GlobalMarketsStrategy10May2019F&LLibraryPositionindicatorsGlobalMarketsStrategyNikolaosPanigirtzoglouAC(44-20)7134-7815nikolaos.panigirtzoglou@jpmorgan.comBloombergJPMAFLOWJ.P.MorganSecuritiesplcMikaInkinen(44-20)77426565mika.j.inkinen@jpmorgan.comJ.P.MorganSecuritiesplcNishantPoddar,CFA(91-22)6157-3255nishant.poddar@jpmchase.comJ.P.MorganIndiaPrivateLimitedSeepage186foranalystcertificationandimportantdisclosures.www.jpmorganmarkets.comBelowareexcerptsofpastissuesofFlows&Liquidityonthetopicof:Positionindicators.Theexcerptscanbefoundinreversechronologicalorder,withthemostrecentupdatebelow.Theexcerptsarenotupdatedandareaccurateonlyasofthedateindicated.Generally,wedonotemailoutthisdocument,butmaintainitonJ.P.MorganMarketsasareferencetool.Durationpositionsremainskewedtothelongside(extractfromFlows&Liquidity,03May19)Aswenotedlastweekinourupdatedanalysisoftheglobalbondsupply/demandpicture,theshiftinthesupply/demandbalancein2019suggestedamildlybearishpictureforbonds.Despitethis,theyieldtoworstontheGlobalAggindexstandsnearly20bplowerthanatthestartoftheyear,andtouchedalowclosetoa30bpdeclineonMarch27th.Whilethesteadystreamofweakerthanexpectedeconomicdata,asevidencedbytheJPMglobalEconomicActivitySurpriseIndexremainingpersistentlybelowzerountilmid-Aprilundoubtedlycontributedtothedeclineinyields,welookhereathowpositioninghascontributed.Aswenotedlastweek,theretaildemandhadshiftedstronglypositiveagainsincethestartof2019.Butthisinflowindollartermsdoesnotfullycapturethedurationimpactofthoseflows.Tolookatthedurationimpulseofretailflows,wecalculatethedurationimpactofbondETFflowsbyadjustingfortheempiricaldurationofeachbondETF.Weuseempiricaldurationratherthanactualdurationinourcalculation,asthelatteriseitherreportedvaguely(e.g.bymaturitybucket),ornotatall.TheempiricaldurationiscalculatedusingtheaveragesensitivityofpricereturnsofeachETFtodailychangesintheBloombergUSAggindexover1-yearrollingperiods.WethenmultiplytheflowofeachETFbyitsempiricaldurationinyearstoderiveacumulativebo...
