Global Fund Manager :
The Big November FMS takeaway is...
...most vulnerable trade heading into the Dec Fed hike is "long dollar", and associated
positions: long discretionary, Eurozone, banks, Japan, short EM, resources, commodities
(Exhibit 1). We are sellers of risk SPX 2050-2100, DXY>100. Terror/geopolitics can keep
ZIRP for longer, but bullish FMS indicates big EPS needed for sustained new risk highs.
81% expect the Fed to hike in December...
...up from 47% last month as growth expectations bounce (in China to 15-month highs)
and perceptions of market liquidity rise from 3-year lows. Fed hike acceptance causes
largest MoM drop in utilities allocation in 5 years. But Nov bounce in profit expectations
notably flaccid and margin expectations weakest in 3 years.
4.9% cash levels, down from 5.1%...
...but higher than post "taper tantrum" avg of 4.7%...BofAML Risk Index jumps to 7-
month high.
The big FMS positioning extremes...
...biggest long DM versus EM ever; 2nd highest Eurozone OW ever; 3rd biggest EM UW
ever; 2nd largest tech OW ever; 3rd largest banks OW ever; long of industrials at 3-year
low; US$ is 2nd most "overvalued" in 6.5 years; largest ever US equity "overvaluation"
versus RoW (EM/Europe/Japan).
Brand new question on Investment Style
Net 61% expect high-quality stocks to outperform low-quality; net 34% expect "highdividend
yield" to outperform; net 33% expect large-cap to beat small-cap; net 21%
expect high-yield bonds to outperform high-grade bonds.
Nov FMS contrarian trades
Long EM-short Eurozone; long staples-short discretionary; long industrials-short banks;
l ong commodities-short REITs.
European Fund Manager :
European investors’ sentiment towards Eurozone growth on a 12-month horizon
improves sharply: net 54% expect strengthening, up from net 25% last month. Profit
expectations on a 12-month view also improved this month, while the proportion
expecting stronger inflation is constant at net 46%. Despite the incremental
improvement in macro expectations, European fund managers are hugging the
benchmark on sector positioning - the lack of extreme OWs/UWs means there are no
contrarian sector trades this month (<-40% or >30% net OW). The sense of caution is
also seen in investment style preferences: net 39% expect high Quality to outperform
low Quality over the next 12 months, up from net 14% last month.