Main Points :
* Investor Capitulation: daily flows show massive $19bn redemptions from equity funds on Tuesday (8/25) = 2nd largest since 2007 (when daily EPFR data became available
* Record Equity Outflows: weekly flows show $29.5bn outflows from equity funds (largest outflows on record – data since 2002)
* Flight-to-Cash: $22bn inflows (8w inflows of $121bn = largest since Dec’13)
* Credit exodus: $4.2bn outflows from EM debt funds; $4.9bn outflows from HY bond funds; $3.8bn outflows from IG bond funds (largest combined outflows since Jun’13
“taper tantrum” – Chart 3)
* Bull & Bear Index: falls to extreme “fear” territory of 0.5 (scale of 0-10)…most bearish since Jan’12
* Global Breadth Rule: another contrarian “buy” signal triggered on 8/24; a net 91% of markets are once again trading below both their 200dma and 50dma. Denmark, Ireland, Hungary & Israel are the only holdouts. (Chart 5)
* EM Flow Trading Rule: $10.5bn outflows this week…largest since Jan’08; 4w outflows =
huge $22bn = 2.5% of total AUM = v v close to 1st contrarian “buy” signal for EM
equities since Jun'13 (Chart 6 - further $5-6bn outflow trigger “buy” signal)
* Global Flow Trading Rule: $35bn of combined outflows from equity & HY bond funds this week enough to nudge rule back down to “buy” territory (Chart 7)
>>> Asset Class Flows (Table 1)
* Equities: $29.5bn outflows (largest on record in absolute terms) ($6bn ETF outflows and $24bn mutual fund outflows)
* Bonds: $11.7bn outflows (largest since Jun’13)
* Money-markets: $22bn inflows (8w inflows of $121bn = largest since Dec’13)
* Precious Metals: $1.1bn inflows (largest since Jan’15)
>>> Equity Flows (Table 2)
* EM: $10.5bn outflows (largest outflows since Jan’08!)
* US: $12.3bn outflows (largest in 16 weeks)
* Europe: $3.6bn outflows (largest outflows since Oct’14) (first outflows in 15 weeks)
* Japan: bucks trend with $3.3bn inflows (inflows in 25 out of past 27 weeks)
--> By sector: $2.5bn outflows from healthcare (largest since Oct’14); $1.2bn out of consumer (largest since Jul’14); $1.4bn out of tech (largest since Feb’15)
>>> Fixed Income Flows (Chart 4)
* $4.9bn outflows from HY bond funds (largest outflows in 2015)
* $4.2bn outflows from EM debt funds (largest since Jun’13 “taper tantrum”)
* $3.8bn outflows from IG bond funds (largest since Jun’13 “taper tantrum”)
* $0.8bn outflows from bank loans (4 straight weeks) (largest outflows since Jan’15)
* $1.7bn inflows to govt/tsy funds (8 straight weeks)