- The bottom-line: big capitulation out of stocks into US Treasuries…marks end of Jan/Feb correction
- The big numbers: largest weekly equity fund outflow since Aug’11 ($28bn); largest equity ETF outflow since Feb’09 ($26bn); largest bond fund inflow since Apr’10 ($15bn)
- The caveat: our trading rules not yet flashing “strong buy”… Bull & Bear index now down to 4.2 (hit 1.8 late-June – Chart 1); Global Breadth index now up to 44% (hit 96% late-June – Chart 3) and…
- …EM Flow Trading Rule: another $7-8bn outflow next week triggers contrarian buy-signal (last buy-signal on 6/27/13 followed by 14% rally in EEM next 3 months)
- Feb rally: in stocks/higher bond yields thus requires better US/China macro (e.g. payroll >250K) or dovish Yellen testimony (Tuesday 830am)
>>> Asset Class Flows
- Equities: $28.3bn outflows ($26bn via ETF’s)
- Bonds: $14.8bn inflows (Table 1)
- Commodities: 13 straight weeks of redemptions
>>> Equity Flows
- $6.5bn outflows from EM equity funds (15 straight weeks of outflows = longest outflow streak on record
- 4-week outflows from EM equities = 2.1% of AUM; another $7-8bn outflows next week would trigger contrarian “buy” signal from our EM Flow Trading Rule (3.0% is threshold)
- Huge $24bn outflows from US equity funds (almost all via ETF’s SPY, IVV, IJH – but see above for caveat on Good Harbor)
- Business as usual for Europe (32 straight weeks of inflows) and Japan (7 straight weeks of inflows)
>>> Fixed Income Flows
- Monster $13.2bn inflows to Govt/Tsy funds (caveat: $10bn inflows likely due to Good Harbor rebalancing from SPY to SHY, IEI & UST)
- 19 straight weeks of outflows from EM debt funds ($2.0bn)
- Largest outflows from HY bond funds since Aug’13 ($1.2bn)
- Largest inflows to IG bond funds since May’13 ($4.2bn)
- First MBS inflows in 38 weeks!
- 85 straight weeks of inflows to floating-rate debt (Table 2)
- 3 straight weeks of Muni inflows