YTD lows has seen shorter-term momentum for 10y USTs first turn neutral on Wednesday this week,and likely short on Friday for the first time since early November.We have also been highlighting in recent weeks that 10y Bund momentum has hovered close to extreme levels raising the risk of mean reversion signals being triggered.This week those momentum signals have also declined sharply amid the sell-off in bonds.This suggests that CTAs reductions of long exposure in both USTs and Bunds may have contributed to the sell-off.Figure 9:Momentum signals for 10Y UST and Bundsz-score of the momentum signal in our Trend Following Strategy framework shown in Tables A5 and A6 in the Appendix.Solid lines are for the shorter term and dotted lines for longer-term momentumSource:Bloomberg,J.P.MorganIn commodity markets,our momentum signals suggested last week that CTAs may have reduced short Brent exposure and beginning to add bullish exposure.This week has seen upward momentum stall and highlighted how z-scores close to zero can increase vulnerability to vol spikes as momentum signals become more prone to switching signs more frequently(Figure 10).Among industrial metals,short-term momentum signals have turned more positive in recent weeks,while the longer-term signals remain negative,suggesting that metals have benefited from momentum-based investors turning more neutral(Figure 11).Moreover,the longer-term signal for copper is approaching a switching point,