巴黎银行-欧洲-投资策略-无息债券策略分析-20190716-18页 (2).pdf

Everyone likes bonds:Even as the S&P 500 surpassed 3000 over the past week,most funds flow data continue to suggest investor preference for bonds over equities.Since the beginning of 2019,cumulative funds flow into fixed income ETFs has been four times more than into equities(as a percent of AUM).Both in the short-term(four-weeks)and long-term(26-weeks),flows into equities have underperformed bonds.Who is buying equities?The beta of global macro hedge funds/CTAs to equities suggests that systematic strategies have increased their allocation in equities.The recent decline in equity-realized volatility to single digits has driven inflows from volatility-controlled funds into equities.Corporates,by way of buybacks,seem to be the second large buyers of equities.Eurozone flows decouple economic surprises:Flows into equities tightly follow the economic surprise index in most regions.However,EZ flows as an exception fall behind better economic surprises in the euro area.Sector bias to defensives.Even with the recent rebound in equities,investors prefer defensives like telecom,consumer staples,and utilities the top three sectors in terms of four-week cumulative flows.In fact,the telecom sector,which has underperformed the most in Europe since the start of 2019,have actually seen the highest cumulative flows.1 FOCUS|EUROPE 16 July 2019 KEY MESSAGES Mutual funds and ETFs flow data suggest investors have been buying fixed income at the expense of equities since the start of the year.The largest buyers of equities appear to be systematic strategies like volatility-controlled funds,and corporates themselves by way of buybacks.ETF investors seem to prefer bond sensitive defensive sectors to cyclicals in the equity space.Funds flow data continue to show late-cycle dynamics being played out in investors portfolios.Investors who agree with our view that we have just entered a long end cycle may consider our late cycle long/short basket(see EQD Europe:Late in the game).EQUITY&DERIVATIVES Contents Page 2:The curious equity momentum-sentiment disconnect Page 3:ETF flows landscape Page 4:Equity ETFs Regional overview Page 5:Fixed Income ETFs Regional overview Page 6:Equity ETFs Flow vs sentiment Page 7:Equity ETFs Style&size Page 8-10:Equity ETFs Sectors Page 11-12:Fixed Income ETFs Style&size The name is Bond,Zero bond Please refer to important information and MAR disclosures at the end of this report|FOCUS Fig.1:Weak flows into equity(YTD cumulative flows%AUM)Fig.2:Hedge funds inflow supporting equity market Sources:Bloomberg,BNP Paribas Sources:BNP Paribas Edmund Shing,Global Head of Equity&Derivative Strategy|BNP Paribas London Branch Ankit Gheedia CFA,Equity and Derivatives Strategist,BNP Paribas London Branch 16/07/2019 2 EQUITY&DERIVATIVES Decorrelation between recent all-time highs in US equities and investor flows:Unless you have been living under a rock these past few weeks,it would have been impossible to miss news headlines reporting new all-time highs for the S&P 500,Dow Jones Industrials,and Nasdaq indices over the last few days.In a“normal”bull market,this would be accompanied by over-optimistic investor sentiment and strong inflows into equity funds,given that retail investors typically chase momentum.However,the Investment Company Institutes latest weekly mutual fund and ETF flow data suggests money has been flowing into bond and credit funds and ETFs,rather than equities(Fig.3).This is puzzling at first glance:what has happened to the“equity cult”in the US,the region where long-term equity returns have far outpaced bonds,credit,and cash over the very long-term?Retail investors are actually following the momentum:We would do well to consider the following facts before jumping to conclusions:1.US bonds and credit have beaten equities:Since thestart of October 2018 and over the last three quarters,bothUS long-term Treasuries(+7.3%)and investment gradecredit(+10.2%)indices have beaten US equities(+5.6%),and at much lower levels of realised volatility.2.An even greater performance gulf in Europe:Over thelast three quarters,eurozone 10-year and longer sovereignbonds have returned 15.3%,investment grade credit 5.2%and the Euro STOXX only 2.0%.Therefore,if anything,themomentum story is even more marked in favour of fixedincome in Europe.3.Equities not impressive over the last 18 months:Sincetheir peaks in January 2018,the average US stock(asmeasured by the Valueline arithmetic index)is below break-even despite new highs recorded by mega-caps.4.In Europe,the STOXX Europe equal-weighted index is5%below its January 2018 peak:Hence,it is hardlyinspiring for retail investors who in general are already morerisk-averse than their American counterparts.Institutional,retail sentiment close to lows:The poor cumulative flows to equity funds and ETFs simply reflect the weak institutional and retail investor sentiment towards equities,as measured by the State Street Global Confidence and the TD Ameritrade investment movement indices,respectively(Fig.4).Both of these sentiment indices remain close to their lows over the last six years;in the case of the State Street survey,this February marked the lowest level ever recorded since the survey began in 2000 ie,lower than even the previous lows recorded in 2008 during the global financial crisis and in 2012 during the eurozone sovereign crisis.Glass half-full or half-empty?The jury is out as to whether:a.Cautious investor sentiment is justified by the relatively highrecession risk(currently over 30%in the US as measuredby the New York Feds yield curve model);or,b.is simply lagging the stronger equity market momentum thatis now becoming evident off the back of expected FederalReserve interest rate cuts and ending of its QuantitativeTapering programme.However,we can confidently state that investor participation in the recent six-month equity market recovery has been limited.This could then reinforce any further positive equity market momentum,as at some point we expect investors to be pushed higher up the risk curve by the precipitous decline in sovereign and credit yields,with the proviso that volatility does not return with a vengeance in the meantime.Edmund Shing,Global Head of Equity&Derivative Strategy|BNP Paribas London Branch Ankit Gheedia CFA,Equity and Derivatives Strategist,BNP Paribas London Branch Fig.3:US retail investors not buying the S&P all-time high Source:ICI,BNP Paribas Fig.4:Investor sentiment remains near historic lows Sources:TD Ameritrade State Street The curious equity momentum-sentiment disconnect|FOCUS 16/07/2019 This publication is classified as non-objective research|Please refer to important information at the end of the report All sources:BNP Paribas,Bloomberg.Past results are not indicative of future performance,which may be better or worse than prior results.Please refer to Appendix for ticker definitions and key product risks EQUITY DERIVATIVES|FOCUS 3 ETF flow landscape More flows into high yield as investors chase yield Bond inflows dwarfed equities(USD bn)ETF AUM touch new highs(USD trn)ETFs flows vs sentiment index Flows in USD,b Flows relative to AUM VS history*Cumulative flows per year“All ETFs(USD4.9trn AUM)saw USD26bn cumulative inflows over the past four-weeks,representing 0.6%of AUM.These inflows are 0.9 stdev below 3y avg level.YtD cumulative flows into ETFs have represented 7.1%of AUM.”*The z-score represents the strength of flows vs history.A negative figure means flows below avg.flows over three years.See methodology for more details.How to read into flows:(2)024681012Jan-19Feb-19Mar-19Apr-19May-19Jun-19Jul-19EquityFixed Income01234562013 2013 2014 2015 2015 2016 2016 2017 2017 2018 2019EquityFixed IncomeOthers4w12w26w4w12w26w4w12w26wYtD20182017All ETFs547545731670.81.33.00.0-0.9-1.03.310.313.3Equity425220.418590.50.41.4-1.2-2.6-3.71.59.412.2Fixed Income103820.7491042.04.710.01.91.82.310.914.019.3Asset ClassAUM(USD,bn.)Cum Flow(USD,bn.)Cum Flow,%of AUMCum Flow,%of AUM(3Y Z-Score)Cumulative Flows,%of AUM(25)(20)(15)(10)(5)05101520250123456789102013 2013 2014 2015 2015 2016 2017 2017 2018 2019All ETFsSentix Economic Indices expectations in 6mAnkit Gheedia CFA,Equity and Derivatives Strategist,BNP Paribas London Branch Everyone likes bonds:Since the beginning of 2019,the cumulative fund flow into fixed income ETFs has been four times that into equity(as a percent of AUM).Both in the short-term(four-weeks)and long-term(26-weeks),flows into equities have underperformed flows into bonds.US high yield inflows:Since the start of the year,we have observed investors chasing yields by increasing allocation towards the high yield sector.With the restart of central banks dovish cycle,this trend may continue.16/07/2019 Asset class summary This publication is classified as non-objective research|Please refer to important information at the end of the report All sources:BNP Paribas,Bloomberg.Past results are not indicative of future performance,which may be better or worse than prior results.Please refer to Appendix for ticker definitions and key product risks EQUITY DERIVATIVES|FOCUS 4(4)(3)(2)(1)012344w Cum Flows%AUM26w Cum Flows%AUM(14)(12)(10)(8)(6)(4)(2)0246Jan-19Feb-19Mar-19Apr-19May-19Jun-19Jul-19EMUSEurozoneJapanEquity Regional Overview Eurozone peripheral equities saw inflows as ECBs QE expectations increased DM equity catching up the EM trend(%of AUM)Eurozone equities remain least loved(%of AUM)*MSCI classification.A region includes both regional and country constituents ETFs.*The z-score represents the strength of flows vs history.(2)(1)012345Jan-19Feb-19Mar-19Apr-19May-19Jun-19Jul-19GlobalDMEM1mo.3mo.6mo.4w12w26w4w12w26w4w12w26wYtD20182017DMMXWO3.82.412.7353816.115.938.00.50.51.1-0.6-1.1-2.11.17.611.5EMMXEF3.5-3.34.64261.0(2.2)14.00.2(0.5)3.3-1.2-2.2-1.63.518.813.7GlobalMXWD3.81.711.72683.55.07.91.31.92.90.7-0.2-0.73.418.018.2Americas DMMXNA4.43.615.4253511.39.433.50.40.41.3-0.3-0.7-1.21.37.69.0Americas EMMXLA6.87.14.024(0.1)(1.2)0.7(0.3)(5.1)2.8-1.3-4.8-0.82.718.315.9USMXUS4.43.715.6248811.98.932.60.50.41.30.40.20.31.37.59.1EMEA DMMXEU2.1-0.410.7252(0.2)(6.6)(13.4)(0.1)(2.6)(5.3)-0.2-0.6-0.8-5.2-8.312.8EMEA EMMXMU2.55.511.49(0.3)1.01.1(2.9)11.012.2-1.92.81.712.7-1.2-2.3European UnionSXXP2.4-0.111.2226(0.5)(6.2)(14.0)(0.2)(2.8)(6.2)0.1-0.3-0.3-6.1-8.614.1EurozoneSXXE3.50.412.6103(0.6)(5.7)(12.5)(0.6)(5.5)(12.1)-0.1-1.3-1.5-12.0-15.914.9Eurozone Core-35(0.5)(2.1)(3.6)(1.5)(5.9)(10.2)-0.1-0.30.0-10.2-5.92.1Eurozone Periphery-40.1(0.3)(0.7)1.7(7.0)(18.0)1.3-1.5-2.3-18.6-34.18.6GermanyMXDE2.0-1.37.626(0.6)(1.5)(2.6)(2.3)(5.6)(10.0)-1.1-1.3-1.2-10.1-9.1-1.1FranceMXFR3.40.615.270.2(0.5)(0.8)2.2(6.7)(11.4)0.90.10.3-11.34.616.3ItalyMXIT7.41.514.91(0.1)(0.4)(0.4)(6.7)(24.9)(25.6)-1.0-2.2-1.2-25.3-89.0-2.9SpainMXES1.7-1.35.920.1(0.0)(0.5)5.1(1.0)(22.6)3.3-0.8-8.3-23.8-2.621.2UKMXGB2.10.88.424(0.1)(0.2)1.5(0.5)(1.0)6.5-1.4-2.20.16.72.23.2APAC DMAWDPAC3.1-0.14.34284.29.418.01.02.24.20.10.00.04.312.814.3APAC EMMXMS3.2-5.64.61561.81.5(1.1)1.20.9(0.7)0.3-0.3-0.9-1.131.94.0APAC Ex-JapanMXAPJ3.8-3.16.52111.6(0.7)(1.9)0.7(0.3)(0.9)-0.3-1.8-2.4-1.124.54.5Japan MXJP2.1-2.62.63904.410.617.91.12.74.60.20.10.14.713.715.9ChinaMXCN4.4-8.85.4940.80.6(2.8)0.90.7(2.9)0.4-0.2-1.5-3.540.9-3.9Equity RegionBenchmarkSpot Price%Chg.AUM(USD,bn.)Cum Flow(USD,bn.)Cum Flow,%of AUMCum Flow,%of AUM(3Y Z-Score)Cumulative Flows,%of AUMAnkit Gheedia CFA,Equity and Derivatives Strategist,BNP Paribas London Branch 16/07/2019 Equity region summary This publication is classified as non-objective research|Please refer to important information at the end of the report All sources:BNP Paribas,Bloomberg.Past results are not indicative of future performance,which may be better or worse than prior results.Please refer to Appendix for ticker definitions and key product risks EQUITY DERIVATIVES|FOCUS 5(4)(3)(2)(1)012345Long-TermIntermediateShort-Term4w Cum Flows%AUM26w Cum Flows%AUM(5)05101520Jan-19Feb-19Mar-19Apr-19May-19Jun-19Jul-19AmericasEMEAAPAC(2)0246810121416Jan-19Feb-19Mar-19Apr-19May-19Jun-19Jul-19High YieldInvestment Grade(3)(2)(1)012344w Cum Flows%AUM26w Cum Flows%AUMFixed Income Regional Overview Fixed income regions cumulative YTD flows(%AUM)Snapshot(short-term vs long-term flows)Fixed income rating cumulative YTD flows(%AUM)Fixed income duration snapshot 4w12w26w4w12w26w4w12w26wYtD20182017DM87314.241.080.31.64.79.20.10.0-0.210.212.418.2EM462.20.73.44.71.57.31.8-2.5-2.38.812.421.9Global893.26.414.83.57.216.62.52.13.816.831.826.9Americas75210.034.363.61.34.68.4-0.10.3-0.29.513.420.5US7199.932.460.31.44.58.40.61.11.29.513.820.6EMEA1133.96.015.53.45.313.72.41.42.714.44.94.1European Union1113.96.015.53.55.413.92.01.22.814.64.94.4Eurozone762.13.19.42.84.012.40.70.51.513.28.85.5Germany60.0(0.2)(0.4)0.4(4.2)(6.8)-0.1-1.6-1.9(4.9)10.5-2.4UK11(0.2)0.30.9(2.1)2.88.1-1.10.00.38.60.110.1APAC180.52.02.52.610.913.50.20.50.613.515.7-2.5China40.10.80.71.621.219.20.02.40.917.430.8-71.3Fixed Income RegionAUM(USD,bn.)Cum Flow(USD,bn.)Cum Flow,%of AUMCum Flow,%of AUM(3Y Z-Score)Cumulative Flows,%of AUM4w12w26w4w12w26w4w12w26wYtD20182017Long-Term571.27.412.52.213.022.00.53.64.024.624.522.9Intermediate1751.18.615.70.64.99.0-1.2-0.3-0.711.714.524.2Short-Term287(0.4)7.612.0(0.1)2.74.2-1.8-1.1-3.14.427.222.3Fixed Income DurationAUM(USD,bn.)Cum Flow(USD,bn.)Cum Flow,%of AUMCum Flow,%of AUM(3Y Z-Score)Cumulative Flows,%of AUMAnkit Gheedia CFA,Equity and Derivatives Strategist,BNP Paribas London Branch Eurozone differing fate:Eurozone equities remain the most unloved asset class in the ETF space while eurozone bond funds have been the most preferred asset class across the world.Recent expectations of an ECB QE has accelerated inflows into bond funds.Hunt for yield:High yield ETFs have attracted more inflows than lower yielding investment grade bonds as investors chase yield.16/07/2019 Fixed Income region summary Fixed Income duration summary This publication is classified as non-objective research|Please refer to important information at the end of the report All sources:BNP Paribas,Bloomberg.Past results are not indicative of future performance,which may be better or worse than prior results.Please refer to Appendix for ticker definitions and key product risks EQUITY DERIVATIVES|FOCUS 6(4)(3)(2)(1)012345Jan-19Feb-19Mar-19Apr-19May-19Jun-19Jul-19APAC DMAPAC EM(10)(5)05101520Jan-19Feb-19Mar-19Apr-19May-19Jun-19Jul-19EMEA DMEMEA EM(150)(100)(50)050100150(10)(5)051015202013201420152016201720182019Japan 12w cum flows(%AUM)Japan eco surprises(rhs)(150)(100)(50)050100150(4)(2)02468102013201420152016201720182019US 12w cum flows(%AUM)US eco surprises(rhs)(150)(100)(50)050100150(20)(15)(10)(5)05101520252013201420152016201720182019Eurozone 12w cum flows(%AUM)Euro Area eco surprises(rhs)Japan 12w cumulative flows(%AUM)Emerging Markets 12w cumulative flows(%AUM)EMEA DM vs EM cumulative YTD flows(%AUM)APAC DM vs EM cumulative YTD flows(%AUM)United States 12w cumulative flows(%AUM)Eurozone 12w cumulative flows(%AUM)Equity Flow vs.