Last week, one of the most confounding features of the post-Christmas rally was resolved,
when following a 4 month boycott, bearish investors finally threw in
the towel and after pulling money from equity funds for 13 weeks, bought
a whopping $27.3Bn of US stock funds and ETFs in the week ending on
March 13th. This was the second largest inflow on record, behind
$38.30bn from March of last year, and contrasts with a mix of small
inflows and outflows earlier this year, including a $5.83bn outflow in
the prior week.
先週のことだが、クリスマス後のラリーでもっとも混乱してきたことが解決した、４か月ポジションを取っていなかったが、とうとうベア派がタオルを投げて諦めた、市場から１３週に渡り資金を引き上げていたが、なんと＄２７．３Bもの資金を米国株とETFに投じた、３月１３日までの一週間の出来事だ。この買いは米国史上二番目のものだ、一番は＄３８．３０Bで昨年３月のものだ、今年の薄商いでの売り買い交錯が今年になって続いていたがこれまでの動きとは大きく異なるものだ、その前の週は＄５．８３Bの資金流出だった。
The topic of reversing equity flows was also the key focus in the latest note from DB's Parag Thatte, who writes that following
large outflows of over $100bn since October, US equity funds this week
saw inflows surge with over $31bn in the first 3 days, helping drive the S&P 500 back to the top of its recent range.
What to make of this sudden fund flow reversal? As Thatte explains,
there have been only a handful of episodes (9) in the last few years
when US equities saw inflows at such a strong pace. These episodes were
of two types:
In a majority of episodes surging inflows were a contrarian indicator.
6 out of the 9 episodes saw the S&P 500 fall an average of -5.9%
over the course of the following one month, accompanied by outflows.
Exceptions were when inflows were just catching up after lagging the market.
In early- and mid-2013 and in late 2016 following the US elections,
strong equity inflows continued for an extended period of time after the
initial surge, driving the market even higher. These exceptions are
instructive in that they all occurred when inflows were playing catch up
after lagging far behind a market rally, which may be the case now.
However, arguing for the former, less cheerful take on the fund flow
timing reversal is an additional downside risk that has emerged this
week: according to Deutsche, the number of S&P 500 companies
in blackouts will ramp up sharply starting in the last week of March
and peak mid-April, implying a reduced pace of buybacks. As
Thatte warns, "the outsized role played by buybacks in driving the rally
in this recovery cycle as well as investor attention focused on the
blackout period recently adds to the risks highlighted above."
So as companies are about to go cold turkey on what has been another
year of record buybacks, who will be buying - or selling? The answer, as
Thatte explains in laying out the various flows expected from
systematic strategies, is mixed:
The Risk from Vol Control is to the downside. Vol
Control funds were quiet this week. VIX dropped from 16 to 13.5 over
the week as the market rebounded, while 1M realized vol was flat at 9. Vol Control funds are near full equity allocations, so risk is to the downside if volatility spikes.
Vol Controlからのリスクを見ると下落傾向だ。Vol Control ファンドは今週おとなしかった。VIXはこれまでの１６から今週１３．５に下落した、市場のリバウンドによるものだ、一方で一月のボラティリティは変わらずの９だった。Vol Control ファンドは目一杯株式露出している、そのためもしボラティリティが急上昇すると下落リスクは大きい。
CTAs are poised to buy in the next 7-10 days if a sell-off does not materialize. CTAs
are in aggregate net long S&P 500 and other equity indices, however
with lighter positioning than in 2017-2018. With S&P 500's 50d MA
rising and only -1.7% below the 200d MA, expect more buying if those
technical triggers cross. That is likely to occur within the next 7-10 trading days if a sell-off doesn't materialize. In other words, they will buy unless they sell.
Risk Parity continues to buy equities providing a tailwind. Equity
allocations for Risk Parity are still low relative to their historical
range. Risk Parity managers started buying equities a few weeks ago and
will continue to be incremental buyers in the coming weeks as long as
cross asset volatility continues to decline.
Finally, as the market stormed higher so did hedge fund Gross
Leverage for Equity L/S Hedge Funds, which is now near 12M highs, after
managers slowly added risk YTD. Equity L/S Hedge Funds had a strong
week bringing YTD returns to +6% on average. Top $-longs continue to
outperform top $-shorts, although PMs trimmed net exposure slightly.
One last observation: Emini (S&P futs) liquidity remains abysmal,
with the average ES bid/ask contracts size just above 1,000 and toughly
where it average for much of the fourth quarter. This means that any
abrupt and sustained reversal will likely lead to sharp and violent drop
in the market, as multiple bid levels are taking out in a rerun of what
happened in December.
多量のオピオイドを米国に送り込み、米国で深刻な麻薬中毒問題を引き起こしています。現代版「阿片戦争」です。あのトヨタ初の女性取締役もオピオイド中毒で逮捕解任されましたよね。 US Is Dependent On China For Almost 80% Of Its Medicine by Tyler Durden Fri, 05/31/2019 - 12:55 Experts are warning that the U.S. has become way too reliant on China for all our medicine , our pain killers, antibiotics, vitamins, aspirin and many cancer treatment medicine. 専門家はこう警告する、米国はすべての医薬品、痛み止め、抗生物質、ビタミン、アスピリン、各種抗がん剤で、中国依存度が高すぎる。 Fox Business reports that according to FDA estimates at least 80 percent of active ingredients found in all of America’s medicine come from abroad, primarily from China . And it’s not just the ingredients, China wants to become the world’s dominant generic drug maker. So far Chinese companies are making generic for everything from high blood pressure to chemotherapy drugs. 90 percent of America’s prescriptions a...
米国はよく理解してませんが、日本の場合では量的緩和で日銀が国債買い上げした資金は日銀当座預金にそのままです、市中には流れていません。でもNHKのニュース等では「ジャブジャブ」という表現をアナウンサーが使い、さらに丁寧に水道の蛇口からお金が吐き出される画像まで示してくれます。これって心理効果が大きいですよね。量的緩和とは何かを７時のニュースや新聞でこれ以上丁寧に解説するのはそう簡単ではありません。一般の人も株式をやっている人も「イメージ」で捉える以上はそう簡単にできません。多くの人は量的緩和とはなにか、を理解していないと私は想像しています。 ただし、国債を買い上げるので長期金利が低下し住宅ローン金利等が下がったのは確実な効果です。一方で長短金利差が少なくなると銀行のビジネスモデルが成り立たなくなりますが。 This Is The One Chart Every Trader Should Have "Taped To Their Screen" by Tyler Durden Sat, 01/19/2019 - 18:55 After a year of tapering, the Fed’s balance sheet finally captured the market’s attention during the last three months of 2018. 一年間のテーパリング後、FEDバランスシートがとうとう市場の注目をあびることになった、２０１８年の最後の３ヶ月だ。 By the start of the fourth quarter, the Fed had finished raising the caps on monthly roll-off of its balance sheet to the full $50bn per month (peaking at $30bn USTs, $20bn MBS...
後講釈なんですが、６月option(５月28日 expire）の$2400 Call Optionが out of the moneyになりました。６月optionは特にOpen Interest が大きい。きっかけはFED高官の発言のようですが、Option Writerにはまちかまえていたものでしょう。 ただ、これも今月末のexpireをすぎれば圧力は無くなると思います。
