J.P. 摩根-全球-量化策略-2019年3月-6月MSCI期货滚转展望-2019.3.4-22页.pdfVIP免费

GlobalQuantitative&DerivativesStrategy04March2019MSCIFuturesRolloverOutlookMarch-June2019GlobalQuantitativeandDerivativesStrategyBramKaplan,CFAAC(1-212)272-1215bram.kaplan@jpmorgan.comJ.P.MorganSecuritiesLLCYukunZhangAC(852)2800-5148yukun.zhang@jpmorgan.comJ.P.MorganSecurities(AsiaPacific)Limited/J.P.MorganBroking(HongKong)LimitedDavideSilvestrini(44-20)7134-4082davide.silvestrini@jpmorgan.comJ.P.MorganSecuritiesplcMarkoKolanovic,PhD(1-212)622-3677marko.kolanovic@jpmorgan.comJ.P.MorganSecuritiesLLCTonySKLee(852)2800-8857tony.sk.lee@jpmorgan.comJ.P.MorganSecurities(AsiaPacific)Limited/J.P.MorganBroking(HongKong)LimitedSeepage19foranalystcertificationandimportantdisclosures,includingnon-USanalystdisclosures.J.P.Morgandoesandseekstodobusinesswithcompaniescoveredinitsresearchreports.Asaresult,investorsshouldbeawarethatthefirmmayhaveaconflictofinterestthatcouldaffecttheobjectivityofthisreport.Investorsshouldconsiderthisreportasonlyasinglefactorinmakingtheirinvestmentdecision.www.jpmorganmarkets.comTheMSCIEMrollistradingsignificantlyrichtoourfairvalueestimateandricherthanlastyear’srolls,butinlinewiththe2016-2017averagerollcost.PositioninginEMfuturesappearstohaveimprovedfurtherthisquartergiventhelargeincreaseinopeninterest,dealershortpositionsandspeculativelongpositions,andlargeinflowstoEMequityfunds.WethusexpecttheEMrolltorichenintoexpiry,andrecommendrollinglongsearly/shortslate.TheMSCIEAFErollisindicatedcheaptofairvalue.However,therollhasn’tbeguntotradeyet,openinterestontheJunefuturesisclosetozero,andthebid/askspreadontheMar-Junrolliswide.Therewilllikelybeasizablepriceadjustmenttoatradableleveloncetherollspreadbeginsactivelytradingthisweek.PositioninginEAFEfuturesappearsclosetoneutralandlittlechangedoverthepastquarter,sowelookfortherolltoberelativelyuneventfulagainthisquarter.Wethusrecommendrollingin-linewithvolumes.TheEAFErollfacesriskduetodividendconcentrationthisquarter.ForotherliquidregionalMSCIMar/Jun’19futuresrolls:MSCIWorldNTR(ZWPA)andMSCIEuropeNTR(ZRP...