J.P. 摩根-全球-投资策略-全球市场策略：定位指示器-2019.2.20-179页.pdf

Global Markets Strategy20 February 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 177 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.Which assets are overbought?(extract from Flows&Liquidity,15 Feb 19)Overall equity markets are still far from overbought levels.Across asset classes we do find however pockets of overextension.Bunds,Iron Ore,USD and BRL appear to be most vulnerable to potential position unwinding.EM equities look more vulnerable than EM bonds and HG credit more vulnerable than HY credit.Across sectors Healthcare looks most vulnerable followed by Materials.In reversal to last year,Chinas shadow banking system is expanding suggesting that more credit is flowing to the private sector.CSI 300 index futures have fully unwound their previously large short base.Market pricing of US recession risk receding(unevenly).Both equity and bond indices are up strongly YTD supporting our asset reflation thesis.As we explained last week,a sustained dovish shift by the Fed is key to this asset reflation thesis.This is because a sustained dovish shift by the Fed would at least partly reverse the yield increases and equity PE multiple compression of 2018 which was the result of last years simultaneous tightening in both the interest rate and quantitative space.Rate markets are signaling that the dovish shift by the Fed will be sustained.Market expectations about the Fed policy rate by the end of 2019 have progressively shifted away from rate hikes and since last Christmas these market expectations have been signaling a higher probability of Fed easing than tightening by year end(Figure 1).2Global Markets StrategyFL Library-Position indicators20 February 2019Nikolaos Panigirtzoglou(44-20)7134- Figure 1:What do rate markets price in about the Fed by year end?In%Source:J.P.Morgan.This easing bias is justified by historical experience when looking at past Fed cycles at least since early 80s when it moved away from targeting monetary aggregates.In particular,mid-cycle pauses in hikes such as those seen in late 87 and early 95 were followed by cuts before an eventual resumption in hikes(Figure 2).Figure 2:Fed funds target rate In%,shaded periods denote NBER US recessionsSource:BloombergThis easing bias signaled by rate markets has in our opinion added fuel to this years rally across asset classes.At the same time,the strength of the YTD rally caught most investors by surprise especially given the lack of retail support.Figure 3 shows that retail investors have in fact sold equity funds and bought bond funds YTD with the gap between the two falling to levels typically seen during risk off environments.While the lack of retail participation in this years equity rally is positive in the sense that the equity rally has room to be propagated by retail investors in the future,it raises questions about potentially overextended positioning by institutional investors.How crowded are institutional investors positions at the moment?Which asset classes are most at risk of position unwinding?Figure 3:Difference between flows into Equity and Bond funds$bn per week.Flow includes US domiciled Mutual Fund and globally domiciled ETF flows.The thin blue line shows the 4-week average of difference between Equity and Bond fund flows.Dotted lines depict 1 StDev of the blue line.The thick black line shows a smoothed version of the same series.The smoothing is done using a Hodrick-Prescott filter with a Lambda parameter of 100.Source:ICI,EFAMA,Bloomberg,J.P.Morgan.Starting with equities,overall positioning is still close to or below neutral on our assessment despite the intense short covering since the end of the year.This assessment is based on our equity betas in Charts A23 to A25 in the Appendix.It also consistent with the short interest of the biggest equity ETF,the SPY ETF,which although has fallen sharply since last Decembers high,it stands somewhere in the middle of its range over the past few years,pointing to neutralish equity positions(Figure 4).1.902.102.302.502.702.903.10Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19Dec 2019 1m OIS rate IOER051015202571757983879195990307111519-20-15-10-5510152025070809101112131415161718190Last observation:13-Feb-193Global Markets StrategyFL Library-Position indicators20 February 2019Nikolaos Panigirtzoglou(44-20)7134- Figure 4:On-loan-quantity of the SPY US equity ETFOn loan quantity as a%share of share outstanding.Last obs is 14th February 2019.Source:DataLend,J.P.Morgan.Among equity investors,the ones we believe have somewhat more elevated positions in US are trend following investors or CTAs.According to our trend following framework regularly updated in Tables A5 and A6 in the Appendix,the short lookback period momentum signal for the S&P500 futures contract is approaching extreme territory and currently stands at 1.1stdevs.However,the longer lookback period momentum signal is close to zero.This suggests that overall US equity positions by CTAs and other momentum based investors,although at the long side,are far from the extremes in January 2018 when both the short and long lookback period momentum signals were at extremely positive territory across a number of equity indices.So overall,equities do not appear to be vulnerable from institutional investors positioning point of view.But within regions,there is an equity universe that looks vulnerable:EM equities.This is because EM dedicated managers appear to have raised their equity betas to very high levels currently as shown in Figure 5.Figure 5:Equity betas of EM equity mutual funds domiciled in USRolling 21-day rolling beta.The EM equity mutual fund beta is based on univariate regression of 20 biggest EM equity mutual funds daily returns to returns on the MSCI EM index.Dotted lines denote average since 2016Source:Bloomberg,J.P.Morgan.Across sectors,Utilities and Staples look oversold while Healthcare,Materials and Technology look overbought(Chart A10 in the Appendix).What about fixed income?Starting with EM,in contrast to equities,we find that EM bond managers have rather low betas at the moment in both the external and local currency bond space as shown in Figure 6 and Figure 7.This suggests that EM fixed income positions look far from being overextended at the moment and thus EM bonds are likely less vulnerable than their equity counterparts.This is also consistent with our latest EM client survey which saw limited longs added in hard currency over the past month while EM local markets positioning was virtually unchanged at an only modest overweight.01234567Jan-16Jul-16Jan-17Jul-17Jan-18Jul-18Jan-19SPY US0.40.50.60.70.80.91.01.11.2Jan-18Mar-18May-18Jul-18Sep-18Nov-18Jan-194Global Markets StrategyFL Library-Position indicators20 February 2019Nikolaos Panigirtzoglou(44-20)7134- Figure 6:Bond betas of EM hard currency bond mutual fundsdomiciled in USRolling 21-day rolling beta.The EM hard currency bond mutual fund beta is based on univariate regression of 20 biggest EM Hard currency bond mutual funds daily returns to returns on the JPM EMBI global diversified index.Dotted lines denote average since 2016Source:Bloomberg,J.P.Morgan.Figure 7:Bond betas of EM local currency bond mutual fundsdomiciled in USRolling 21-day rolling beta.The EM local currency bond mutual fund beta is based on univariate regression of 20 biggest EM local currency bond mutual funds daily returns to returns on the JPM GBI-EM global diversified index.Dotted lines denote average since 2016Source:Bloomberg,J.P.Morgan.Core bonds Charts A19 and A20 in the Appendix suggest real money managers are long duration in both the US and Euro area.Our trend following framework suggests that Bunds are more vulnerable to a selloff from a positioning perspective than USTs given very extreme levels on both our short and long lookback Bund futures momentum signals(Figure 8).Figure 8:Momentum signals for 10Yr 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.Morgan.In credit,via looking at the short interest of the biggest HG and HY ETFs,we find a higher short base in HY vs HG(Figure 9).This suggests that of the two markets HG is more vulnerable than HY.Figure 9:On-loan-quantity of the JKN and HYG ETFsOn loan quantity as a%share of share outstanding.Last obs is 14th February 2019.Source:DataLend,J.P.Morgan.To gauge positioning across other asset classes,we update our spec position monitor to incorporate changes in the open interest for the most recent weeks.This updated spec position monitor is shown in Figure 10.Iron Ore,USD and BRL are the most overbought assets and thus more vulnerable to a reversal.AUD,CAD and JPY are the most oversold thus offering limited downside.0.70.80.91.01.11.21.3Jan-18Mar-18May-18Jul-18Sep-18Nov-18Jan-190.300.400.500.600.700.800.901.00Jan-18Mar-18May-18Jul-18Sep-18Nov-18Jan-19-1.5-1.0-0.50.00.51.01.5Jan-18Mar-18May-18Jul-18Sep-18Nov-18Jan-1910Y USTs10y Bund0123456789051015202530Jul-16Jan-17Jul-17Jan-18Jul-18Jan-19JNK USLQD US(RHS)5Global Markets StrategyFL Library-Position indicators20 February 2019Nikolaos Panigirtzoglou(44-20)7134- In all,we find pockets of overextension in institutional investor positioning across asset classes.Bunds,Iron Ore,USD and BRL appear to be most vulnerable to potential position unwinding.EM equities look more vulnerable than EM bonds and HG credit more vulnerable than HY credit.Across sectors,Healthcare looks most vulnerable followed by MaterialsFigure 10:Weekly Spec Position MonitorPlease refer to details in Appendix Chart A15.The obs.for 14thFeb 2019 are extrapolated using absolute change in open interest multiplied by the sign of price change.Source:Bloomberg,J.P.Morgan.In reversal to last year,Chinas shadow banking system is expanding suggesting that more credit is flowing to the private sector.CSI 300 index futures have fully unwound their previously large short base.(extract from Flows&Liquidity,15 Feb 19)As we noted last year(F&L,Jul 13,2018),the financial deleveraging and regulatory tightening of off-balance sheet lending had caused a dramatic downshifting in Chinas shadow banking system last year.This had been reflected in a sharp decline in the ratio of total social financing to new bank loans,shown in Figure 11,where the trend declined to levels seen last in 2008.This weeks release of TSF data for January 2019 saw a sharp rebound,however.While there were solid gains in other non-bank financing components such as corporate bond issues against a backdrop of low yields,the shadow banking sector as a whole recovered,including trust loans which expanded for the first time since February.In other words,in reversal to last year,Chinas shadow banking system is expanding suggesting that more credit is flowing to the private sector.This recovery in the shadow banking sector after a significant deleveraging last year should support economic growth going forward.Figure 11:Ratio of monthly total social financing to new bank loansMonthly obs,the black line is the actual ratio of monthly flows,the blue line is the smoothed version of the ratio derived using a Hodrick-Prescott filter with lambda parameter of 5,Last obs is Jan 19Source:PBoC,J.P.Morgan.Moreover,while seasonality may have played a role in the record expansion of credit in January,our China economists believe that this can only offer a partial explanation.They noted that strong corporate borrowing,via both bank loans and bond issuance,along with the recovery in shadow banking,suggest that an easing in credit policy is taking place in addition to easing of monetary and fiscal policy(China:January aggregate credits exceeded expectation,Liao et al,Feb 15).What about foreign demand for Chinese assets?Figure 12 shows that the weakening in foreign demand for Chinese assets that took place during the second half of 2018 had begun to ease towards the end of the year.PBoC data on foreign demand for Chinese onshore equities showed that foreign investors bought just over CNY90bn of onshore Chinese stocks in November and December,more than reversing the CNY60bn outflow in October.And data from Chinabond on external institutions bond holdings suggest inflows from foreign institutions in December more than offset previous-3.0-2.0-1.00.01.02.0AUDCADJPYBrentGBP3M EurodollarsNZDGoldCornCHFUS 5YRSilverEURMXNRUBUS EquitiesUS 10YRUS T-BondsUS Rates(ex.ED)NikkeiWheatWTIVIXUS 2YRBRLUSDIron Ore14-Feb 19Standard devations from mean weekly position0.00.51.01.52.02.53.03.509101112131415161718196Global Markets StrategyFL Library-Position indicators20 February 2019Nikolaos Panigirtzoglou(44-20)7134- declines,though January again saw modest outflows of around CNY10bn.Figure 12:Foreign investors net buying of Chinese onshore bonds and equitiesCNYbn per month,flow adjusted for market value changes using the JPM GBI-EM China bond index and the Shanghai Shenzen CSI-300 index.Equity flows up until Sep 2018 (PBOC data).Bonds flows up until Dec 2018(Chinabond data).Source:Chinabond,PBOC,J.P.MorganWhile we do not yet have data to see whether foreign investors played a role in the recovery of Chinese onshore equities since the start of the year,we can look at our regular positioning proxies for domestic retail and institutional investors.We had argued before that retail investors are unlikely to be the culprits of the 25%decline in onshore Chinese stocks during 2018,as proxied by the CSI300 index.This is due to the relative stability in the margin debt balances,which is a proxy for domestic retail investor positions.Figure 13 shows margin transactions,i.e.leverage borrowed to buy or sell shares as a percentage of the free float of the Shanghai Stock Exchange.After falling sharply during the second half of 2015,this measure had stabilized at around 10%and was little changed in 2018.In fact,during the YTD recovery in onshore Chinese equities,margin debt appears to have fallen.This suggests that institutional(domestic or foreign)rather than domestic retail investors are more likely to have played a significant role.Figure 13:Chinese equity market margin debtBlack line(rhs)is outstanding balance of margin transactions as%of the free float of Shanghai Stock Exchange.Blue line is SHCOMP Index.Last obs.for Margin debt and SHCOMP is for Feb 14th,19.Source:Bloomberg,J.P.Morgan.This is consistent with ou