J.P. 摩根-全球-投资策略-全球资金与流动性：定位指标-2019.3.14-182页.pdf

Global Markets Strategy14 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 180 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.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 65:35USD: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.2Global Markets StrategyFL Library-Position indicators14 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 1),suggesting that CTAs may be getting close adding to what has thus far likely been relatively modest bullish equity exposure.Figure 1: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 2: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 9).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 4).Moreover,the longer-term signal for copper is approaching a switching point,suggesting that copper could be further supported from a shift to long exposure.Figure 3:Momentum signals for WTI and Brentz-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.Morgan-1.5-1.0-0.50.00.51.01.5Jan-18Apr-18Jul-18Oct-18Jan-19NikkeiEurostoxx 50MSCI EM-1.5-1.0-0.50.00.51.01.5Jan-18Mar-18May-18Jul-18Sep-18Nov-18Jan-19Mar-1910Y USTs10y Bunds-2.0-1.5-1.0-0.50.00.51.01.5Jan-18Apr-18Jul-18Oct-18Jan-19WTIBrent3Global Markets StrategyFL Library-Position indicators14 March 2019Nikolaos Panigirtzoglou(44-20)7134- Figure 4:Momentum signals for Aluminium and Copperz-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.MorganFurther signs of disproportionate selling of US bonds by China in 4Q18,but this does not appear to have carried over into 1Q19(extract from Flows&Liquidity,22 Feb 19)A question we have been receiving periodically is whether there have been signs that China accelerated sales of US bonds last year.We looked at this previously(F&L,Oct 19and Nov 9)and found little evidence up to the end of 3Q18,but some tentative evidence that there had been some disproportionate selling in 4Q.With the US TIC data now available up to Dec18,we update our analysis.Specifically,we look at we looked at broader measures of transactions by foreign official institutions,of which Chinese official institutions form a significant part.In principle,it would be possible to look at the US TIC data for cross-border transactions with counterparties that are resident in China,but a problem with these data is that they omit transactions made via counterparties and custodians that are resident in other countries.Instead,we looked at the Federal Reserves custody data for US Treasury and Agency securities,transactions by foreign official institutions in the US TIC data,as well as a measure where we augment the broader foreign official institution data in the TIC data with transactions from counterparties based in Belgium and Luxembourg,which likely includes a significant component of custodian transactions,as well as the IMF COFER data.Figure 5 shows the quarterly change in the Fed custody data,transactions from the two measures using US TIC data,as well as changes in USD reserve holdings in the COFER data adjusted for bond returns.The picture for the Fed custody data and US TIC data is relatively consistent,and suggests that there had been substantial sales of US bonds during 4Q18.The IMF COFER data for 4Q18 are only published in end-March,but our proxy for EM reserve growth(Figure 6)suggests that reserve managers accumulated around nearly$45bn of reserves.Given a relatively modest appreciation in the trade-weighted USD,it appears unlikely that it alone would be enough to see broad-based USD selling by reserve mangers on aggregate.Finally,we only have Fed custody data up to mid-February,but thus far it appears that there is little sign this disproportionate selling of US bonds has continued into 1Q19.In all,both the Fed custody and the US TIC data suggest there have been some disproportionate sales of US bonds during 4Q18,but there is little sign that these disproportionate sales have continued into 1Q19.Figure 5:Measures of transactions by foreign official institutions in US Treasury and Agency securities$bn per quarter;quarterly change in foreign official institution holdings in the Fed custody data,transactions from the US TIC data,and changes in USD reserve holdings in the COFER data adjusted for bond returnsSource:Federal Reserve,US TIC,IMF COFER,J.P.Morgan.-1.5-1.0-0.50.00.51.01.5Jan-18Apr-18Jul-18Oct-18Jan-19AluminiumCopper$bnFed custody dataUS TIC dataUS TIC data incl.Belgium/LuxembourgIMF COFER1Q183962521372Q18-34-54-64-1383Q184-8-23-974Q18-47-89-981Q19*124Global Markets StrategyFL Library-Position indicators14 March 2019Nikolaos Panigirtzoglou(44-20)7134- Figure 6:Changes in EM FX reserves,adjusted for FX valuation changes$bn per monthSource:Bloomberg,J.P.Morgan.USTs vulnerable to a turn in momentum(extract from Flows&Liquidity,22 Feb 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.As we noted last week,short term momentum indicators for US equities are approaching extreme territory with the z-score in our framework for the S&P reaching 1.4 this week.This gradual strengthening of short-term momentum has also been a feature in other equity indices,notably the MSCI EM and Eurostoxx indices,which has seen a steady increase in the average of z-scores across the six equity indices we track(Figure 7).By contrast,longer-term momentum indicators show little sign of extremity thus far.Figure 7:Momentum signals for EquitiesAverage z-score of the momentum signal for S&P 500,Nasdaq 100,Nikkei,FTSE 100,Eurostoxx 50 and MSCI EM futures 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.MorganOur bond market indicators also continue to show rather extreme bullish momentum for 10y Bunds in particular(Figure 8).However,both the shorter-and longer-term momentum indicators for 10y USTs is now close to zero,suggesting that USTs are vulnerable to an increase in volatility induced by CTAs beginning to turn short.Figure 8:Momentum signals for 10Y UST and 10Y 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 for WTI and Brent crude have gradually been turning bullish over the past two weeks(Figure 9).The shorter-term signal forWTI and longer-term signal for Brent both turned long on Feb 13,with the shorter-term signal for Brent following this week.This suggests that CTAs reducing remaining short Brent exposure and then beginning to add bullishexposure has likely contributed to the recent rally.-200-150-100-50050100150Jan-15Jan-16Jan-17Jan-18Jan-19ChinaEM x China-1.5-1.0-0.50.00.51.01.5Jan-18Mar-18May-18Jul-18Sep-18Nov-18Jan-19Equities Avg short-termEquities Avg long-term-1.5-1.0-0.50.00.51.01.5Jan-18Mar-18May-18Jul-18Sep-18Nov-18Jan-1910Y USTs10y Bunds5Global Markets StrategyFL Library-Position indicators14 March 2019Nikolaos Panigirtzoglou(44-20)7134- Figure 9:Momentum signals for WTI and Brentz-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.MorganWhich 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 10).Figure 10: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 11).Figure 11: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-2.0-1.5-1.0-0.50.00.51.01.5Jan-18Apr-18Jul-18Oct-18Jan-19WTIBrent1.902.102.302.502.702.903.10Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19Dec 2019 1m OIS rate IOER0510152025717579838791959903071115196Global Markets StrategyFL Library-Position indicators14 March 2019Nikolaos Panigirtzoglou(44-20)7134- lack of retail support.Figure 12 shows that retail investors have in fact s