Recap 4-16-13: Tidbits


One reason deleveraging events are interesting is that in the aftermath, the price actions gives clues as to how exposed investor positioning is. The winners are… Italian bonds and the Euro:

Note, however, that some of the commodities in this list were likely affected by the increase in margin requirements at the CME:

Also interesting is $CAD. The BoC announces tomorrow, and the market is betting on a dovish outcome across Canadian markets. Speculative positioning in Canadian currency futures is at the most bearish level since early 2007, the second most bearish in the past decade, and more bearish than in the weeks following Lehman. The data has certainly been quite weak. For example, the jobs figure this month was the worst print since early 2009. But this is against a context of a gradual decline in unemployment. Having already tilted dovish at the last meeting, it is unclear if Carney will use his last meeting to go even further. Certainly, the market expects him to.

In addition, I still think the Japanese equities trade has legs, despite the fact that much of the buying so far seems driven by foreigners. The main reason is that the BoJ is succeeding so far, as proxied by inflation breakevens (in orange below) :

Having said that, however, it appears that US stock market breadth is weakening quickly, and is now at the worst level December. If breadth doesn’t improve substantially by next week, the “sell in May and go away” adage should probably be respected.

Other Interesting items today:

Also – Reinhart and Rogoff’s study appears to be deeply flawed, according to peer review:

Finally – GMO’s 7 year return forecasts are better for US bonds than US stocks now:


  • German Zew dropped to 36.3 in Apr vs 41 exp and 48.5 prev
  • UK CPI was stable at 2.8% YoY in March as exp. The Core measure rose to 2.4% vs 2.3% exp and prev
  • US Housing Starts jumped to 1036k in March vs 930k exp and 917k prev. However Building Permits were much weaker than expected, so on net it may be a wash
  • US Core CPI declined to 1.9% YoY vs 2.0% exp and prev

Upcoming Data:

  • Wed: BoE minutes, UK Jobless Claims, BoC, Japan Trade Balance
  • Thu: UK Retail Sales, US Jobless Claims, US Philly Fed,
  • Fri: Canada CPI
  • Mon: Canada Existing Home Sales, China HSBC Flash Mfg PMI