asset allocation investor positioning and flows...3 october 2014 investor positioning and flows...
TRANSCRIPT
Deutsche Bank Research
Global
Asset Allocation
Investor Positioning and Flows
Date 3 October 2014
Extreme Protection Buying
________________________________________________________________________________________________________________
Deutsche Bank Securities Inc.
Deutsche Bank does and seeks to do business with companies covered in its research reports. Thus, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. DISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED IN APPENDIX 1. MCI (P) 148/04/2014.
Parag Thatte
Strategist (+1) 212 250-6605 [email protected]
John Tierney
Strategist (+1) 212 250-6795 [email protected]
Binky Chadha
Chief Strategist (+1) 212 250-4776 [email protected]
Table Of Contents
Equity Positioning Page 12
Bond Positioning Page 19
FX & Commodity Positioning Page 21
Fund Flows Page 23
Buyback Tracker Page 29
Small Cap Tracker Page 30
Put/call ratio high
1400
1500
1600
1700
1800
1900
2000
0.700.750.800.850.900.951.001.051.101.15
Jan-1
3
Mar
-13
May
-13
Jul-1
3
Sep
-13
No
v-13
Jan-1
4
Mar
-14
May
-14
Jul-1
4
Sep
-14
Put/Call volume ratio (5d ma, lhs) S&P 500 (rhs)
Skew spikes
1300
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7
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9
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11
No
v-1
2
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-13
Mar
-13
May
-13
Jul-1
3
Sep
-13
No
v-1
3
Jan
-14
Mar
-14
May
-14
Jul-1
4
Sep
-14
No
v-1
4
S&P 500: Skew (lhs) S&P 500 (rhs)
Note: Skew calculated as diff. in 3m implied volatility for 90% minus 110% strike.
As does implied stock correlation
1450
1550
1650
1750
1850
1950
2050
0.27
0.32
0.37
0.42
0.47
0.52
Jan-
13
Mar
-13
May
-13
Jul-1
3
Sep-
13
Nov
-13
Jan-
14
Mar
-14
May
-14
Jul-1
4
Sep-
14
Nov
-14
S&P 500 3m Implied Correlation (lhs) S&P 500 (rhs)
Source: Deutsche Bank
Equity funds cover underweight; lagging outflows extended selloff The initial phase of the sell-off which began 2 weeks ago saw mutual funds remain underweight and equity inflows following the rally to record highs. Mutual funds have since used the market pullback to cover their underweight; indeed the median performance of our mutual fund sample during Wednesday’s sharp selloff was in line with the market. However, strong outflows lagged the sell-off and lengthened it.
Several indicators point to extreme protection buying in equities The put/call volume ratio in US equity options spiked to extremes (98th
percentile since 1995). The ratio now looks to be declining and previous turnarounds after spikes were associated with strong market rebounds;
S&P 500 option vol skew rose rapidly, close to 2 year highs; Implied correlation amongst S&P 500 stocks also spiked close to 2 year
highs as investors positioned for a selloff. Similar spikes around previous selloffs saw the market bottom and rebound strongly.
Small cap outflows continue but short positioning is extreme Small cap funds have seen large outflows of 6% of AUM since Mar 2014 with the pace unabated in recent weeks. Net short positions in Russell 2000 futures have risen sharply in the last 3 weeks and are now at 3 year highs. Small cap mutual funds are underweight but look to be covering while large cap mutual fund exposure to small caps is average and well below highs earlier in the year. The small cap universe issues equity on net and hence unlike large caps does not have the automatic stabilizer of buybacks stepping in during selloffs.
Rates positioning neutral in aggregate but investors looking for curve flattening Bond futures positions are slightly long in aggregate. But across the curve, investors are short the 2y and the 5y; modestly long the 10y, and significantly long the 15+ year maturities. 2y futures shorts are near the highest levels since June 2007. Bond funds have underperformed their benchmark severely over the last two weeks as lingering HY exposure and a duration underweight hurt.
EM selloff not accompanied by extreme short positioning or outflows EM FX sold off sharply over the last 2 months but short positioning is nowhere near as extreme as in the selloff through Feb this year. MXN and BRL shorts are well off earlier extremes. EM equity ETF short interest has also risen only slightly, well below taper highs. EM bond ETF short interest on the other hand has shot up to taper tantrum highs. Inflows into EM equities and bonds which began in March have abated but not yet given way to significant outflows.
Longs in commodities and commodity currencies cut as dollar rally continues Dollar longs continue to rise and while shorts in the Euro and Yen have been relatively flat over the last two weeks, positions in AUD, CAD have been cut from long to slightly short and those in NZD to neutral. GBP longs edged up after the Scotland referendum. In commodities, oil longs have stopped falling but gold and silver longs continue to be cut; copper positions are now very short but not near the extremes seen in previous selloffs over the last 2 years.
3 October 2014
Investor Positioning and Flows
Page 2 Deutsche Bank Securities Inc.
Summary of positioning and flows
Aggregate equity positioning at neutral MFs have moved to neutral (-0.1pp); L/S HFs have continued to be close to neutral; Macro HFs exposure decreased modestly, but they remain overweight; Hybrid funds short positions increased and they are now further underweight; Across sectors, both MFs and L/S HFs are overweight Consumer Discretionary and
underweight Consumer Staples, Energy, Telecom and Utilities. Over the last month, L/S HFs significantly increased positions in Energy and
Materials. Both MFs and L/S HFs have decreased exposure to Consumer Staples, Telecom and Utilities;
Across regions, Japanese and GEM funds are o/w while Latam, European and global funds are u/w
Rates positions modestly long but positioned for curve flattening; commodity currencies positions turn short; commodity longs continue to be cut
2y shorts were trimmed but remain close to 7 year highs; 5y futures turn short; and 10y longs cut sharply; 15y+ longs rose;
USD longs remain at extreme highs; EUR shorts were trimmed but JPY shorts rose; GBP longs inched up; AUD and CAD positions turn short; Copper short positions raised and are at six month highs; WTI longs flat; Gold and silver longs continued to be cut; Corn longs raised; soybean and wheat shorts trimmed.
Equity outflows across DM while EM sees modest inflows Equities had the first significant outflow in 8 weeks (-$10.1b); US funds saw the bulk of outflows (-$9.6b) after inflows of $13.0b in past 2 weeks;
both MFs (-$2.5b) and ETFs (-$7.1b) saw outflows; Outflows from European (-$1.9b) and Japanese (-$0.5b) funds continue; EM equities receive modest inflows after modest outflows of -$1.7b in the past 2
weeks; inflows to Asia and EMEA while outflows from Latam; Outflows across sizes : large cap (-$4.3b), mid cap (-$1.6b) and small cap (-$2.0b); Growth funds (-$3.0b) continue to see massive outflows while value funds (-$0.7b)
also saw outflows; Inflows into healthcare and cons goods; outflows from energy and financials; Buyback announcements in Q3 ($70b) is the lowest in a quarter since the end of
2012, however, last 12 months announcements is running strong at $438b.
Strong inflows to bonds driven by US, HY outflows rise Bond funds received strong $9.1b inflows after inflows of $3.5b last week; Govt bonds received inflows ($2.4b) after outflows of -$7.1b in previous 5w; Inflows continue Corp IG ($0.7b) after inflows of $8.8b in prior 13w; Outflows rise from Corp HY (-$3.7b) after modest outflows last week and -$5.2b in
prior 2w; US ($8.3b), Europe ($0.4b) and Japan had inflows while EM (-$0.1b) had outflows; Inflows across maturity: long term ($0.8b), intermediate ($6.4b) and short ($2.9b); Outflows from floating rate funds rise (-$1.2b) after outflows of -$6.2b in 11w; Money market funds had outflows (-$3.0b) after huge inflows ($20.8b) last week;
outflows from Europe (-$14.3b) while inflows to US ($9.1b) and Japan ($1.4b). Liquidity ratio of HY funds increased significantly in August while that of govt bond
funds declined.
3 October 2014
Investor Positioning and Flows
Deutsche Bank Securities Inc. Page 3
Figure 1: Equity funds have used the market selloff to cover their underweight
and are now neutral
1000
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1800
2000
-2.0
-1.5
-1.0
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Oct
-14
Composite Equity Beta (lhs) S&P 500 (rhs)
Source: Factset, Bloomberg Finance LP, Deutsche Bank
Figure 2: Mutual funds performed in-line with the market during Wednesday’s
sell-off
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
0.0%US Equity MF returns - Oct 1st
49% of the funds outperformed
S&P 500: -1.32%Median: -1.34%
Source: Factset, Bloomberg Finance LP, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Page 4 Deutsche Bank Securities Inc.
Figure 3: Equity outflows lagged the pullback and prolonged it
1740
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1990
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1-O
ct
Daily ETF flows ($ mn, lhs) S&P 500 (rhs)
Source: Bloomberg Finance LP, Deutsche Bank
Figure 4: The put/call volume ratio has spiked recently to extremes as
investors bought protection
1400
1500
1600
1700
1800
1900
2000
0.700.750.800.850.900.951.001.051.101.15
Jan-
13
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Put/Call volume ratio 5d ma (lhs) Average: 0.83 S&P 500 (rhs)
Source: CBOE, Haver, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Deutsche Bank Securities Inc. Page 5
Figure 5: S&P option vol skew rose close to 2 year highs also indicating
protection buying
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S&P 500: Skew (lhs) S&P 500 (rhs)
Note: Skew is calculated as difference in 3m Implied Volatility for 90% minus 110% strike.
Source: Haver, Deutsche Bank
Figure 6: S&P implied stock correlation spiked to 2 year highs indicating
investors positioning for a market selloff through index options
1450
1550
1650
1750
1850
1950
2050
0.27
0.32
0.37
0.42
0.47
0.52
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S&P 500 3m Implied Correlation (lhs) S&P 500 (rhs)
Source: Haver, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Page 6 Deutsche Bank Securities Inc.
Figure 7: Small cap outflows since March have been large and have continued
apace
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0
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Cumulative equity flows since 2013 ($bn)Large CapMid CapSmall Cap
Source: EPFR Global, Deutsche Bank
Figure 8: Shorts in Russell 2000 futures have spiked to 3 year highs
140016001800200022002400260028003000
-80
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0
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Russell 2000 F&O Positions vs Russell 2000Net long Contracts (Thous, lhs) Russell 2000 (rhs)
Source: CFTC, Haver, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Deutsche Bank Securities Inc. Page 7
Figure 9: Small cap funds are still underweight but covering
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0.70
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10A
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Rolling 1m Beta of Small Cap funds to Russell 2000Beta (lhs)Average Since 2010: 0.88Russell 2000 (rhs)
Source: Bloomberg Finance LP, Factset, Deutsche Bank
Figure 10: Large cap fund exposure to small caps is average and well below levels
earlier in the year
-0.20
-0.10
0.00
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Note: Beta calculated as joint regression of MFs return on S&P 500 and small/large return
MFs beta to Small vs Large factor1m beta Average Since 2010: 0.1
Source: Bloomberg Finance LP, Factset, Haver, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Page 8 Deutsche Bank Securities Inc.
Figure 11: Small cap companies issue equities on net. In contrast large caps
buy back equity which acts as an automatic stabilizer during selloffs
-5.0%
-3.0%
-1.0%
1.0%
3.0%
5.0%
7.0%
-5.0%
-3.0%
-1.0%
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7.0%
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Net buybacks as % of market cap(Quarterly, Ann)
Russell 2000
S&P 500
Source: Compustat, Deutsche Bank
Figure 12: Rates futures are slightly long
1.0
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UST Positions in 10y equivalent (inv lhs, Thous Contracts)US 10y yield (%, rhs)
QE 1 Op TwistQE 2 QE 3
Correl since Mar 2009: -0.78
Op TwistExt.
Taper
Source: CFTC, FRB, Haver, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Deutsche Bank Securities Inc. Page 9
Figure 13: 2y futures have turned very short and are at Jun 2007 levels as
investors start positioning for a coming Fed hiking cycle
-54.0
-13.3
8.7
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2 Yr 5 Yr 10 Yr 15+ Yrs
Treasuries: Net Long in 10Yr Equivalent (in '000)
Latest 1 week ago
Source: CFTC, Haver, Deutsche Bank
Figure 14: EM FX such as the Brazilian real has sold off sharply but short
positioning is nowhere near earlier extremes
1.90
2.00
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50100150200250300350400450
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USDBRL positoning Net Long Contracts (Thous,lhs) USDBRL (rhs)
Source: Bloomberg Finance LP ,Deutsche Bank
3 October 2014
Investor Positioning and Flows
Page 10 Deutsche Bank Securities Inc.
Figure 15: EM equity ETF short interest has risen modestly but is well below
previous highs
0%
5%
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25%
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EM Equity ETFs Short Interest
Short Interest ($bn,lhs) SI % of AUM (rhs)
Source: Factset, Deutsche Bank
Figure 16: EM bond ETF short interest has however spiked and is back to
taper tantrum levels
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EM Bond ETFs Short Interest
Short Interest ($bn,lhs)
SI % of AUM (rhs)
Source: Factset, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Deutsche Bank Securities Inc. Page 11
Figure 17: EM equities and bonds saw inflows resume in Mar 2014 and while
the pace has abated there haven’t been any significant outflows yet
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EM: Cumulative flows since 2009 ($bn)EM Equity EM Bonds
Source: EPFR Global, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Page 12 Deutsche Bank Securities Inc.
Equity Positioning
Overall Equity Positioning
Figure 18: Composite equity beta
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2000
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Composite Equity Beta (lhs) S&P 500 (rhs)
Source: Bloomberg Finance LP Factset, Deutsche Bank
Figure 19: Positioning across fund types – relative to historical average beta exposure
-4.5
-0.1
4.5
13.5
-10
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0
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15
20
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0
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20
Hybrid Funds MFs L/S HFs Macro HFs
Positioning by investor class (pp)
1m beta 10d beta
Source: Bloomberg Finance LP, Factset, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Deutsche Bank Securities Inc. Page 13
Equity Positioning by Fund Type
Figure 20: US mutual fund positioning Figure 21: Equity long-short hedge fund positioning
0.90
0.95
1.00
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1.10
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Large Cap Mutual Funds: Beta to the S&P 500: 1m Rolling
S&P 500 (rhs) Large Cap Mutual Fund Beta (rhs) Beta = 1
0.00
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Equity Long-Short Hedge Funds: Beta to the S&P 500:1m rolling
S&P 500 (rhs) Equity Long Short Beta (rhs) Average: 0.29
Source: Bloomberg Finance LP, Factset, Deutsche Bank Source: Bloomberg Finance LP, Factset, Deutsche Bank
Figure 22: Macro hedge fund positioning Figure 23: Hybrid fund positioning
-0.4
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Macro Hedge Funds: Beta to the S&P 500:1m rolling
S&P 500 (rhs) Macro HF Beta (rhs) Average: 0.1
0.5
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Hybrid Funds: Beta to the S&P 500:1m rolling
S&P 500 (rhs) Hybrid Funds Beta (rhs) Average: 0.57
Source: Bloomberg Finance LP, Deutsche Bank Source: Bloomberg Finance LP, Deutsche Bank
Note: Beta to the S&P 500 calculated using a rolling 21 day regression of the fund type daily index returns against daily S&P 500 returns. We create an index of the largest mutual funds and hybrid funds with fund weights based on assets under management.
3 October 2014
Investor Positioning and Flows
Page 14 Deutsche Bank Securities Inc.
Sector Positioning
Figure 24: Sector positioning for mutual funds and equity long-short hedge funds
-60%
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tapl
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Util
ities
Ener
gy
Tele
com
1m Correlation of Excess Returns
Mutual Funds
Long Short Funds
Source: Bloomberg Finance LP, Factset, Deutsche Bank
Figure 25: One month change in sector positioning
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Fina
ncia
ls
Hea
lth C
are
Mat
eria
ls
Info
Tec
h
Ener
gy
Util
ities
Con
s S
tapl
es
Tele
com
Change in Correlation of Excess Returns Over Last Month
Mutual Funds
Long Short FundsDecrease in Beta
Increase in Beta
Source: Bloomberg Finance LP, Factset, Deutsche Bank
Note: We calculate the 21 day correlation of MF or HF daily excess returns (vs. the S&P 500) and the sector
excess daily excess returns (vs. the S&P 500) to get a timely estimate of over or underweight positioning.
3 October 2014
Investor Positioning and Flows
Deutsche Bank Securities Inc. Page 15
Mutual Fund Betas Across Regions
Figure 26: Mutual fund betas across regions
-1.0
-0.8
-0.6
-0.4
-0.2
0.0
0.2
0.4
0.6
0.8
1.0
-1.0
-0.8
-0.6
-0.4
-0.2
0.0
0.2
0.4
0.6
0.8
1.0
Latam Europe Global UK EMEA US Funds
Asia ex JP
Japan GEM
Regional Mutual Fund Positioning
Overweight: Median beta of region to benchmark is higher than avg (Z-score)
Underweight
Source: Bloomberg Finance LP, Factset, Deutsche Bank
Figure 27: Change in mutual fund betas across regions
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
EMEA UK Europe Global Japan Latam Asia ex JP
US Funds
GEM
1m Change in Regional Mutual Fund Beta (Z-Score)Increase
Decrease
Source: Bloomberg Finance LP, Factset, Deutsche Bank
Note: For each of the largest dedicated mutual funds in each region, we calculate the rolling 21 day beta of daily
fund returns against the daily returns of their stated benchmark. The betas displayed above represent the z-score
of the median for the respective region versus the historical average.
3 October 2014
Investor Positioning and Flows
Page 16 Deutsche Bank Securities Inc.
Skew across regions
Figure 28: Option skew across regional equity indices
-1.7
-1.3
-0.9
-0.5
-0.1
0.3
0.7
-1.7
-1.3
-0.9
-0.5
-0.1
0.3
0.7
LATA
M
Euro
pe
Asi
a Ex
JP
Japa
n
EMEA U
S
UK
Skew Z-Score
Overweight
Source: Global Equity Derivatives Strategy, Deutsche Bank
Figure 29: Change in option skew across regions
-0.4
-0.2
0.0
0.2
0.4
0.6
0.8
1.0
1.2
-0.4
-0.2
0.0
0.2
0.4
0.6
0.8
1.0
1.2
EMEA
Euro
pe
Japa
n
LATA
M
Asi
a Ex
JP
US
UK
Skew: 1M Chg in Z-Score
Source: Global Equity Derivatives Strategy, Deutsche Bank
Note: Skew is calculated as difference in 3m Implied Volatility for 90% strike minus 110% strike of respective indices. Indices used for region/country: US: S&P 500, Europe: Stoxx 50, UK: FTSE 100, Japan: Nikkei 225, Asia ex Japan: Average of Hang Seng, Kospi, Nifty 50, Straits Times & Taiwan Weighted, LATAM: Brazil Bovespa & Mexico Bolsa, EMEA: MSCI Russia & MSCI South Africa.
3 October 2014
Investor Positioning and Flows
Deutsche Bank Securities Inc. Page 17
Equity Short Interest
Figure 30: Total short interest as % of S&P 500 market cap
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
Jan-
03
Aug
-03
Mar
-04
Oct
-04
May
-05
Dec
-05
Jul-0
6
Feb-
07
Sep-
07
Apr
-08
Nov
-08
Jun-
09
Jan-
10
Aug
-10
Mar
-11
Oct
-11
May
-12
Dec
-12
Jul-1
3
Feb-
14
Sep-
14
Futures, Cash Equities & ETFs Shorts % of SPX Mkt Cap
Jun 20, 2008 (3.9%)Sep 16, 2011 (3.8%)
Note: S&P Futures data as of Sep 30. Cash equities and ETF shorts data as of Sep 15
Source: NYSE, CFTC, Haver, Factset, Bloomberg Finance LP, Deutsche Bank
Figure 31: S&P 500 net futures speculative positioning
1000
1200
1400
1600
1800
2000
-110
-90
-70
-50
-30
-10
10
30
50
Jan-
10
May
-10
Aug
-10
Dec
-10
Apr
-11
Aug
-11
Dec
-11
Apr
-12
Aug
-12
Dec
-12
Apr
-13
Aug
-13
Dec
-13
Apr
-14
Aug
-14
Total Net Position (Bigs + Minis) (Thous, lhs) S&P 500 (rhs)
Source: CFTC, Haver, Bloomberg Finance LP, Deutsche Bank
Note: Non-commercial futures positions are open positions held by traders who are in the market for speculative
motives – non-commercial players include individual investors, financial institutions and hedge funds.
3 October 2014
Investor Positioning and Flows
Page 18 Deutsche Bank Securities Inc.
Figure 32: Components of total short interest
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%Ja
n-10
May
-10
Sep-
10
Jan-
11
May
-11
Sep-
11
Jan-
12
May
-12
Sep-
12
Jan-
13
May
-13
Sep-
13
Jan-
14
May
-14
Sep-
14
Shorts % of S&P 500 Market CapFutures Cash Equities ETFs
Source: CFTC, Haver, NYSE, Factset, Deutsche Bank
Figure 33: Short interest by sector
-0.42%-0.13%-0.12%-0.10%
0.04% 0.05% 0.14% 0.20% 0.23%
0.77%
1.13%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
Fina
ncia
ls
Mat
eria
ls
Con
s D
isc
Indu
stria
ls
Con
s St
aple
s
S&P
500 IT
Hea
lth C
are
Ener
gy
Tele
com
Util
ities
S&P 500 mkt value wtd short interest (Deviation from Average Since 2010)
Source: NYSE, Factset, Deutsche Bank
Figure 34: Change in short interest by sector
-0.18
-0.11 -0.09 -0.09
-0.03 -0.03-0.01 0.00
0.030.08
0.11
-0.20-0.15-0.10-0.050.000.050.100.150.20
-0.20
-0.10
0.00
0.10
0.20
Hea
lth C
are
Mat
eria
ls
Fina
ncia
ls
Con
s S
tapl
es
S&
P 5
00
Indu
stria
ls
Con
s D
isc
Ene
rgy
Tele
com
Util
ities IT
1m change in S&P 500 mkt value wtd short interest as % of o/s shares as of Sep 15, 2014
Decrease
Increase
Source: NYSE, Factset Deutsche Bank
3 October 2014
Investor Positioning and Flows
Deutsche Bank Securities Inc. Page 19
Bond Positioning
Bond mutual fund positioning
Figure 35: Broad bond market beta
215
225
235
245
255
265
-0.50
0.00
0.50
1.00
1.50
Jan-
10A
pr-1
0Ju
l-10
Oct
-10
Jan-
11A
pr-1
1Ju
l-11
Oct
-11
Jan-
12A
pr-1
2Ju
l-12
Oct
-12
Jan-
13A
pr-1
3Ju
l-13
Oct
-13
Jan-
14A
pr-1
4Ju
l-14
Oct
-14
Bond Funds Beta to Broad MarketBeta (lhs) Average Beta: 0.84 US Broad Market Index (rhs)
Source: Bloomberg Finance LP, Factset, Haver, Deutsche Bank
Figure 36: Credit beta
106
108
110
112
114
116
118
120
122
-3.00
-2.50
-2.00
-1.50
-1.00
-0.50
0.00
0.50
1.00
Jan-
10A
pr-1
0Ju
l-10
Oct
-10
Jan-
11A
pr-1
1Ju
l-11
Oct
-11
Jan-
12A
pr-1
2Ju
l-12
Oct
-12
Jan-
13A
pr-1
3Ju
l-13
Oct
-13
Jan-
14A
pr-1
4Ju
l-14
Oct
-14
Bond Funds Beta to Credit (US Corp BBB-AA)Beta (lhs) Average Beta: -0.05 BBB-AA: Rel. Performance (rhs)
Source: Bloomberg Finance LP, Factset, Haver, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Page 20 Deutsche Bank Securities Inc.
Rates futures positioning
Figure 37: Non-commercial net long positions in US treasuries
-500
-400
-300
-200
-100
0
100
200
300
400
-500
-400
-300
-200
-100
0
100
200
300
400
Jan-
10
May
-10
Sep-
10
Jan-
11
May
-11
Sep-
11
Jan-
12
May
-12
Sep-
12
Jan-
13
May
-13
Sep-
13
Jan-
14
May
-14
Sep-
14
Treasuries: Net longs in 10y equivalents (in '000)
Source: CFTC, Haver, Deutsche Bank
Figure 38: Current net speculative positioning in US treasuries
-54.0
-13.3
8.7
83.3
-70
-50
-30
-10
10
30
50
70
90
-70
-50
-30
-10
10
30
50
70
90
2 Yr 5 Yr 10 Yr 15+ Yrs
Treasuries: Net Long in 10Yr Equivalent (in '000)
Latest 1 week ago
Source: CFTC, Haver, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Deutsche Bank Securities Inc. Page 21
FX & Commodity Positioning Figure 39: USD Positions Figure 40: Euro Positions
6769717375777981
-60
-40
-20
0
20
40
60
80
Jan-
10
May
-10
Sep
-10
Jan-
11
May
-11
Sep
-11
Jan-
12
May
-12
Sep
-12
Jan-
13
May
-13
Sep
-13
Jan-
14
May
-14
Sep
-14
Trade Weighted Dollar F&O Positions vs USD IndexNet Long Contracts (Thous, lhs) US TWI, Major Currencies (rhs)
Trade Weighted Positions in JPY, EUR, GBP,AUD, CHF and CAD are used for calculating USTWI
1.20
1.25
1.30
1.35
1.40
1.45
-250
-200
-150
-100
-50
0
50
100
Jan-
10
May
-10
Sep-
10
Jan-
11
May
-11
Sep-
11
Jan-
12
May
-12
Sep-
12
Jan-
13
May
-13
Sep-
13
Jan-
14
May
-14
Sep-
14
Euro F&O Positions vs EURUSDNet Long Contracts (Thous, lhs) EURUSD (rhs)
Source: CFTC, Haver, Deutsche Bank Source: CFTC, Haver, Deutsche Bank
Figure 41: JPY Positions Figure 42: GBP Positions
75
80
85
90
95
100
105
110-150
-100
-50
0
50
Jan-
10
May
-10
Sep-
10
Jan-
11
May
-11
Sep-
11
Jan-
12
May
-12
Sep-
12
Jan-
13
May
-13
Sep-
13
Jan-
14
May
-14
Sep-
14
JPY F&O Positions vs USDJPYNet Long Contracts (Thous, lhs) USDJPY (rhs, inv)
1.43
1.48
1.53
1.58
1.63
1.68
1.73
-80
-60
-40
-20
0
20
40
60
Jan-
10
May
-10
Sep-
10
Jan-
11
May
-11
Sep-
11
Jan-
12
May
-12
Sep-
12
Jan-
13
May
-13
Sep-
13
Jan-
14
May
-14
Sep-
14
GBP F&O Positions vs GBPUSDNet Long Contracts (Thous, lhs) GBPUSD (rhs)
Source: CFTC, Haver, Deutsche Bank Source: CFTC, Haver, Deutsche Bank
Figure 43: AUD Positions Figure 44: CAD Positions
0.80
0.85
0.90
0.95
1.00
1.05
1.10
-100-80-60-40-20
020406080
100
Jan-
10
May
-10
Sep
-10
Jan-
11
May
-11
Sep
-11
Jan-
12
May
-12
Sep
-12
Jan-
13
May
-13
Sep
-13
Jan-
14
May
-14
Sep
-14
AUD F&O Positions vs AUDUSDNet Long Contracts (Thous, lhs) AUDUSD (rhs)
0.940.960.981.001.021.041.061.081.101.121.14-80
-60-40-20
020406080
100120
Jan-
10
May
-10
Sep-
10
Jan-
11
May
-11
Sep-
11
Jan-
12
May
-12
Sep-
12
Jan-
13
May
-13
Sep-
13
Jan-
14
May
-14
Sep-
14
CAD F&O Positions vs USDCADNet Long Contracts (Thous, lhs) USDCAD (inv, rhs)
Source: CFTC, Haver, Deutsche Bank Source: CFTC, Haver, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Page 22 Deutsche Bank Securities Inc.
Figure 45: Oil Figure 46: Copper
707580859095100105110115
050
100150200250300350400450500
Jan-
10
May
-10
Sep
-10
Jan-
11
May
-11
Sep
-11
Jan-
12
May
-12
Sep
-12
Jan-
13
May
-13
Sep
-13
Jan-
14
May
-14
Sep
-14
WTI F&O Positions vs WTI PriceNet Long Contracts (Thous, lhs) WTI ($/Barrel) (rhs)
2.72.93.13.33.53.73.94.14.34.5
-35
-25
-15
-5
5
15
25
35
Jan-
10A
pr-1
0Ju
l-10
Oct
-10
Jan-
11A
pr-1
1Ju
l-11
Oct
-11
Jan-
12A
pr-1
2Ju
l-12
Oct
-12
Jan-
13A
pr-1
3Ju
l-13
Oct
-13
Jan-
14A
pr-1
4Ju
l-14
Oct
-14
Copper F&O Positions vs Copper PriceNet Long Contracts (Thous, lhs) Copper ($/Lb) (rhs)
Source: CFTC, Haver, Deutsche Bank Source: CFTC, Haver, Deutsche Bank
Figure 47: Gold Figure 48: Silver
1000110012001300140015001600170018001900
0
50
100
150
200
250
300
Jan-
10
May
-10
Sep
-10
Jan-
11
May
-11
Sep
-11
Jan-
12
May
-12
Sep
-12
Jan-
13
May
-13
Sep
-13
Jan-
14
May
-14
Sep
-14
Gold F&O Positions vs Gold PriceNet Long Contracts (Thous, lhs) Gold ($/Troy oz) (rhs)
15
20
25
30
35
40
45
50
-5
5
15
25
35
45
55Ja
n-10
May
-10
Sep
-10
Jan-
11
May
-11
Sep
-11
Jan-
12
May
-12
Sep
-12
Jan-
13
May
-13
Sep
-13
Jan-
14
May
-14
Sep
-14
Silver F&O Positions vs Silver PriceNet Long Contracts (Thous, lhs) Silver ($/Troy oz) (rhs)
Source: CFTC, Haver, Deutsche Bank Source: CFTC, Haver, Deutsche Bank
Figure 49: Corn Figure 50: Soybean
3
4
5
6
7
8
-200
-100
0
100
200
300
400
500
Jan-
10
May
-10
Sep-
10
Jan-
11
May
-11
Sep-
11
Jan-
12
May
-12
Sep-
12
Jan-
13
May
-13
Sep-
13
Jan-
14
May
-14
Sep-
14
Corn F&O Positions vs Corn PriceNet Long Contracts (Thous, lhs) Corn ($/Bu) (rhs)
89101112131415161718
-60
-10
40
90
140
190
240
Jan-
10
May
-10
Sep
-10
Jan-
11
May
-11
Sep
-11
Jan-
12
May
-12
Sep
-12
Jan-
13
May
-13
Sep
-13
Jan-
14
May
-14
Sep
-14
Soybean F&O Positions vs Soybean PriceNet Long Contracts (Thous, lhs) Soybean ($/Bu) (rhs)
Source: CFTC, Haver, Deutsche Bank Source: CFTC, Haver, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Deutsche Bank Securities Inc. Page 23
Fund Flows
Cross Asset Fund Flows
Figure 51: Equity, bond and money market flows
-1.1-0.9-0.7-0.5-0.3-0.10.10.30.50.7
-1.1-0.9-0.7-0.5-0.3-0.10.10.30.50.7
Jan-
10
May
-10
Sep
-10
Jan-
11
May
-11
Se p
-11
Jan-
12
May
-12
Sep
-12
Jan-
13
May
-13
Sep
-13
Jan-
14
May
-14
Sep
-14
4w ma of flows (% of assets)Equities Bonds MM
Source: EPFR Global, Haver, Deutsche Bank
Figure 52: Cumulative equity, bond and money market flows over the last year
-3.5
-2.5
-1.5
-0.5
0.5
1.5
2.5
3.5
4.5
-3.5
-2.5
-1.5
-0.5
0.5
1.5
2.5
3.5
4.5
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
Apr
-14
May
-14
Jun-
14
Jul-1
4
Aug
-14
Sep
-14
Oct
-14Cumulative Flows (last 12m, % of assets)
Equities Bonds MM funds
Source: EPFR Global, Haver, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Page 24 Deutsche Bank Securities Inc.
Figure 53: Fund flows across assets for the last 4 weeks
-1.0-0.8-0.6-0.4-0.20.00.20.40.60.8
-1.0-0.8-0.6-0.4-0.20.00.20.40.60.8
MM Govt Bonds
Corp IG EM Bonds
Corp HY Bal Funds
Div Funds
DM Equity
EM Equity
Cross asset flows as a % of assets (last 4 weeks)Sep-10 Sep-17 Sep-24 Oct-01
Safer Riskier
Source: EPFR Global, Haver, Deutsche Bank
Figure 54: Bond flows across regions Figure 55: Equity flows across regions
-1.5
-1.0
-0.5
0.0
0.5
1.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
US Europe Japan Latam Asia ex Japan
EMEA
Bond Flows (last 4 weeks, % of assets)Sep-10 Sep-17 Sep-24 Oct-01
-0.6
-0.4
-0.2
0.0
0.2
0.4
0.6
0.8
-0.6
-0.4
-0.2
0.0
0.2
0.4
0.6
0.8
US Europe Japan Latam Asia ex Japan
EMEA
Equity flows (last 4 weeks, % of assets)Sep-10 Sep-17 Sep-24 Oct-01
Source: EPFR Global, Haver, Deutsche Bank Source: EPFR Global, Haver, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Deutsche Bank Securities Inc. Page 25
Bond Flows – Regions, Sectors
Figure 56: Global bond flows across sectors Figure 57: US and Europe bond flows across sectors
-12
-9
-6
-3
0
3
6
9
12
-12
-9
-6
-3
0
3
6
9
12
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
Apr
-14
May
-14
Jun-
14
Jul-1
4
Aug
-14
Sep-
14
Oct
-14
Cumulative Bond Flows (last 12m, % of assets)Govt Bonds Corp IG Corp HY EM Bonds
-5
0
5
10
15
20
25
30
35
40
45
-5
0
5
10
15
20
25
30
35
40
45
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
Apr
-14
May
-14
Jun-
14
Jul-1
4
Aug
-14
Sep-
14
Oct
-14
Cumulative Bond Flows (last 12m, % of assets)US HG US HYEurope HG Europe HY
Source: EPFR Global, Haver, Deutsche Bank Source: EPFR Global, Haver, Deutsche Bank
Figure 58: DM bond flows Figure 59: EM bond flows
-2
0
2
4
6
8
10
-2
0
2
4
6
8
10
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
Apr
-14
May
-14
Jun-
14
Jul-1
4
Aug
-14
Sep
-14
Oct
-14
Cumulative Bond Flows (last 12m, % of assets)US Europe Japan
-26
-21
-16
-11
-6
-1
-26
-21
-16
-11
-6
-1
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
Apr
-14
May
-14
Jun-
14
Jul-1
4
Aug
-14
Sep-
14
Oct
-14
Cumulative Bond Flows (last 12m, % of assets)EM Bonds Latam Asia ex Japan EMEA
Source: EPFR Global, Haver, Deutsche Bank Source: EPFR Global, Haver, Deutsche Bank
Figure 60: Global bonds flows by tenor Figure 61: EM hard and local currency fund flows
-3
2
7
12
-3
2
7
12
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
Apr
-14
May
-14
Jun-
14
Jul-1
4
Aug
-14
Sep-
14
Oct
-14
Cumulative Bond Flows (last 12m, % of assets)Long Term Short TermIntermediate Term Floating rate
-18-16-14-12-10-8-6-4-202
-18-16-14-12-10-8-6-4-202
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
Apr
-14
May
-14
Jun-
14
Jul-1
4
Aug
-14
Sep-
14
Oct
-14
EM bonds: Cumulative flows (last 12m, % of assets)Hard Currency Local Currency
Source: EPFR Global, Haver, Deutsche Bank Source: EPFR Global, Haver, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Page 26 Deutsche Bank Securities Inc.
Equity Flows – Regions, Sectors, Styles
Figure 62: Developed market regions Figure 63: Emerging market regions
-2
0
2
4
6
8
10
12
-2
0
2
4
6
8
10
12
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
Apr
-14
May
-14
Jun-
14
Jul-1
4
Aug
-14
Sep
-14
Oct
-14
Cumulative Equity Flows (last 12m, % of assets)US Europe Japan
-22
-17
-12
-7
-2
3
-22
-17
-12
-7
-2
3
Oct
-13
Nov
-13
Dec
-13
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14
Feb-
14
Mar
-14
Apr
-14
May
-14
Jun-
14
Jul-1
4
Aug
-14
Sep
-14
Oct
-14
Cumulative Equity Flows (last 12m, % of assets)GEM EM Equity Latam Asia ex Japan EMEA
Source: EPFR Global, Haver, Deutsche Bank Source: EPFR Global, Haver ,Deutsche Bank
Figure 64: Cyclical sectors Figure 65: Defensive sectors
-8
-3
2
7
12
17
22
27
-8
-3
2
7
12
17
22
27
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
Apr
-14
May
-14
Jun-
14
Jul-1
4
Aug
-14
Sep
-14
Oct
-14
Cumulative Equity Flows (last 12m, % of assets)Materials Energy Financials Industrials Technology
-13
-8
-3
2
7
12
17
-13
-8
-3
2
7
12
17
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
Apr
-14
May
-14
Jun-
14
Jul-1
4
Aug
-14
Sep
-14
Oct
-14
Cumulative Equity Flows (last 12m, % of assets)Cons Goods Health Care Real Estate Telecom Utilities
Source: EPFR Global, Haver, Deutsche Bank Source: EPFR Global, Haver, Deutsche Bank
Figure 66: Size Figure 67: Style
-8
-6
-4
-2
0
2
4
-8
-6
-4
-2
0
2
4
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
Apr
-14
May
-14
Jun-
14
Jul-1
4
Aug
-14
Sep
-14
Oct
-14
Cumulative Equity Flows (last 12m, % of assets)Large Cap Mid Cap Small Cap
-5
-4
-3
-2
-1
0
1
-5
-4
-3
-2
-1
0
1
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
Apr
-14
May
-14
Jun-
14
Jul-1
4
Aug
-14
Sep
-14
Oct
-14
Cumulative Equity Flows (last 12m, % of assets)Growth Value
Source: EPFR Global, Haver, Deutsche Bank Source: EPFR Global, Haver, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Deutsche Bank Securities Inc. Page 27
Country-wise Equity Flows
Figure 68: Europe country flows Figure 69: Other developed market country flows
-35-25-15-55152535455565
-35-25-15-55
152535455565
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
Apr
-14
May
-14
Jun-
14
Jul-1
4
Aug
-14
Sep-
14
Oct
-14
Cumulative Flows (last 12m, % of assets)UK France Germany ItalySpain Switzerland Netherlands
-20
-15
-10
-5
0
5
10
15
-20
-15
-10
-5
0
5
10
15
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
Ap
r-14
May
-14
Jun-
14
Jul-1
4
Aug
-14
Sep
-14
Oct
-14
Cumulative Flows (last 12m, % of assets)Australia Hong Kong Korea (South)New Zealand Singapore Canada
Source: EPFR Global, Haver, Deutsche Bank Source: EPFR Global, Haver, Deutsche Bank
Figure 70: Asian emerging markets country flows Figure 71: Other emerging markets country flows
-18
-13
-8
-3
2
7
-18
-13
-8
-3
2
7
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
Apr
-14
May
-14
Jun-
14
Jul-1
4
Aug
-14
Sep-
14
Oct
-14
Cumulative Flows (last 12m, % of assets)China India IndonesiaMalaysia Taiwan Thailand
-40-35-30-25-20-15-10-505
-40-35-30-25-20-15-10-505
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
Apr
-14
May
-14
Jun-
14
Jul-1
4
Aug
-14
Sep-
14
Oct
-14
Cumulative Flows (last 12m, % of assets)Brazil Chile Mexico Russia South Africa
Source: EPFR Global, Haver, Deutsche Bank Source: EPFR Global, Haver, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Page 28 Deutsche Bank Securities Inc.
Fund Liquidity Ratios Figure 72: Equity funds – US and EM Figure 73: Hybrid funds
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
Dec
-03
Dec
-04
Dec
-05
Dec
-06
Dec
-07
Dec
-08
Dec
-09
Dec
-10
Dec
-11
Dec
-12
Dec
-13
Dec
-14
Liquidity Ratio (%)EM Equity US Equity
5
6
7
8
9
10
11
12
5
6
7
8
9
10
11
12
Dec
-03
Dec
-04
Dec
-05
Dec
-06
Dec
-07
Dec
-08
Dec
-09
Dec
-10
Dec
-11
Dec
-12
Dec
-13
Dec
-14
Liquidity Ratio (%)Hybrid Funds
Source: ICI, Haver, Deutsche Bank Source: ICI, Haver, Deutsche Bank
Figure 74: Government bond funds Figure 75: Corporate bond funds
-7
-5
-3
-1
1
3
5
-7
-5
-3
-1
1
3
5
Dec
-03
Jul-0
4
Feb-
05Se
p-05
Apr
-06
Nov
-06
Jun-
07Ja
n-08
Aug
-08
Mar
-09
Oct
-09
May
-10
Dec
-10
Jul-1
1
Feb-
12Se
p-12
Apr
-13
Nov
-13
Jun-
14
Liquidity Ratio (%)Govt Bond
-2-10123456789
-2-10123456789
Dec
-03
Jul-0
4Fe
b-0
5S
ep-0
5A
pr-0
6N
ov-0
6Ju
n-07
Jan-
08A
ug-0
8M
ar-0
9O
ct-0
9M
ay-1
0D
ec-1
0Ju
l-11
Feb
-12
Sep
-12
Ap
r-13
Nov
-13
Jun-
14
Liquidity Ratio (%)Corp Bond
Source: ICI, Haver, Deutsche Bank Source: ICI, Haver, Deutsche Bank
Figure 76: High yield bond funds Figure 77: World bond funds
3.5
4.5
5.5
6.5
7.5
8.5
9.5
10.5
11.5
3.5
4.5
5.5
6.5
7.5
8.5
9.5
10.5
11.5
Dec
-03
Jun-
04D
ec-0
4Ju
n-05
Dec
-05
Jun-
06D
ec-0
6Ju
n-07
Dec
-07
Jun-
08D
ec-0
8Ju
n-09
Dec
-09
Jun-
10D
ec-1
0Ju
n-11
Dec
-11
Jun-
12D
ec-1
2Ju
n-13
Dec
-13
Jun-
14D
ec-1
4
Liquidity Ratio (%)
HY Bond
3
5
7
9
11
13
15
17
3
5
7
9
11
13
15
17
Dec
-03
Dec
-04
Dec
-05
Dec
-06
Dec
-07
Dec
-08
Dec
-09
Dec
-10
Dec
-11
Dec
-12
Dec
-13
Dec
-14
Liquidity Ratio (%)World Bond
Source: ICI, Haver, Deutsche Bank Source: ICI, Haver, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Deutsche Bank Securities Inc. Page 29
Buyback Tracker Figure 78: Recent S&P 500 buyback announcements
Date Ticker Company Name Sector Industry Group $mn % of mcap
9/30/14 MAS Masco Corp Industrials Capital Goods 8,358 1,196 14.3% 2.4%9/30/14 NOV National Oilwell Varco Inc Energy Energy 32,682 3,000 9.2% -3.0%9/29/14 FDX FedEx Corp Industrials Transportation 51,573 2,433 4.7% 1.6%9/25/14 LMT Lockheed Martin Corp Industrials Capital Goods 56,317 2,000 3.6% 2.5%9/19/14 COL Rockwell Collins Inc Industrials Capital Goods 10,799 500 4.6% 2.9%9/18/14 ORCL Oracle Corp Information Technology Software & Services 184,399 13,000 7.0% -3.7%9/16/14 HUM Humana Inc Health Care Health Care Equipment & S 20,419 2,000 9.8% 2.9%9/11/14 TYC Tyco International Ltd Industrials Commercial & Professiona 20,187 1,000 5.0% 0.6%9/11/14 ABT Abbott Laboratories Health Care Health Care Equipment & S 63,997 3,000 4.7% -0.3%9/11/14 EFX Equifax Inc Industrials Commercial & Professiona 9,552 400 4.2% -0.2%9/4/14 JWN Nordstrom Inc Consumer Discretionary Retailing 13,283 1,000 7.5% 1.1%8/19/14 JEC Jacobs Engineering Group Inc Industrials Capital Goods 6,951 500 7.2% 2.2%8/15/14 VAR Varian Medical Systems Inc Health Care Health Care Equipment & S 8,689 505 5.8% -1.2%8/13/14 ORLY O'Reilly Automotive Inc Consumer Discretionary Retailing 15,805 500 3.2% 0.1%8/13/14 PCP Precision Castparts Corp Industrials Capital Goods 33,795 1,000 3.0% 2.2%
Mkt Cap ($ mn)
Buyback Programs Excess Ret (-1d to +1d)
Source: Bloomberg Finance LP, Factset, Deutsche Bank
Figure 79: Weekly buybacks and rolling 3m sum Figure 80: Sector buyback announcements
30507090110130150170190210230
05
10152025303540455055
Jan-
10A
pr-1
0Ju
l-10
Oct
-10
Jan-
11A
pr-1
1Ju
l-11
Oct
-11
Jan-
12A
pr-1
2Ju
l-12
Oct
-12
Jan-
13A
pr-1
3Ju
l-13
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-13
Jan-
14A
pr-1
4Ju
l-14
Oct
-14
Weekly Announced Buybacks: S&P 500Amount ($bn, lhs) 3m sum ($bn, rhs)
02468101214161820
0.0%0.1%0.2%0.3%0.4%0.5%0.6%0.7%0.8%0.9%Te
leco
m
Util
ities
Fina
ncia
ls
Mat
eria
ls
Con
s St
aple
s
Con
s D
isc
Indu
stria
ls
Hea
lth C
are
Ener
gy
Info
Tec
h
Announced Buybacks (Last 3m)
$bn (rhs)
% of Mkt Cap (lhs)
Source: Bloomberg Finance LP, Factset, Deutsche Bank Source: Bloomberg Finance LP, Factset, Deutsche Bank
Figure 81: Quarterly history of buyback announcements Figure 82: Actual buybacks net of issuance
0
50
100
150
200
250
0%
1%
2%
3%
4%
5%
6%
7%
Jun-
03D
ec-0
3Ju
n-04
Dec
-04
Jun-
05D
ec-0
5Ju
n-06
Dec
-06
Jun-
07D
ec-0
7Ju
n-08
Dec
-08
Jun-
09D
ec-0
9Ju
n-10
Dec
-10
Jun-
11D
ec-1
1Ju
n-12
Dec
-12
Jun-
13D
ec-1
3Ju
n-14
Dec
-14
Buyback Announcements (quarterly, ann)Buybacks $bn (rhs) Buybacks as % of Mkt Cap (ann, lhs)
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
600
800
1000
1200
1400
1600
1800
2000
Jan-
96Ja
n-97
Jan-
98Ja
n-99
Jan-
00Ja
n-01
Jan-
02Ja
n-03
Jan-
04Ja
n-05
Jan-
06Ja
n-07
Jan-
08Ja
n-09
Jan-
10Ja
n-11
Jan-
12Ja
n-13
Jan-
14Ja
n-15
Actual Net Repurchases vs S&P 500Quarterly net repurchases as % of Mkt Cap (ann, rhs)
-11%
Source: Bloomberg Finance LP, Factset, Deutsche Bank Source: Bloomberg Finance LP, Factset, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Page 30 Deutsche Bank Securities Inc.
Small Cap Tracker Figure 83: Small cap mutual fund equity positioning Figure 84: Small cap value and growth fund positioning
1400
1600
1800
2000
2200
2400
2600
2800
3000
0.65
0.70
0.75
0.80
0.85
0.90
0.95
1.00
Jan-
10A
pr-1
0
Jul-1
0
Oct
-10
Jan-
11A
pr-1
1Ju
l-11
Oct
-11
Jan-
12
Apr
-12
Jul-1
2
Oct
-12
Jan-
13A
pr-1
3
Jul-1
3
Oct
-13
Jan-
14A
pr-1
4Ju
l-14
Oct
-14
Rolling 1m Beta of Small Cap funds to Russell 2000Beta (lhs)Average Since 2010: 0.88Russell 2000 (rhs)
0.60
0.65
0.70
0.75
0.80
0.85
0.90
0.95
1.00
1.05
1.10
0.60
0.65
0.70
0.75
0.80
0.85
0.90
0.95
1.00
1.05
1.10
Jan-
10
Apr
-10
Jul-1
0
Oct
-10
Jan-
11
Apr
-11
Jul-1
1
Oct
-11
Jan-
12
Apr
-12
Jul-1
2
Oct
-12
Jan-
13
Apr
-13
Jul-1
3
Oct
-13
Jan-
14
Apr
-14
Jul-1
4
Rolling 1m Beta of Small Cap Growth & Value FundsValue Growth
Source: Bloomberg Finance LP, Factset, Deutsche Bank Source: Bloomberg Finance LP, Factset, Deutsche Bank
Figure 85: Small cap fund sector positioning Figure 86: Small cap equity flows
-0.70
-0.50
-0.30
-0.10
0.10
0.30
0.50
0.70
-0.70
-0.50
-0.30
-0.10
0.10
0.30
0.50
0.70
Fina
ncia
ls
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ities
Con
s St
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s
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Tele
com
Ene
rgy
Hea
lth C
are
Mat
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Info
Tec
h
1m Correlation of S&P 600 Sectors Excess Returns
Current 1m Change
-11
-9
-7
-5
-3
-1
1
-11
-9
-7
-5
-3
-1
1
Oct
-13
Nov
-13
Dec
-13
Jan-
14
Feb-
14
Mar
-14
Apr
-14
May
-14
Jun-
14
Jul-1
4
Aug
-14
Sep
-14
Oct
-14
Cum. Equity Flows (Smallcap, last 12m, % of assets)
Small Cap Growth Value
Source Bloomberg Finance LP, Factset, Deutsche Bank Source: EPFR Global, Haver, Deutsche Bank
Figure 87: S&P 600 short interest Figure 88: Russell 2000 net speculative futures
4%5%6%7%8%9%10%11%12%13%14%
4%5%6%7%8%9%
10%11%12%13%14%
Sep-
04
Apr
-05
Nov
-05
Jun-
06
Jan-
07
Aug
-07
Mar
-08
Oct
-08
May
-09
Dec
-09
Jul-1
0
Feb-
11
Sep-
11
Apr
-12
Nov
-12
Jun-
13
Jan-
14
Aug
-14
S&P 600 Mkt cap wtd Short Interest as % of o/s shares
140016001800200022002400260028003000
-80
-60
-40
-20
0
20
40
Jan-
10
May
-10
Sep
-10
Jan-
11
May
-11
Sep
-11
Jan-
12
May
-12
Sep
-12
Jan-
13
May
-13
Sep
-13
Jan-
14
May
-14
Sep
-14
Russell 2000 F&O Positions vs Russell 2000Net long Contracts (Thous, lhs) Russell 2000 (rhs)
Source NYSE, Bloomberg Finance LP, Factset, Deutsche Bank Source: CFTC, Deutsche Bank
3 October 2014
Investor Positioning and Flows
Deutsche Bank Securities Inc. Page 31
The primary author of this report, Parag Thatte, wishes to acknowledge the contributions made by Prakash Chithambaram, Karthik Prabhu, Manish Kothari and Magesh Kumar employees of Irevna, a division of CRISIL Limited, a third-party provider of offshore research support services to Deutsche Bank.
3 October 2014
Investor Positioning and Flows
Page 32 Deutsche Bank Securities Inc.
Appendix 1
Important Disclosures Additional information available upon request For disclosures pertaining to recommendations or estimates made on securities other than the primary subject of this research, please see the most recently published company report or visit our global disclosure look-up page on our website at http://gm.db.com/ger/disclosure/DisclosureDirectory.eqsr Analyst Certification
The views expressed in this report accurately reflect the personal views of the undersigned lead analyst about the subject issuers and the securities of those issuers. In addition, the undersigned lead analyst has not and will not receive any compensation for providing a specific recommendation or view in this report. Parag Thatte/John Tierney/Binky Chadha Equity rating key Equity rating dispersion and banking relationships
Buy: Based on a current 12- month view of total share-holder return (TSR = percentage change in share price from current price to projected target price plus pro-jected dividend yield ) , we recommend that investors buy the stock. Sell: Based on a current 12-month view of total share-holder return, we recommend that investors sell the stock Hold: We take a neutral view on the stock 12-months out and, based on this time horizon, do not recommend either a Buy or Sell. Notes:
1. Newly issued research recommendations and target prices always supersede previously published research. 2. Ratings definitions prior to 27 January, 2007 were:
Buy: Expected total return (including dividends) of 10% or more over a 12-month period Hold: Expected total return (including dividends) between -10% and 10% over a 12-month period Sell: Expected total return (including dividends) of -10% or worse over a 12-month period
47 % 48 %
5 %
38 % 32 %
13 %0
200
400600800
1000120014001600
Buy Hold Sell
Global Universe
Companies Covered Cos. w/ Banking Relationship
3 October 2014
Investor Positioning and Flows
Deutsche Bank Securities Inc. Page 33
Regulatory Disclosures
1. Important Additional Conflict Disclosures Aside from within this report, important conflict disclosures can also be found at https://gm.db.com/equities under the "Disclosures Lookup" and "Legal" tabs. Investors are strongly encouraged to review this information before investing. 2. Short-Term Trade Ideas Deutsche Bank equity research analysts sometimes have shorter-term trade ideas (known as SOLAR ideas) that are consistent or inconsistent with Deutsche Bank's existing longer term ratings. These trade ideas can be found at the SOLAR link at http://gm.db.com. 3. Country-Specific Disclosures Australia and New Zealand: This research, and any access to it, is intended only for "wholesale clients" within the meaning of the Australian Corporations Act and New Zealand Financial Advisors Act respectively. Brazil: The views expressed above accurately reflect personal views of the authors about the subject company(ies) and its(their) securities, including in relation to Deutsche Bank. The compensation of the equity research analyst(s) is indirectly affected by revenues deriving from the business and financial transactions of Deutsche Bank. In cases where at least one Brazil based analyst (identified by a phone number starting with +55 country code) has taken part in the preparation of this research report, the Brazil based analyst whose name appears first assumes primary responsibility for its content from a Brazilian regulatory perspective and for its compliance with CVM Instruction # 483. EU countries: Disclosures relating to our obligations under MiFiD can be found at http://www.globalmarkets.db.com/riskdisclosures. Japan: Disclosures under the Financial Instruments and Exchange Law: Company name - Deutsche Securities Inc. Registration number - Registered as a financial instruments dealer by the Head of the Kanto Local Finance Bureau (Kinsho) No. 117. Member of associations: JSDA, Type II Financial Instruments Firms Association, The Financial Futures Association of Japan, Japan Investment Advisers Association. Commissions and risks involved in stock transactions - for stock transactions, we charge stock commissions and consumption tax by multiplying the transaction amount by the commission rate agreed with each customer. Stock transactions can lead to losses as a result of share price fluctuations and other factors. Transactions in foreign stocks can lead to additional losses stemming from foreign exchange fluctuations. "Moody's", "Standard & Poor's", and "Fitch" mentioned in this report are not registered credit rating agencies in Japan unless Japan or "Nippon" is specifically designated in the name of the entity. Reports on Japanese listed companies not written by analysts of Deutsche Securities Inc. (DSI) are written by Deutsche Bank Group's analysts with the coverage companies specified by DSI. Malaysia: Deutsche Bank AG and/or its affiliate(s) may maintain positions in the securities referred to herein and may from time to time offer those securities for purchase or may have an interest to purchase such securities. Deutsche Bank may engage in transactions in a manner inconsistent with the views discussed herein. Qatar: Deutsche Bank AG in the Qatar Financial Centre (registered no. 00032) is regulated by the Qatar Financial Centre Regulatory Authority. Deutsche Bank AG - QFC Branch may only undertake the financial services activities that fall within the scope of its existing QFCRA license. Principal place of business in the QFC: Qatar Financial Centre, Tower, West Bay, Level 5, PO Box 14928, Doha, Qatar. This information has been distributed by Deutsche Bank AG. Related financial products or services are only available to Business Customers, as defined by the Qatar Financial Centre Regulatory Authority. Russia: This information, interpretation and opinions submitted herein are not in the context of, and do not constitute, any appraisal or evaluation activity requiring a license in the Russian Federation. Kingdom of Saudi Arabia: Deutsche Securities Saudi Arabia LLC Company, (registered no. 07073-37) is regulated by the Capital Market Authority. Deutsche Securities Saudi Arabia may only undertake the financial services activities that fall within the scope of its existing CMA license. Principal place of business in Saudi Arabia: King Fahad Road, Al Olaya District, P.O. Box 301809, Faisaliah Tower - 17th Floor, 11372 Riyadh, Saudi Arabia. United Arab Emirates: Deutsche Bank AG in the Dubai International Financial Centre (registered no. 00045) is regulated by the Dubai Financial Services Authority. Deutsche Bank AG - DIFC Branch may only undertake the financial services activities that fall within the scope of its existing DFSA license. Principal place of business in the DIFC: Dubai International Financial Centre, The Gate Village, Building 5, PO Box 504902, Dubai, U.A.E. This information has been distributed by Deutsche Bank AG. Related financial products or services are only available to Professional Clients, as defined by the Dubai Financial Services Authority.
David Folkerts-Landau Group Chief Economist
Member of the Group Executive Committee
Guy Ashton Global Chief Operating Officer
Research
Marcel Cassard Global Head
FICC Research & Global Macro Economics
Richard Smith and Steve Pollard Co-Global Heads Equity Research
Michael Spencer Regional Head
Asia Pacific Research
Ralf Hoffmann Regional Head
Deutsche Bank Research, Germany
Andreas Neubauer Regional Head
Equity Research, Germany
Steve Pollard Regional Head
Americas Research
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