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TRANSCRIPT
21 October 2018
Investor Positioning and Flows
Strategy Update
North America Asset Allocation & Delta-1 Strategy
Investor Positioningand Flows
Date21 October 2018
Deutsche BankResearch
After The Pullback
In early September we pointed to several reasons for near term cautionThe S&P 500 was then at the top of its trend channel in place since early 2016;the window was open for a typical pullback of 3-5% that has historically occurredevery 2-3 months; the buyback blackout period was beginning; and potential fornoise from US mid-term elections was rising (Cautious Near Term, ConstructiveTo Year End, Sep 4 2018). In the event, the pullback occurred a little later andhas been a bit larger than we anticipated. But it does not change our read on thedrivers or that it’s just a pullback.
Pullback not about rising yields but rather a continuation of the defensiverotation on growth and end-cycle fearsBond yields rose over 40bps starting late August while the S&P 500 continuedto move up in its trend channel until the recent pullback. During the pullbackthe defensive bond-like sectors outperformed, while the cyclical sectors andbeneficiaries of higher bond yields sold off sharply. The coincidence of thepullback with some corporate profit warnings, points to growth and end-cycleconcerns being the primary driver and has been a continuation of the defensiverotation in place since late May when trade war concerns rose. At current levels,US and global equities have already priced in a significant growth slowdown.
The equity pullback mostly reflected a significant positioning unwind …The initial pullback on growth concerns was somewhat amplified by selling fromsystematic strategies which we estimate sold -$50bn on October 11th-12th. Ourmodels suggest that vol control funds were responsible for most of this selling,as these strategies were fully allocated to equities when volatility spiked abovetriggers for most strategies. We attribute some marginal selling of US equitiesto CTA strategies, although these funds came into the October sell-off withfar lighter allocations to S&P 500 than at the end of January. Additionally, wesaw drawdowns in long-short factors - Momentum, Excess Volatility, Growth -suggesting Hedge Funds and other active managers de-risked. From a thematicstandpoint, rates-sensitivity and inflation pairs were significant underperformersconsistent with concerns about a growth slowdown.
… not end investor outflows which looked to have followed the pullbackFlows out of US equity mutual funds and ETFs were muted during the initial steepdecline last Wednesday, but picked up later and continued through the marketbounce on Tuesday (-$23bn). The last 2 days have seen inflows return (+$8bn)despite the renewed market pullback. The largest outflows across regions lastweek were from the US (-$15bn) and Europe (-$5bn), while Japan (+$6bn) and
Parag Thatte
Strategist
+1-212-250-6605
Srineel Jalagani, CFA
Strategist
+1-212-250-4509
Hallie Martin
Strategist
+1-212-250-7994
Binky Chadha
Chief Strategist
+1-212-250-4776
Deutsche Bank Securities Inc.
Deutsche Bank does and seeks to do business with companies covered in its research reports. Thus, investors should beaware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should considerthis report as only a single factor in making their investment decision. DISCLOSURES AND ANALYST CERTIFICATIONSARE LOCATED IN APPENDIX 1. MCI (P) 091/04/2018.
Distributed on: 21/10/2018 20:15:10 GMT
7T2se3r0Ot6kwoPa
21 October 2018
Investor Positioning and Flows
EM (+$2.3bn) saw inflows, surprisingly their largest since April. Across sectors,defensive bond-like funds in Utilities, Telecom and Healthcare saw modest inflowswhile most cyclicals saw outflows with the Financials (-$2bn) seeing by far thelargest.
Looking forward, we see■ The buyback blackout period starting to ease next week. With next
week seeing a peak number of companies reporting, and half way throughthe earnings season, blackout periods which have been the subject ofintense focus should start easing and we estimate buybacks will slowlyrevert to the normal pace of $15bn a week on net ($19bn gross).
■ If volatility normalizes, we expect vol control funds to gradually buyequities over 2-3 weeks. Volatility metrics - eg. VIX, realized vol, putimplied volatility - are still above 10%, 12%, 15% vol targets. Thesemetrics will need to normalize below vol targets for equity buying to start.
■ Pattern in previous pullbacks points to pace of equity outflowsmoderating from here. The large outflows in this episode have beensimilar in magnitude to those seen in previous 5%+ pullbacks.Importantly, the historical pattern points to the pace of outflowsmoderating from next week. Further, modestly positive data surprises, thespike in rates and seasonality are all supportive of equity inflows. Risingrates have led to flows out of bond funds, which with a lag should rotateinto equities, as has historically been the case. Flows have also historicallyexhibited seasonality with the last 2 months of the year seeing a pickupafter a slowing from June to October.
■ Positioning across most risk asset classes relatively muted, unlikebefore the February selloff. The selloff in February was characterizedby several asset classes seeing strongly correlated momentum andstretched consensus positioning, 1.5 to 3sd away from historical averages(Stretched Consensus Positioning, Jan 2018). By contrast, positioningacross most risk asset classes was much more muted (<1sd) this time.
Largest bond fund outflows since the 2016 US election join extreme bondfutures shortsNet shorts in bond futures have been climbing steadily to new all-time extremesover the last year. Bond funds had however continued to largely enjoy inflows untillate September (+$275bn last 12 months). That changed over the last 4 weeks asrates rose sharply, with outflows (-$27bn) at the fastest pace since the 2016 USPresidential election. Bond outflows notably continued over the last week throughthe equity pullback.
Oil futures positioning still long in contrast to shorts in goldCommodity futures positions (and prices) have inversely tracked dollar positioninghistorically. Over the last 2 months however even as dollar longs rose to near 2year highs, oil longs continued to remain range bound at elevated levels. Oil longsare now being cut back. Positions in gold on the other hand were extremely shortand are now being pared back; copper positions are near neutral.
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In early September we pointed to several reasons for near term caution
Figure 1:S&P 500 fell below its 2.5 year channel Figure 2:Adjusted for trend the pullback is worse than in February
18001800
Dec-1
5
Mar-
16
Jun-1
6
Sep
-16
Dec-1
6
Mar-
17
Jun-1
7
Sep
-17
Dec-1
7
Mar-
18
Jun-1
8
Sep
-18
LogLog S&P 500
Since Mar 2016
Trend growth rate = 15.0% (annualized)
Range = +/- 1.65%
Jun 2016:
Brexit vote
Sep/Oct 2016:
Pre US-
election
selloff
Feb selloff
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
Mar-
16
Jun-1
6
Sep
-16
Dec-1
6
Mar-
17
Jun-1
7
Sep
-17
Dec-1
7
Mar-
18
Jun-1
8
Sep
-18
Dec-1
8
S&P 500 deviation from channel since 2016
Jun 2016:
Brexit vote
Sep/Oct 2016:
Pre US-
election
selloff
Feb selloff
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Haver Analytics, Data as of 18-Oct-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Haver Analytics, Data as of 18-Oct-18
Pullback not about rising yields but rather a continuation of the defensive rotation on growth and end-cycle fears
Figure 3:Defensive bond-like sectors outperformed through the pullback Figure 4:S&P 500 already pricing in a sharp slowdown in growth
-3.5%
-1.9%-1.5%
-0.5% -0.3% -0.1%
1.6% 1.7%
2.8% 2.8%
-4%
-3%
-2%
-1%
0%
1%
2%
3%
4%
-4%
-3%
-2%
-1%
0%
1%
2%
3%
4%
Energ
y
Ind
ustr
ials
Fin
ancia
ls
Co
ns D
isc IT
Mate
rials
Co
m S
erv
ices
Health C
are
Co
ns S
tap
les
Utilit
ies
Sector returns relative (Oct 9, 2018 to Oct 18, 2018)
556065707580859095100105110115120125
30
35
40
45
50
55
60
65
Jan-9
7
Jan-9
9
Jan-0
1
Jan-0
3
Jan-0
5
Jan-0
7
Jan-0
9
Jan-1
1
Jan-1
3
Jan-1
5
Jan-1
7
Jan-1
9
10/18/2018 = 100
US ISM Mfg (lhs) S&P 500 / 200d moving average (rhs)
Correlation: 65%
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Haver Analytics, Data as of 18-Oct-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, ISM, Haver Analytics, Data as of 18-Oct-18
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Pullback does not reflect equity outflows which followed later
Figure 5:Outflows started after the bulk of the pullback was done Figure 6:Equity outflows similar to prior pullback episodes
-10
-6
-2
2
6
10
14
18
2720
2770
2820
2870
2920
1-A
ug
8-A
ug
15
-Aug
22
-Aug
29
-Aug
5-S
ep
12
-Sep
19
-Sep
26
-Sep
3-O
ct
10
-Oct
17
-Oct
US daily equity flows and S&P 500
Fund Flows (rhs, $bn)
S&P 500 (lhs)
-10%
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
-10
-8
-6
-4
-2
0
2
4
6
8
10
Jan-1
2
Jun-1
2
No
v-1
2
Ap
r-1
3
Sep
-13
Feb
-14
Jul-14
Dec-1
4
May-1
5
Oct-
15
Mar-
16
Aug
-16
Jan-1
7
Jun-1
7
No
v-1
7
Ap
r-1
8
Sep
-18
Feb
-19
US Equity Flows 4w ma ($ bn, lhs) S&P 500 (4w chg, rhs)
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 18-Oct-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 17-Oct-18
The buyback blackout period starting to ease next week
Figure 7:Blackout period starts to ease next week Figure 8:The S&P 500 and earnings seasons
0%
20%
40%
60%
80%
100%
0%
20%
40%
60%
80%
100%
Aug
-17
Aug
-24
Aug
-31
Sep
-07
Sep
-14
Sep
-21
Sep
-28
Oct-
05
Oct-
12
Oct-
19
Oct-
26
No
v-0
2
No
v-0
9
No
v-1
6
No
v-2
3
No
v-3
0
S&P 500 companies in blackout period
% of companies in
blackout period
Blackout period
eases starting
next week
2230
2330
2430
2530
2630
2730
2830
2930
2230
2330
2430
2530
2630
2730
2830
2930
Dec-1
6
Feb
-17
Ap
r-17
Jun-1
7
Aug
-17
Oct-
17
Dec-1
7
Feb
-18
Ap
r-18
Jun-1
8
Aug
-18
Oct-
18
Earnings Season S&P 500
4.9%
return
3.6%
return1.2%
return
North Korea
Tensions -
Charlottesville
3.6%
return
Tax reforms begins to
get priced in (late Nov)
0.6%
return
4.5%
return
4.0%
return
-1.6%
return
-1.9%
return
-1.8%
return
2.3%
return
3.4%
return
3.7%
return
-6.0%
return
Trade war
tensions+3.8%
return to
peak
1.5%
return
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Factset, Data as of 18-Oct-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Factset, Haver Analytics, Data as of 18-Oct-18
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Pattern in previous pullbacks points to pace of equity outflows moderating from here
Figure 9: Pattern in prior pullbacks points to outflows easing from here Figure 10:Positive seasonality for equity inflows in the last 2 months
-25
-20
-15
-10
-5
0
5
10
-25
-20
-15
-10
-5
0
5
10W
eek 0
Week 1
Week 2
Week 3
Week 4
Week 5
Week 6
Week 7
Week 8
Week 9
Week 1
0
Week 1
1
Week 1
2
Week 1
3
Current
Median
Average
US equity flows around pullbacksCumulative flows since start of 5%+ pullbacks, since 2014 ($bn)
-0.1%
0.0%
0.1%
0.2%
0.3%
0.4%
0.5%
-0.1%
0.0%
0.1%
0.2%
0.3%
0.4%
0.5%
Jan
Feb
Mar
Ap
r
May
Jun
Jul
Aug
Sep
Oct
No
v
Dec
US equity flows (MFs + ETFs, % of assets)
Median since 1993 Average
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 17-Oct-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, ICI, Haver Analytics, Data as of 17-Oct-18
Positioning across most risk asset classes relatively muted, unlike before the February selloff
Figure 11:Positioning across most risk asset classes muted compared to the February selloff
-2.0
-1.0
0.0
1.0
2.0
3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
Russell
200
0
US
D
Oil
VIX
MX
N
DJIA
BR
L
Euro
S&
P 4
00
EM
eq
uitie
s
S&
P 5
00
RU
B
CA
D
Co
pp
er
Nasd
aq
100
AU
D
Net long futures positions* (as % of open interest)
(z score, since 2010)
Latest Jan 30 2018
*Non commercial positions in FX and bonds; (Asset managers + Lev funds) in equities; Managed Money in commodities
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Haver Analytics, Data as of 16-Oct-18
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Largest bond fund outflows since the 2016 US election join extreme bond futures shorts
Figure 12:Bond futures near extremes Figure 13:Largest outflows from bond funds since Nov 2016 elections
-2200
-1700
-1200
-700
-200
300
-2200
-1700
-1200
-700
-200
300
Jan-1
0
Jul-10
Jan-1
1
Jul-11
Jan-1
2
Jul-12
Jan-1
3
Jul-13
Jan-1
4
Jul-14
Jan-1
5
Jul-15
Jan-1
6
Jul-16
Jan-1
7
Jul-17
Jan-1
8
Jul-18
Bonds net longs in 10y equivalents (thous)
Aggregated Non commercial net long contracts
-12
-10
-8
-6
-4
-2
0
2
4
6
8
10-0.5
-0.4
-0.3
-0.2
-0.1
0.0
0.1
0.2
0.3
0.4
0.5
0.6
Jan-1
2
Jul-12
Jan-1
3
Jul-13
Jan-1
4
Jul-14
Jan-1
5
Jul-15
Jan-1
6
Jul-16
Jan-1
7
Jul-17
Jan-1
8
Jul-18
Duration sensitive bond fund flows 4w ma ($ bn, rhs)
US 10y yield (4w chg, lhs)
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Haver Analytics, Data as of 16-Oct-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, FRB, Haver Analytics, Data as of 17-Oct-18
Oil futures positioning still long in contrast to large shorts in gold
Figure 14: Oil and USD positioning have diverged over last 2 months Figure 15: Shorts in gold pared back from extremes
100
200
300
400
500
600
700
800
900
1000
1100
1200-60
-40
-20
0
20
40
60
80
100
Jun-1
3
Oct-
13
Feb
-14
Jun-1
4
Oct-
14
Feb
-15
Jun-1
5
Oct-
15
Feb
-16
Jun-1
6
Oct-
16
Feb
-17
Jun-1
7
Oct-
17
Feb
-18
Jun-1
8
Oct-
18
Oil and Trade wtd dollar futures net positions
USTW$ (thous contracts, inverted, lhs)
Oil futures position (mn barrels, rhs)
600
800
1000
1200
1400
1600
1800
-150
-100
-50
0
50
100
150
200
250
300
Jun-0
6
Jun-0
7
Jun-0
8
Jun-0
9
Jun-1
0
Jun-1
1
Jun-1
2
Jun-1
3
Jun-1
4
Jun-1
5
Jun-1
6
Jun-1
7
Jun-1
8
Managed Money Gold Futures positions Net long contracts (thous, lhs)
Gold ($/troy oz, rhs)
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Haver Analytics, Data as of 16-Oct-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Haver Analytics, Data as of 16-Oct-18
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Systematic strategies - mostly vol control - likely sold $50bn in equity beta, and long-short strategies also de-risked
Figure 16: Vol control funds sold ~$40bn on recent sell-off and wouldre-allocate over 2-3 weeks if volatility is low
Figure 17:CTAs had much lower S&P 500 exposure at the end ofSeptember versus end of January
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, SEC filings, Bloomberg Finance LP, Data as of 10-Oct-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, SEC filings, Bloomberg Finance LP, Data as of 10-Oct-18
Figure 18: Banks, Infrastructure, Inflation, Rates Sensitivityunderperformed over past 1W
Figure 19:Excess Volatility and Momentum drew down in the Octobersell-off
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
US
Leve
rag
e
DB
US
FLE
V
Insu
ran
ce
DB
US
INP
C/D
BU
SS
XLF
He
alt
hca
re
DB
US
SXLV
/DB
USS
SPY
Air
lin
es
DB
US
AIR
L/D
BU
SSX
LI
Ra
tes
Sen
siti
vity
DB
US
RT
UP
/DB
US
RT
DN
Infl
ati
on
(Q
ua
nt)
DB
US
INFP
/DB
US
INFN
Infl
ati
on
(A
na
lyst
s)
DB
US
INFW
/DB
US
INFL
Ch
ea
p Q
ua
lity
DB
US
QLT
E/D
BU
SS
SPY
He
dg
e F
un
d F
ina
nci
als
DB
HFA
FN
L/D
BU
SSX
LF
Ma
chin
ery
S5
MA
CH
/DB
US
SX
LI
Infr
ast
ruct
ure
DB
US
INFR
/SP
YSS
PY
Re
gio
na
l B
an
ks
KR
E/D
BU
SSX
LF
Sm
all
Ba
nks
KB
E/D
BU
SSX
LF
Wed-Wed Return (Stdev vs 1Y)
0.90
0.95
1.00
1.05
1.10
Jan-18
Feb-18
Mar-18
Apr-18
May-18
Jun-18
Jul-18
Aug-18
Sep-18
Oct-18
DBUSFMOM DBUSFGRW DBUSFVLU
DBUSFVOL DBUSFLEV
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Axioma, Factset, Bloomberg Finance LP, Data as of 18-Oct-18 Source:Deutsche Bank Quantitative & Delta-1 Strategy, Axioma, Factset, Bloomberg Finance LP, Data as of 17-Oct-18
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Cross-Asset Futures Positioning and Flows
Figure 20: Cross asset futures positioning
-3.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
-3.0
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
Russell
200
0
US
D
Oil
VIX
MX
N
DJIA
BR
L
Euro
S&
P 4
00
EM
eq
uitie
s
S&
P 5
00
RU
B
CA
D
Co
pp
er
GB
P
CH
F
JP
Y
ED
3m
Nasd
aq
100
2y
15-2
5y
5y
AU
D
10y
25y+
NZD
Silv
er
Go
ld
Net long positions* (as % of Open interest)
(z score, since 2010)Latest
Week ago
*Non commercial positions in FX and bonds; (Asset managers + Lev funds) in equities; Managed Money in commodities
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Data as of 16-Oct-18
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Figure 21: Investors cut equity risk and added FX positions WoW
-15%
-10%
-5%
0%
5%
10%
15%
-15%
-10%
-5%
0%
5%
10%
15%
Go
ld
VIX
GB
P
Silv
er
15-2
5y
Co
pp
er
5y
US
D
BR
L
CA
D
RU
B
10y
2y
Nasd
aq
100
ED
3m
25y+
Oil
JP
Y
AU
D
Euro
S&
P 5
00
EM
eq
uitie
s
MX
N
NZD
Russell
2000
CH
F
S&
P 4
00
DJIA
Weekly change in net positions* (as % of Open interest)
*Non commercial positions in FX and bonds; (Asset managers + Lev funds) in equities; Managed Money in commodities
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Data as of 16-Oct-18
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vFLARE: Volatility-Sensitive Systematic Strategies
Figure 22: Vol control funds sold ~$40bn on recent sell-off and wouldre-allocate over 2-3 weeks if volatility is low
Figure 23:Risk-parity funds most likely have not cut equity exposure
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, SEC filings, Bloomberg Finance LP, Data as of 10-Oct-18 Source:Deutsche Bank Asset Allocation & Delta-1 Strategy, SEC filings, Bloomberg Finance LP, Data as of 10-Oct-18
Figure 24:CTAs cut some S&P 500 beta and still are long oil and shortEM beta
Figure 25:CTA exposure to S&P 500 is much lower than in January 2018
Source:Deutsche Bank Asset Allocation & Delta-1 Strategy, SEC filings, Bloomberg Finance LP, Data as of 10-Oct-18 Source:Deutsche Bank Asset Allocation & Delta-1 Strategy, SEC filings, Bloomberg Finance LP, Data as of 10-Oct-18
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Futures Positioning: US Equities, USD, WTI Oil, & 10Y Treasuries
Figure 26:Investor positioning in US equity futures is -55% lower versusend of January
Figure 27: Dollar futures positioning
2000
2100
2200
2300
2400
2500
2600
2700
2800
2900
3000
-$50
-$30
-$10
$10
$30
$50
$70
$90
$110
$130
$150
Jun-16 Nov-16 Apr-17 Sep-17 Feb-18 Jul-18
No
tion
al (B
illio
ns)
Net Non-Dealer US Equities Futures Positioning ES1 Index (rhs)
84
86
88
90
92
94
96
-50
-30
-10
10
30
50
70
Jan-1
6
Mar-
16
May-1
6
Jul-1
6
Sep
-16
No
v-1
6
Jan-1
7
Mar-
17
May-1
7
Jul-1
7
Sep
-17
No
v-1
7
Jan-1
8
Mar-
18
May-1
8
Jul-1
8
Sep
-18
No
v-1
8
Trade wtd dollar futures positions vs USTWINon commercial net long contracts (thous, lhs) USTWI (rhs)
Trade weighted positions in JPY, EUR, GBP, AUD, CHF and CAD are used for calculating
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Data as of 16-Oct-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Data as of 16-Oct-18
Figure 28: Oil futures positions Figure 29:Investors are heavily short Treasuries on rising 10Y yields
40
45
50
55
60
65
70
75
300
500
700
900
1100
1300
Jun-1
6
Sep
-16
Dec-1
6
Mar-
17
Jun-1
7
Sep
-17
Dec-1
7
Mar-
18
Jun-1
8
Sep
-18
Oil futures position vs WTI price Oil futures position (net longs, million barrels, lhs)
WTI ($/barrel, rhs)
Note: Net positions of combined WTI and Brent crude oil positions
-250
-200
-150
-100
-50
01.0%
1.5%
2.0%
2.5%
3.0%
3.5%
Ja
n-1
6
Ma
r-1
6
Ma
y-1
6
Ju
l-1
6
Se
p-1
6
No
v-1
6
Ja
n-1
7
Ma
r-1
7
Ma
y-1
7
Ju
l-1
7
Se
p-1
7
No
v-1
7
Ja
n-1
8
Ma
r-1
8
Ma
y-1
8
Ju
l-1
8
Se
p-1
8
Spec TY contract equivalents (ex. ED, '000s) US 10Y Yield(%) (lhs)
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Data as of 16-Oct-18 Source:Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Data as of 16-Oct-18.
21
Octo
ber 2
018
Investo
r Po
sition
ing
and
Flows
Pag
e 12
Deu
tsche B
ank S
ecurities In
c.
Futures Positioning: US Equities
Figure 30: Leveraged Funds have been cutting S&P 500 futuresexposure, while Asset Managers added
Figure 31:Aggregate futures positions and shorts in single stocks andETFs
-$100
-$50
$
$50
$100
$150
$200
Jun-06 Dec-07 Jun-09 Dec-10 Jun-12 Dec-13 Jun-15 Dec-16 Jun-18
No
tio
nal (B
illio
ns)
S&P 500 Futures - Net Positioning
Asset Manager Leveraged-3.5%
-3.0%
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
-3.5%
-3.0%
-2.5%
-2.0%
-1.5%
-1.0%
-0.5%
Jan-0
3
Jan-0
4
Jan-0
5
Jan-0
6
Jan-0
7
Jan-0
8
Jan-0
9
Jan-1
0
Jan-1
1
Jan-1
2
Jan-1
3
Jan-1
4
Jan-1
5
Jan-1
6
Jan-1
7
Jan-1
8
Aggregate longs in cash equities, ETFs and futures (% of SPX mkt cap)
Note: Futures net longs minus single stock and ETF shorts. Shorts data as of Sep 28, S&P futures Oct 09
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Data as of 16-Oct-18. Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Data as of 09-Oct-18.
Figure 32:Leveraged Funds have lighter US equity exposure than AMs-1YPercentile Ranks
Figure 33:Asset Managers cut long equity exposures - 1Y Z-score ofWoW Change
SPX RTY NDX DJIA MSCI EM MSCI EAFE
ND - Long 6% 2% 35% 42% 19% 10%
ND - Short 79% 46% 40% 83% 0% 44%
ND - Net 42% 0% 37% 50% 4% 8%
AM - Long 23% 40% 60% 73% 62% 54%
AM - Short 29% 77% 10% 81% 0% 31%
AM - Net 17% 56% 35% 92% 0% 46%
LM - Long 10% 0% 29% 25% 10% 2%
LM - Short 100% 35% 94% 54% 100% 88%
LM - Net 87% 8% 63% 23% 27% 12%
Other - Long 100% 46% 65% 79% 2% 69%
Other - Short 58% 10% 23% 62% 100% 13%
Other - Net 87% 10% 27% 87% 27% 10%
SPX RTY NDX DJIA MSCI EM MSCI EAFE
ND - Long -0.47 -1.55 -0.42 -2.68 0.13 1.59
ND - Short -0.13 0.46 0.00 -0.15 -1.89 -1.62
ND - Net -1.30 -1.64 -0.33 -2.69 -0.80 0.62
AM - Long -1.94 -1.28 -1.88 -1.30 -0.20 1.19
AM - Short -1.13 -0.48 -0.20 0.30 -2.74 -3.22
AM - Net -3.27 -1.51 -1.52 -1.04 -1.35 0.25
LM - Long 1.26 -0.92 1.68 -3.05 0.97 0.18
LM - Short 0.67 1.22 0.64 -0.51 0.39 0.25
LM - Net 3.09 0.04 1.72 -3.05 1.11 0.28
Other - Long 0.78 0.13 -0.80 -0.07 -0.08 -0.09
Other - Short -0.01 0.38 -0.93 0.17 0.41 0.09
Other - Net 0.41 0.34 -1.34 0.13 0.27 -0.07
Source:Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Data as of 16-Oct-18. Source:Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Data as of 16-Oct-18.
21
Octo
ber 2
018
Investo
r Po
sition
ing
and
Flows
Deu
tsche B
ank S
ecurities In
c.Pag
e 13
ETFs: Volumes and Flows
Figure 34: Despite realized vol moving higher, volumes normalized thisweek
Figure 35: ETF volumes are still somewhat elevated averaging 32% oftotal cash volujmes this week
$100
$150
$200
$250
$300
$350
$400
$-
$50
$100
$150
$200
$250
$3002
8-S
ep
-18
01
-Oct
-18
02
-Oct
-18
03
-Oct
-18
04
-Oct
-18
05
-Oct
-18
08
-Oct
-18
09
-Oct
-18
10
-Oct
-18
11
-Oct
-18
12
-Oct
-18
15
-Oct
-18
16
-Oct
-18
17
-Oct
-18
18
-Oct
-18
Bil
lio
ns
Bil
lio
ns
ETF vs Cash VolumesAsset AllocationPseudo FuturesSectorLeveragedCash Stock Volumes (rhs))
10%
15%
20%
25%
30%
35%
40%
45%
Jan
-12
Ap
r-1
2
Jul-
12
Oct
-12
Jan
-13
Ap
r-1
3
Jul-
13
Oct
-13
Jan
-14
Ap
r-1
4
Jul-
14
Oct
-14
Jan
-15
Ap
r-1
5
Jul-
15
Oct
-15
Jan
-16
Ap
r-1
6
Jul-
16
Oct
-16
Jan
-17
Ap
r-1
7
Jul-
17
Oct
-17
Jan
-18
Ap
r-1
8
Jul-
18
Oct
-18
ETPs as % of Total Cash Volumes
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Factset, Reuters, Bloomberg Finance LP, Data as of 18-Oct-18. Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Factset, Reuters, Bloomberg Finance LP, Data as of 18-Oct-18.
Figure 36: After 4 consecutive days of outflows totaling -$17bn, equityETFs saw +$10bn inflows on Wednesday and Thursday
Figure 37: Inflows to equity ETFs on Wednesday and Thursday were totrading liquidity and asset allocation products
$(8,000)
$(6,000)
$(4,000)
$(2,000)
$-
$2,000
$4,000
$6,000
$8,000
$10,000
28-S
ep
-18
01-O
ct-
18
02-O
ct-
18
03-O
ct-
18
04-O
ct-
18
05-O
ct-
18
09-O
ct-
18
10-O
ct-
18
11-O
ct-
18
12-O
ct-
18
15-O
ct-
18
16-O
ct-
18
17-O
ct-
18
18-O
ct-
18
$m
n
Daily ETF Flows - Equity vs Fixed Income
Equity ETFs Fixed Income ETFs
$(8,000)
$(6,000)
$(4,000)
$(2,000)
$-
$2,000
$4,000
$6,000
$8,000
$10,000
28-S
ep
-18
01-O
ct-
18
02-O
ct-
18
03-O
ct-
18
04-O
ct-
18
05-O
ct-
18
09-O
ct-
18
10-O
ct-
18
11-O
ct-
18
12-O
ct-
18
15-O
ct-
18
16-O
ct-
18
17-O
ct-
18
18-O
ct-
18
$m
n
Daily Equity ETF Flows
Pseudo-Futures Asset Allocation + Mixed Use Sector
Billions
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Factset, Reuters, Bloomberg Finance LP, Data as of 18-Oct-18. Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Factset, Reuters, Bloomberg Finance LP, Data as of 18-Oct-18
21
Octo
ber 2
018
Investo
r Po
sition
ing
and
Flows
Pag
e 14
Deu
tsche B
ank S
ecurities In
c.
Equity Premia: Fast Factors, Hedge Funds, Themes
Figure 38:US Fast Factors: Leverage & Growth rallied this week despitethe prospect of rising rates
Figure 39:Europe Fast Factors: Residual Volatility continues to slidesuggesting risk aversion
0.90
0.95
1.00
1.05
1.10
Jan-18
Feb-18
Mar-18
Apr-18
May-18
Jun-18
Jul-18
Aug-18
Sep-18
Oct-18
DBUSFMOM DBUSFGRW DBUSFVLU DBUSFVOL DBUSFLEV
0.90
0.95
1.00
1.05
1.10
Jan-18
Feb-18
Mar-18
Apr-18
May-
18
Jun-18
Jul-18
Aug-18
Sep-18
Oct-18
DBCGFMOM DBCGFGRW DBCGFVLU
DBCGFVOL DBCGFLEV
Source:Deutsche Bank Quantitative & Delta-1 Strategy, Axioma, Factset, Bloomberg Finance LP, Data as of 17-Oct-18 Source:Deutsche Bank Quantitative & Delta-1 Strategy, Axioma, Factset, Bloomberg Finance LP, Data as of 17-Oct-18
Figure 40: Hedge Funds: Favorite longs bounced early in the week thenslid with the market
Figure 41: Thematic Baskets: Banks, Infrastructure, Inflation, RatesSensitivity underperformed over past 1W while Leverage andHealthcare outperformed
0.95
1.00
1.05
1.10
1.15
Jan
-18
Fe
b-1
8
Ma
r-1
8
Ap
r-1
8
Ma
y-1
8
Jun
-18
Jul-
18
Au
g-1
8
Se
p-1
8
Oct
-18
DBUSXHFA: Top 50 $ Allocations
DBUSXHFN: Sector-Neutral Top $ Allocations
DBUSXHFO: Sector-Neutral High Ownership
-2.5
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
US
Leve
rag
e
DB
US
FLE
V
Insu
ran
ce
DB
US
INP
C/D
BU
SS
XLF
He
alt
hca
re
DB
US
SXLV
/DB
USS
SPY
Air
lin
es
DB
US
AIR
L/D
BU
SSX
LI
Ra
tes
Sen
siti
vity
DB
US
RT
UP
/DB
US
RT
DN
Infl
ati
on
(Q
ua
nt)
DB
US
INFP
/DB
US
INFN
Infl
ati
on
(A
na
lyst
s)
DB
US
INFW
/DB
US
INFL
Ch
ea
p Q
ua
lity
DB
US
QLT
E/D
BU
SS
SPY
He
dg
e F
un
d F
ina
nci
als
DB
HFA
FN
L/D
BU
SSX
LF
Ma
chin
ery
S5
MA
CH
/DB
US
SX
LI
Infr
ast
ruct
ure
DB
US
INFR
/SP
YSS
PY
Re
gio
na
l B
an
ks
KR
E/D
BU
SSX
LF
Sm
all
Ba
nks
KB
E/D
BU
SSX
LF
Wed-Wed Return (Stdev vs 1Y)
Source:Deutsche Bank Asset Allocation & Delta-1 Strategy, Axioma, Factset, Bloomberg Finance LP, Data as of 18-Oct-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Axioma, Factset, Bloomberg Finance LP, Data as of 18-Oct-18
21
Octo
ber 2
018
Investo
r Po
sition
ing
and
Flows
Deu
tsche B
ank S
ecurities In
c.Pag
e 15
S&P 500 Options: Open Interest, Vol, Skew, Correlation
Figure 42: SPY open interest is concentrated at 90-110% spot withsome in-the-money puts having been monetized since last week
Figure 43: Put-call ratio is relatively low versus 2017 and early 2018
Source: Deutsche Bank Quant & Delta-1 Strategy, OptionMetrics, Bloomberg Finance LP. Data as of 17-Oct-18. Source: Deutsche Bank Quant & Delta-1 Strategy, OptionMetrics, Bloomberg Finance LP. Data as of 17-Oct-18.
Figure 44: Realized volatility spiked but not to February extremes Figure 45:Implied volatility and skew rose to levels last seen in April
0
3
6
9
12
15
18
21
24
0
10
20
30
40
50
60
70
80
Oct-
15
Dec-1
5
Feb-1
6
Ap
r-16
Jun
-16
Au
g-1
6
Oct-
16
Dec-1
6
Feb-1
7
Ap
r-17
Jun
-17
Au
g-1
7
Oct-
17
Dec-1
7
Feb-1
8
Ap
r-18
Jun
-18
Au
g-1
8
Oct-
18
S&P 500 1M Realized Correlation (lhs)
S&P 500 1M Realized Volatility (rhs)
5
7
9
11
13
15
17
19
21
23
25
Oct-
15
Dec-1
5
Feb
-16
Ap
r-1
6
Ju
n-1
6
Au
g-1
6
Oct-
16
Dec-1
6
Feb
-17
Ap
r-17
Ju
n-1
7
Au
g-1
7
Oct-
17
Dec-1
7
Feb
-18
Ap
r-18
Ju
n-1
8
Au
g-1
8
Oct-
18
S&P 500 3M 90-110 Skew
S&P 500 3M Implied Volatility
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Bloomberg Finance LP, Reuters. Data as of 17-Oct-18. Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, Bloomberg Finance LP, Reuters. Data as of 17-Oct-18.
21
Octo
ber 2
018
Investo
r Po
sition
ing
and
Flows
Pag
e 16
Deu
tsche B
ank S
ecurities In
c.
Cross-asset flows
Figure 46: Flows across asset classes cumulative since 2017 Figure 47:Cross asset flows last 4 weeks
-100
0
100
200
300
400
500
600
700
-100
0
100
200
300
400
500
600
700
Dec-1
6
Mar-
17
Jun-1
7
Sep
-17
Dec-1
7
Mar-
18
Jun-1
8
Sep
-18
Cumulative flows since Jan 2017 ($bn)
Equity
Bonds
MM funds
-1.3
-1.1
-0.9
-0.7
-0.5
-0.3
-0.1
0.1
0.3
0.5
0.7
-1.3
-1.1
-0.9
-0.7
-0.5
-0.3
-0.1
0.1
0.3
0.5
0.7
MM Govt
Bonds
Corp
HG
EM
Bonds
Corp
HY
Bal
Funds
Div
Funds
DM
Equity
EM
Equity
Cross asset flows as a % of assets
(last 4 weeks)
26-Sep 3-Oct
10-Oct 17-Oct
Safer Riskier
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 17-Oct-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 17-Oct-18
Figure 48:Equity flows across by region Figure 49:Bond flows by category
-100
-50
0
50
100
150
200
250
300
-100
-50
0
50
100
150
200
250
300
Dec-1
6
Mar-
17
Ju
n-1
7
Sep
-17
Dec-1
7
Mar-
18
Jun-1
8
Sep
-18
Cumulative equity flows since Jan 2017
(monthly, $bn)US
Europe
Japan
EM
International*
*Funds with a global mandate, overwhelmingly tend to be focused on DM ex-US
-110
-90
-70
-50
-30
-10
10
30
50
70
90
-110
-90
-70
-50
-30
-10
10
30
50
70
90
Dec-1
6
Mar-
17
Jun-1
7
Sep
-17
Dec-1
7
Mar-
18
Jun-1
8
Sep
-18
Cumulative bond flows since 2017 ($bn)
Corp HY EM
Corp HG Govt Bonds
Munis MBS
TIPS Banks Loans
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 17-Oct-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 17-Oct-18
21
Octo
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018
Investo
r Po
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ing
and
Flows
Deu
tsche B
ank S
ecurities In
c.Pag
e 17
Equity Flows
Figure 50: Regional equity fund flows last 4 weeks Figure 51: Sector fund flows
-0.7
-0.6
-0.5
-0.4
-0.3
-0.2
-0.1
0.0
0.1
0.2
0.3
-0.7
-0.6
-0.5
-0.4
-0.3
-0.2
-0.1
0.0
0.1
0.2
0.3A
ll E
quity
US
Euro
pe
Jap
an
Lata
m
Asia
ex J
p
EM
EA
EM
Glo
bal
Regional equity flows (last 4 weeks,% of assets )
26-Sep 3-Oct
10-Oct 17-Oct
-35
-25
-15
-5
5
15
25
35
45
-35
-25
-15
-5
5
15
25
35
45
Dec-1
6
Mar-
17
Jun-1
7
Sep
-17
Dec-1
7
Mar-
18
Jun-1
8
Sep
-18
Cumulative sector flows since 2017 (monthly, $bn)Technology
Financials
Materials
Industrials
Cons Goods
Telecom
Utilities
Health Care
Energy
Real Estate
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 17-Oct-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 17-Oct-18
Figure 52: Equity flows by fund style Figure 53: Equity fund flows by size
-150
-100
-50
0
50
100
150
-150
-100
-50
0
50
100
150
Dec-1
6
Mar-
17
Jun-1
7
Sep
-17
Dec-1
7
Mar-
18
Jun-1
8
Sep
-18
Cumulative equity flows since Jan 2017 ($bn)Growth Value Blend
-50
-40
-30
-20
-10
0
10
20
-50
-40
-30
-20
-10
0
10
20
Dec-1
6
Mar-
17
Ju
n-1
7
Sep
-17
Dec-1
7
Mar-
18
Jun-1
8
Sep
-18
Cumulative equity flows since Jan 2017 ($bn)Large cap Mid cap Small cap
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 17-Oct-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 17-Oct-18
21
Octo
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018
Investo
r Po
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and
Flows
Pag
e 18
Deu
tsche B
ank S
ecurities In
c.
Bond fund flows
Figure 54: Bond fund flows by category last 4 weeks Figure 55: Bond fund flows by maturity
-0.3
-0.2
-0.1
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
-1.3
-1.1
-0.9
-0.7
-0.5
-0.3
-0.1
0.1
0.3
0.5
0.7A
ll B
ond
s
Co
rp H
Y
Co
rp H
G
EM
Bo
nd
s
Go
vt
Bo
nd
s
Munis
MB
S
TIP
S
Ban
k L
oans
Bond flows (last 4 weeks, % of assets)
26-Sep 3-Oct 10-Oct 17-Oct
0
50
100
150
200
250
300
350
0
50
100
150
200
250
300
350
Dec-1
6
Mar-
17
Ju
n-1
7
Sep
-17
Dec-1
7
Mar-
18
Ju
n-1
8
Sep
-18
Cumulative bond flows since Jan 2017 ($bn)
Long Term
Intermediate Term
Short Term
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 17-Oct-18 Source:Deutsche Bank Asset Allocation & Delta-1 Strategy, EPFR, Haver Analytics, Data as of 17-Oct-18
21
Octo
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018
Investo
r Po
sition
ing
and
Flows
Deu
tsche B
ank S
ecurities In
c.Pag
e 19
Bond futures positioning
Figure 56: Aggregate bond futures positioning Figure 57: Bond futures positioning by maturity
-2200
-1700
-1200
-700
-200
300
-2200
-1700
-1200
-700
-200
300
Jan-1
0
Jul-10
Jan-1
1
Jul-11
Jan-1
2
Jul-12
Jan-1
3
Jul-13
Jan-1
4
Jul-14
Jan-1
5
Jul-15
Jan-1
6
Jul-16
Jan-1
7
Jul-17
Jan-1
8
Jul-18
Bonds net longs in 10y equivalents (thous)
Aggregated Non commercial net long contracts
-18.1%
-11.7%
-18.1%
-14.9%
-11.2%
-22.5%-25%
-20%
-15%
-10%
-5%
0%
5%
-25%
-20%
-15%
-10%
-5%
0%
5%
ED 2y
5y
10y
15-2
5y
25y+
Bond futures positions as % of open interest
Latest 1 week ago
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Haver Analytics, Data as of 9-Oct-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Haver Analytics, Data as of 9-Oct-18
Figure 58:Eurodollar futures positioning Figure 59:Bond futures positioning by maturity
1.0
1.5
2.0
2.5
3.0
3.5-4500
-3500
-2500
-1500
-500
Jan-1
6
Mar-
16
May-1
6
Jul-1
6
Sep
-16
No
v-1
6
Jan-1
7
Mar-
17
May-1
7
Jul-1
7
Sep
-17
No
v-1
7
Jan-1
8
Mar-
18
May-1
8
Jul-1
8
Sep
-18
No
v-1
83m Eurodollar futures positions vs 3m LIBOR
Non commercial net long contracts (thous, lhs) ED12 (rhs, inv)
-26%
-21%
-16%
-11%
-6%
-1%
4%
9%
14%
-26%
-21%
-16%
-11%
-6%
-1%
4%
9%
14%
Jan-1
6
Ap
r-1
6
Jul-1
6
Oct-
16
Jan-1
7
Ap
r-1
7
Jul-1
7
Oct-
17
Jan-1
8
Ap
r-18
Jul-1
8
Oct-
18
Net long contracts as % of open interest2y 5y 10y 15-25y 25y+ ED
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Haver Analytics, Data as of 9-Oct-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Haver Analytics, Data as of 9-Oct-18
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ank S
ecurities In
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FX futures positioning
Figure 60:Trade weighted dollar positioning Figure 61:Euro futures positioning
84
86
88
90
92
94
96
-50
-30
-10
10
30
50
70
Jan-1
6
Mar-
16
May-1
6
Jul-1
6
Sep
-16
No
v-1
6
Jan-1
7
Mar-
17
May-1
7
Jul-1
7
Sep
-17
No
v-1
7
Jan-1
8
Mar-
18
May-1
8
Jul-1
8
Sep
-18
No
v-1
8
Trade wtd dollar futures positions vs USTWINon commercial net long contracts (thous, lhs) USTWI (rhs)
Trade weighted positions in JPY, EUR, GBP, AUD, CHF and CAD are used for calculating
1.04
1.08
1.12
1.16
1.20
1.24
-150
-100
-50
0
50
100
150
Jan-1
6
Ap
r-1
6
Jul-16
Oct-
16
Jan-1
7
Ap
r-1
7
Jul-17
Oct-
17
Jan-1
8
Ap
r-1
8
Jul-18
Oct-
18
Euro futures positions vs EURUSDNon commercial net long contracts (thous, lhs) EURUSD (rhs)
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, FRB, Haver Analytics, Data as of 9-Oct-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, FRB, Haver Analytics, Data as of 9-Oct-18
Figure 62:Yen futures positioning Figure 63: Futures positioning across currencies
100
102
104
106
108
110
112
114
116
118
120-150
-125
-100
-75
-50
-25
0
25
50
75
Jan-1
6
Ap
r-16
Jul-16
Oct-
16
Jan-1
7
Ap
r-17
Jul-17
Oct-
17
Jan-1
8
Ap
r-18
Jul-18
Oct-
18
JPY futures positions vs USDJPYNon commercial net long contracts (thous, lhs)
USDJPY (rhs, inv)
-57%-48% -46%
-26% -24%
-10%-6%
0%
11%
20%
32%
-60%
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
-60%
-50%
-40%
-30%
-20%
-10%
0%
10%
20%
30%
40%
NZD
JP
Y
AU
D
CH
F
GB
P
CA
D
Euro
BR
L
RU
B
US
D
MX
N
Currency positioning as % of open interest
Latest
1 week ago
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, FRB, Haver Analytics, Data as of 9-Oct-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Haver Analytics, Data as of 9-Oct-18
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Commodity futures positioning
Figure 64: Oil futures positioning Figure 65:Oil futures gross longs vs shorts
100
300
500
700
900
1100
100
300
500
700
900
1100Jan-1
1
Jul-11
Jan-1
2
Jul-12
Jan-1
3
Jul-13
Jan-1
4
Jul-14
Jan-1
5
Jul-15
Jan-1
6
Jul-16
Jan-1
7
Jul-17
Jan-1
8
Jul-18
Net long crude oil futures positions
(Managed Money, million barrels)
Note: Net positions of combined WTI and Brent crude oil positions
0
250
500
750
1000
1250
0
250
500
750
1000
1250
Jan-1
6
Ap
r-16
Jul-16
Oct-
16
Jan-1
7
Ap
r-17
Jul-17
Oct-
17
Jan-1
8
Ap
r-18
Jul-18
Oct-
18
Managed Money combined crude oil futures positions
(million barrels)Gross longs
Gross shorts
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Haver Analytics, Data as of 9-Oct-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Haver Analytics, Data as of 9-Oct-18
Figure 66:Copper futures positioning Figure 67:Gold futures positioning
2.0
2.2
2.4
2.6
2.8
3.0
3.2
3.4
-50
0
50
100
Jan-1
6
Mar-
16
May-1
6
Jul-16
Sep
-16
No
v-1
6
Jan-1
7
Mar-
17
May-1
7
Jul-17
Sep
-17
No
v-1
7
Jan-1
8
Mar-
18
May-1
8
Jul-18
Sep
-18
No
v-1
8Managed Money Copper futures positions
Net long contracts (thous, lhs)
Copper ($/lb, rhs)
1125
1175
1225
1275
1325
1375
-130
-80
-30
20
70
120
170
220
270
Jan-1
6
Mar-
16
May-1
6
Jul-16
Sep
-16
No
v-1
6
Jan-1
7
Mar-
17
May-1
7
Jul-17
Sep
-17
No
v-1
7
Jan-1
8
Mar-
18
May-1
8
Jul-18
Sep
-18
No
v-1
8
Managed Money Gold futures positions Net long contracts (thous, lhs)
Gold ($/troy oz, rhs)
Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Haver Analytics, Data as of 9-Oct-18 Source: Deutsche Bank Asset Allocation & Delta-1 Strategy, CFTC, Bloomberg Finance LP, Haver Analytics, Data as of 9-Oct-18
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21 October 2018
Investor Positioning and Flows
Appendix 1
Important Disclosures
*Other information available upon request
*Prices are current as of the end of the previous trading session unless otherwise indicated and are sourced fromlocal exchanges via Reuters, Bloomberg and other vendors . Other information is sourced from Deutsche Bank, subjectcompanies, and other sources. For disclosures pertaining to recommendations or estimates made on securities other thanthe primary subject of this research, please see the most recently published company report or visit our global disclosurelook-up page on our website at https://research.db.com/Research/Disclosures/CompanySearch. Aside from within thisreport, important risk and conflict disclosures can also be found at https://research.db.com/Research/Topics/Equities?topicId=RB0002. Investors are strongly encouraged to review this information before investing.
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Equity Rating Key Equity rating dispersion and banking relationships
Buy: Based on a current 12- month view of total share-holderreturn (TSR = percentage change in share price from currentprice 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-holderreturn, 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 Buyor Sell.
Newly issued research recommendations and target pricessupersede previously published research.
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Page 22 Deutsche Bank Securities Inc.
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Investor Positioning and Flows
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.
Deutsche Bank Securities Inc. Page 23
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Additional Information
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Investor Positioning and Flows
?Macroeconomic fluctuations often account for most of the risks associated with exposures to instruments that promiseto pay fixed or variable interest rates. For an investor who is long fixed-rate instruments (thus receiving these cashflows), increases in interest rates naturally lift the discount factors applied to the expected cash flows and thuscause a loss. The longer the maturity of a certain cash flow and the higher the move in the discount factor, thehigher will be the loss. Upside surprises in inflation, fiscal funding needs, and FX depreciation rates are among themost common adverse macroeconomic shocks to receivers. But counterparty exposure, issuer creditworthiness, clientsegmentation, regulation (including changes in assets holding limits for different types of investors), changes in taxpolicies, currency convertibility (which may constrain currency conversion, repatriation of profits and/or liquidation ofpositions), and settlement issues related to local clearing houses are also important risk factors. The sensitivity of fixed-income instruments to macroeconomic shocks may be mitigated by indexing the contracted cash flows to inflation, toFX depreciation, or to specified interest rates – these are common in emerging markets. The index fixings may – byconstruction – lag or mis-measure the actual move in the underlying variables they are intended to track. The choice ofthe proper fixing (or metric) is particularly important in swaps markets, where floating coupon rates (i.e., coupons indexedto a typically short-dated interest rate reference index) are exchanged for fixed coupons. Funding in a currency that differsfrom the currency in which coupons are denominated carries FX risk. Options on swaps (swaptions) the risks typical tooptions in addition to the risks related to rates movements.??Derivative transactions involve numerous risks including market, counterparty default and illiquidity risk. Theappropriateness of these products for use by investors depends on the investors' own circumstances, including theirtax position, their regulatory environment and the nature of their other assets and liabilities; as such, investors shouldtake expert legal and financial advice before entering into any transaction similar to or inspired by the contents of thispublication. The risk of loss in futures trading and options, foreign or domestic, can be substantial. As a result of thehigh degree of leverage obtainable in futures and options trading, losses may be incurred that are greater than theamount of funds initially deposited – up to theoretically unlimited losses. Trading in options involves risk and is notsuitable for all investors. Prior to buying or selling an option, investors must review the "Characteristics and Risks ofStandardized Options”, at http://www.optionsclearing.com/about/publications/character-risks.jsp . If you are unable toaccess the website, please contact your Deutsche Bank representative for a copy of this important document.??Participants in foreign exchange transactions may incur risks arising from several factors, including the following: (i)exchange rates can be volatile and are subject to large fluctuations; (ii) the value of currencies may be affected by numerousmarket factors, including world and national economic, political and regulatory events, events in equity and debt marketsand changes in interest rates; and (iii) currencies may be subject to devaluation or government-imposed exchange controls,which could affect the value of the currency. Investors in securities such as ADRs, whose values are affected by thecurrency of an underlying security, effectively assume currency risk.?
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Investor Positioning and Flows
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Page 28 Deutsche Bank Securities Inc.
David Folkerts-LandauGroup Chief Economist and Global Head of Research
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