JPM MId-year outlook: After month-end and the summer months, we expect volatility to decline and see the VIX falling by half, declining from 30 to 15. Lower volatility should drive equity inflows, while the present value of earnings is higher due to lower rates. Value experienced a record rally in May and then a slight pull back, but Value should…[Read more]

GS now estimating $65bn of rebal selling
The flow is very well-understood by the market and it has been frustrating for bears that we traded so well earlier….

But as the Program Trading desks always say….”a sell-flow of >$50bn is a sell-flow of >$50bn….”

….. it needs to get executed…and it way more often than not has market impact with…[Read more]

Everyone has an opinion, but they never offer actionable advice. Perhaps it is because many have zero conviction after they shout their opinion. An empty trash can makes the most noise, and that has been been very evident in 2020.

CITI: “We analyse market drawdowns during ‘QE’ and ‘non-QE’ periods. Whilst pullbacks are just as likely to occur when CBs are undergoing QE, it removes the ‘fatter left tail’ in equity return distribution, and thus corrections are shallower”

Goldman Sachs: China’s key domestic activity data improved further in May, but by less than market expectations. 7 numbers:

1. Industrial production year-over-year growth was 4.4% yoy in May, vs. +3.9% yoy in April.

2. cement production was up 8.6% yoy in May, vs. 3.8% yoy growth in April,

3. automobile production accelerated to +19% yoy, from…[Read more]