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.pdf

Global Quantitative&Derivatives Strategy04 March 2019 MSCI Futures Rollover OutlookMarch-June 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 inmaking their investment The MSCI EM roll is trading significantly rich to our fair value estimate and richer than last years rolls,but in line with the 2016-2017 average roll cost.Positioning in EM futures appears to have improved further this quarter given the large increase in open interest,dealer short positions and speculative long positions,and large inflows to EM equity funds.We thus expect the EM roll to richen into expiry,and recommend rolling longs early/shorts late.The MSCI EAFE roll is indicated cheap to fair value.However,the roll hasnt begun to trade yet,open interest on the June futures is close to zero,and the bid/ask spread on the Mar-Jun roll is wide.There will likely be a sizable price adjustment to a tradable level once the roll spread begins actively trading this week.Positioning in EAFE futures appears close to neutral and little changed over the past quarter,so we look for the roll to be relatively uneventful again this quarter.We thus recommend rolling in-line with volumes.The EAFE roll faces risk due to dividend concentration this quarter.For other liquid regional MSCI Mar/Jun19 futures rolls:MSCI World NTR(ZWPA)and MSCI Europe NTR(ZRPA)are currently trading at very cheaplevels,while and MSCI EM Asia NTR(ZTWA)roll cost picked up to the highest levels in the past year due to strong EM inflows.Among liquid country MSCI contracts,MSCI Indonesia futures traded at significantly higher roll cost in Feb 2019,while MSCI Taiwan and Singapore roll costs remain low compared to history.Most Asia Pacific regional contractsrolls are trading significantly more expensively on the back of strong EM inflows and an improved macro backdrop.Investors can also find roll color in our regional Futures Roll Outlooks at the following links:US Roll Outlook,European Roll Outlook,and Japan Roll Outlook.2Global Quantitative&Derivatives Strategy04 March 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 Strategy04 March 2019Bram Kaplan,CFA(1-212)272- MSCI EM and EAFE Roll OutlookMSCI EM RollThe MSCI EM roll is trading 58bps rich to the Eurodollar fair value(based on an estimated 7.93 index points of net dividends for the roll spread),which is richer than 2018s rolls,but in line with the 2016-2017 average(Figure 2).The relative expensiveness of the roll this quarter vs.last year can likely be explained by the large increase in EM futures open interest and dealer positions which suggest an increase in demand for EM equity financing(see the Positioning section below).Last quarter,the MSCI EM roll generally richened through most of the roll period,reflecting the stronger positioning in EM futures,in line with our view,but cheapened during the final 2 days of trading.The significant outperformance of EM equities during the roll also contributed to the divergence between US and EM index roll trends.Positioning in EM futures appears to have improved further this quarter(see the Positioning section below),so we believe the EM roll is biased towards richening into expiry and recommend rolling longs early.Figure 1:Roll cost for the MSCI EM Mar-Jun19 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.*Mar-19 shows current roll cost,not VWAPThe EM roll has barely started and is exhibiting a much slower pace than normal,with less than 0.1%of the March contracts rolled through Feb 28th,compared to an average of 1.6%at this point in rolls over the past 2 years(Figure 6).Exchange holidays in Brazil(Mar 4-5),India(Mar 4th),Indonesia(Mar 7th),and Russia(Mar 8th)could impact liquidity and drive increased volatility in the roll.PositioningEM futures positioning appears to have improved significantly over the past quarter.Global EM funds(Mutual Funds and ETFs)have recorded inflows every week YTD(with all but one week seeing sizable inflows,Figure 5).Meanwhile,EM futures open interest increased over 10%q/q,dealer short positions increased 35%since December to record highs(Figure 3),and speculative net long positions increased 10%over this period(Figure 4),suggesting significantly increased demand for levered long exposure to EM stocks.EM equities have underperformed the US since December expiry,but this is largely due to the US having fallen by much more in-40-2002040608010015131197531IFR Spread bps Rich/CheapTrading Days to ExpirationEuro$Dec-MarAvg Past 4 QtrsMar/Jun Roll cost(vs E$)Mar/Jun Rollcost(vs Fed)-60-40-20020406080100Mar-14Mar-15Mar-16Mar-17Mar-18Mar-194Global Quantitative&Derivatives Strategy04 March 2019Bram Kaplan,CFA(1-212)272- December(10%underperformance 12/1-12/24)and thus having further to go to recover.Figure 3:Net dealer short positions increased 35%since December to record highs,suggesting increased demand for levered exposure to EM stocksContracts(000s)Source:J.P.Morgan Equity Derivatives Strategy,CFTC.Figure 4:EM speculative net futures long positions increased 10%over the past quarter and are near record highsContracts(000s)Source:J.P.Morgan Equity Derivatives Strategy,CFTC.Figure 5:Global EM equity funds saw strong inflows YTDCumulative 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 7.93 index points(75 bps)of net dividends on MSCI EM between the March and June expiries.Figure 7,below,shows a breakdown of these dividends by country.Based on this dividend assumption,the roll spread is currently trading 58bps rich(annualized)to the-0.5 index point Eurodollar-based fair value,or 79bps rich vs.the-1.1 index point Fed Funds-based spread FV.The current roll spread of 1.0 is trading at an implied financing rate of 3.13%based on the forecast dividends.-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-2-101234-10-505101520Sep-18Nov-18Jan-19Weekly FlowsCumulative Flows0%2%4%6%8%10%12%14%16%18%20%0%10%20%30%40%50%60%70%80%90%151050Avg daily%of OI rolled(right)Average of past 2 yearsLast QuarterCurrent roll pace5Global Quantitative&Derivatives Strategy04 March 2019Bram Kaplan,CFA(1-212)272- Figure 7:MSCI EM dividends by country Source:J.P.Morgan Equity Derivatives Strategy.MSCI EAFE RollRoll DynamicsThe MSCI EAFE roll is indicated 28bp cheap to the Eurodollar fair value(based on an estimated 26.61 index points of net dividends for the roll spread and an exchange disseminated theoretical price).However,the EAFE roll hasnt begun to trade yet,open interest on the June futures is close to zero,and the bid/ask spread on the Mar-Jun roll is 8 index points wide,so the indicated price is meaningless at the moment.There will likely 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).We would expect the roll to trade cheap vs.fair value this quarter due to dividend concentration1,as the futures embed lower tax withholding rates than those assumed by MSCI2,which are used in our fair value calculation.Last quarter,the MSCI EAFE roll was relatively well behaved,in line with our view,and exhibited a modest cheapening trend into expiry.Investor positioning in international developed market equities appears little changed over the past quarter(see the Positioning section below).We believe the roll positioning is close to neutral and as a base case look for the roll to be uneventful again this quarter.We thus recommend rolling in line with volumes.The EAFE roll is providing limited early liquidity again this quarter,with zero volume trading on the roll to-date and bid-offer wide and for small size.We note 0.0%of the March EAFE contracts had rolled as of Feb 28th,compared to 2.5%rolled on the average at this stage during the past two years rolls and 0.2%by this point last quarter(Figure 13).1Many European companies pay annual dividends that fall in Q2,resulting in strong seasonality for the indexs dividends2For example,many futures participants can achieve lower effective dividend tax rates than the headline withholding rate,due to cross-border tax treatiesBrazil,0.45,6%China,3.16,40%India,0.43,5%Mexico,0.35,4%Russia,0.75,10%S.Africa,0.59,8%Korea,0.32,4%Turkey,0.24,3%ASEAN,0.89,11%Other,0.75,9%6Global Quantitative&Derivatives Strategy04 March 2019Bram Kaplan,CFA(1-212)272- Figure 8:Roll cost for the MSCI EAFE Mar-Jun19 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.*Mar-19 shows current roll cost,not VWAP.PositioningEAFE funds(mutual funds and ETFs)recorded outflows the past seven straight weeks(Figure 12),while EAFE equities underperformed the US by 5%since December expiry(though like with EM,this is largely due to EAFEs more limited decline in December compared to US equities).EAFE futures net dealer short positions(Figure 10)and speculator net long positions(Figure 11)are both little changed(slightly improved)since December(based on data through 2/19),suggesting investors EAFE futures positioning appears little changed to slightly improved over the past quarter.Figure 10:Dealer short positions are little changed(slightly larger)since DecemberContracts(000s)Source:J.P.Morgan Equity Derivatives Strategy,CFTC.Figure 11:and speculators long positions in EAFE futures increased also modestly since DecemberContracts(000s)Source:J.P.Morgan Equity Derivatives Strategy,CFTC.-60-40-2002040608015131197531IFR Spread bps Rich/CheapTrading Days to ExpirationEuro$Dec-MarAvg Past 4 QtrsMar/Jun Roll cost(vs E$)Mar/Jun Roll cost(vs Fed)-80-60-40-200204060Mar-14Mar-15Mar-16Mar-17Mar-18Mar-19Mar seasonality due to dividend concentration-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 Strategy04 March 2019Bram Kaplan,CFA(1-212)272- Figure 12:Global DM ex-US equity funds recorded outflows the past 7 weeksCumulative 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 26.61 index points(142 bps)of net dividends on the MSCI EAFE between the March and June expiries.Figure 14 below shows a breakdown of these dividends by country.The Mar-Jun roll period includes 49%of the total annual dividends paid on the index,since many European companies pay a single annual dividend that goes ex during Q2.Given the dividend concentration,the Mar/Jun roll faces dividend risk e.g.,a few large dividends are expected to be announced during the roll period,including from BMW,Deutsche Post,E.On,Prudential,Aviva,and Legal&General.However,2/3 of the dividends expected to fall within the roll spread have already been confirmed,limiting the risk to the roll.Based on our dividend assumption,the roll spread is currently indicated 28bps cheap(annualized)to the-13.4 index point Eurodollar-based fair value,or 6bps cheap vs.the-14.4 index point Fed Funds-based spread FV,based on the theoretical exchange-disseminated roll spread price.As discussed above,the cheapness of the roll is due to dividend concentration,as the futures embed lower tax withholding rates than those assumed by MSCI,and the roll is likely to experience a sharp price adjustment once it begins actively trading.The current roll spread indication of-14.7 represents an implied financing rate of 2.34%based on the forecast dividends.Figure 14:MSCI EAFE dividends by country Source:J.P.Morgan Equity Derivatives Strategy.Nordics include Denmark,Finland,Norway and Sweden-4-3-2-10123-14-12-10-8-6-4-20246Sep-18Nov-18Jan-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,0.73,3%France,4.08,15%Germany,3.57,13%Hong Kong,0.77,3%Italy,1.03,4%Japan,4.18,16%Netherlands,1.03,4%Nordics,2.26,8%Spain,0.73,3%UK,4.96,19%Switzerland,2.14,8%Other,1.13,4%8Global Quantitative&Derivatives Strategy04 March 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 131bps cheap relative to our EUR swap rate based fair value.In the past 4 years,we note 1Q roll cost tends to be more discounted due to dividend seasonality(see discussion in the EAFE Roll Dynamics section above).However,the current roll cost is the most discounted in the past 4 years.The roll cost could richen from current levels given more balanced positioning in Europe.The expiry of the roll is Fri,15-Mar-19Figure 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.*Mar-19 shows current roll costMSCI EM AsiaThe MSCI EM Asia Net Total Return USD Index futures(ZTWA contracts)roll is currently trading at 23bps rich relative to our USD swap rate based fair value.The calendar roll is currently trading at the most expensive level in the past year due to stronger demand for EM e