EPFR Fund Flows

US Bond Funds end May by recording biggest inflow since 1Q15

Investors, who yanked $445 billion out of EPFR-tracked Bond Funds during March, ended May by committing the largest amount of fresh money to this fund group in over three months. US Bond Funds fared particularly well, posting their biggest inflow since the fifth week of 2015 when an escalating civil war in the Ukraine and Greece’s harder line with Eurozone creditors triggered a flight to safer fixed income groups.

IGM FX and Rates

EM Viewpoint: Can CEEMEA central bank QE ultimately stem outflows?

To date, QE has only been used on a large scale in countries with strong currencies and deep pools of demand. There is a concern that in Emerging Markets, these conditions are not in place. For now the scale of EM QE is contained and the relatively limited bond buying programmes undertaken in the first weeks of the pandemic proved effective. While quantitative easing worked in the developed world without pushing up prices, capital outflows and weaker currencies could quickly fuel inflation in EMs. What is worrying is the prospect of QE creeping into direct deficit monetisation, especially in those countries with less fiscal space and weaker institutions. For more read our EM Viewpoint Blog >

EPFR Fund Flows

Quants Corner - Bulls in an FX shop

Getting good data that produces valid, timely signals is a cornerstone of profitable investing across all asset classes. Investors, asset managers and other financial professionals focused on foreign exchange have long been hobbled by the dearth of good data in key areas. One such area is the positions that asset managers are building (or shrinking) in foreign markets. As managers change their positions, they create fluctuations in foreign exchange markets due to their changing demand for currencies to establish their positions. Knowing about these positions is crucial, but the available datasets in the market are generally noisy, imprecise estimates of the actual reality. Some rely on surveys which are prone to biases like representativeness and responsiveness of the respondents. Others rely on the positioning data in exchanges. EPFR has now begun collecting data on the actual allocations of funds to currencies. It has also been exploring ways to unlock the value of this data. One approach that yields good initial results is a simple one: run with the bulls

IGM Credit, IGM FX and Rates

China Insight: NPC Announced Smaller-Than-Expected CGSB Issuance

The NPC meeting officially kicked off in Beijing (22 May). There, Premier Li Keqiang announced: - a CNY1,000bn issuance of central government special bonds (CGSB), versus the market consensus of CNY2,000bn - a CNY3,750bn issuance of local government special bonds, versus last year's CNY2,150bn and a market consensus of CNY3,500-4,000bn - a rise in fiscal deficit-to-GDP ratio target to 3.6%, vs last year's 2.8%.

PSN Enterprise - Separate Account Analytics Software, Zephyr...

Ryan Nauman's Weekly Recap: COVID-19 Market Edition 05.26.20

During the upcoming holiday shortened trading week we will get our second glimpse of first quarter GDP growth, which currently sits at -4.78%. Additionally, we will see if the recent market rally and the reopening of economies has positively impacted consumer sentiment. Finally, the Federal Reserve’s preferred inflation gauge, personal consumption expenditure measure, will be released on Friday, which will provide us with more data regarding the impact low gas prices and shrinking consumer demand has had on prices. Ryan Nauman's Weekly Recap: COVID-19 Market Edition and subscribe to have it delivered to your inbox each week!

IGM Credit, IGM FX and Rates

The Context 05.25.20

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EPFR Fund Flows

Curve for Money Market Fund flows flattening

Money Market Funds posted their first outflow since late February during the week ending May 20, capping – at least for now -- a flight to cash that has seen $1.2 trillion committed to these funds over the past 12 weeks. In that time, EPFR sister company iMoneyNet calculates that the average 30-day yield among taxable US Money Market Funds has fallen from 1.28% to 0.18%. Bond Funds, meanwhile, took in fresh money for the sixth straight week as High Yield Bond Funds extended a run of inflows stretching back to late March.

EPFR Fund Flows

Dealing from a full deck: Utilising the full set of share classes to shape a more reliable exposure to China

PSN Enterprise - Separate Account Analytics Software, Zephyr...

Ryan Nauman's Weekly Recap: COVID-19 Market Edition 05.18.20

The housing sector will be front and center next week as we find out how the sector is coping with the shelter-in-place dynamics. Additionally, we will get the initial (flash) PMI readings on the manufacturing and services sectors. During past recessions, the services sector fared better than the manufacturing sector. However, that looks to change during this recession, as the shelter-in-place mandate has crippled services-oriented businesses such as restaurants, travel, and tourism more so than manufactures who are producing goods that are still needed for everyday life. Ryan Nauman's Weekly Recap: COVID-19 Market Edition and subscribe to have it delivered to your inbox each week!

PSN Separately Managed Accounts (SMA) Data, PSN Enterprise -...

Q1 2020 PSN Top Guns – The Historic Bull Market Comes to a Screeching Halt

The first quarter, which included record equity highs, a bear market, record low Treasury yields, record daily market swings, extreme volatility, and unprecedented monetary and fiscal policies will be a quarter we will not forget and will be used as a historical reference point moving forward. The culprit of all the global economic and market distress was the fast spreading COVID-19 illness.

IGM FX and Rates

IGM FX Trade of the Week Report

Initiated on May 1, we stay short GBP/USD from 1.2525 on a Seasonality in May basis. Recently, we also initiated a long USD/CNH at 7.1300 for a move on 7.2500 in the coming weeks. Otherwise, our latest report looks at other firms’ recommendations. For more read our FX Trade of The Week Blog >

IGM Credit, IGM FX and Rates

China Insight: After a Strong Sell-Off, Bonds Look Attractive Again

The bond market got sold off sharply in the first half of May, regardless of the stable liquidity. We attribute the sell-off partly to mounting supply pressure and partly to the market being overly crowded with long positions.

IGM Credit, IGM FX and Rates

The Context 05.18.20

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EPFR Fund Flows

Redemptions from China Equity Funds surge as trade tensions resurface

The prospect of a second major spike in Sino-US trade tensions cast a shadow over markets and some fund groups in mid-May. EPFR-tracked China Equity Funds posted their biggest weekly outflow since early 3Q15 as US President Donald Trump threatened China with new trade sanctions if it does not boost its imports from the US and allow independent investigation of the origins of the COVID-19 pandemic. Redemptions from all Emerging Markets Equity Funds, meanwhile, exceeded $3 billion for the fourth week running. Faced with a new source of uncertainty, already cautious investors steered another $35 billion into Money Market Funds while flows to US Bond Funds climbed to a 13-week high and Japan Equity Funds recorded their third largest inflow year-to-date. US Bond, Money Market and Japan Equity Funds all feature on the list of fund groups that have seen the largest inflows quarter to date, along with Leveraged Bear, High Yield Bond and SRI/ESG Equity Funds and a handful of major Sector Fund groups.

IGM FX and Rates

FX Viewpoint: Going negative, really?

We questioned recently whether Fed negative rates speculation will weigh on the US Dollar and prevent the DXY from reclaiming the 100.00-plus handle? Well, the latest Fed comments indicate there could well be some push-back against the controversial subject matter. Our compilation of major bank views also skews towards this being unlikely. Looking ahead, we suggest keeping an eye on upcoming speeches and possible comments on the subject from other Fed members and in particular, when Fed Chairman Powell speaks on Wednesday. For more read our Viewpoint Blog >