Recap 2015-03-04: Mishmash


Credit Suisse notes that US duration may be overbought:

Great post by FTA on Citi’s EUR credit outlook. A couple of charts stand out:

Separately, quantifiable edges notes a near term positive bias:

This comes on the back of a Bloomberg report noting that:

The biggest source of fresh cash in American equities isn’t speculators or exchange-traded funds — it’s companies buying their own stock, by a 6-to-1 margin. Chief executive officers, who just announced the biggest round of monthly repurchases ever, executed about $550 billion of buybacks last year, according to data compiled by S&P Dow Jones Indices. That compares with a net $85 billion of deposits by customers of mutual and exchange-traded funds, the biggest gap since 2012, data compiled by Bloomberg and Investment Company Institute show… Repurchases by U.S. companies averaged $46.1 billion a month in 2014, compared with $7.1 billion in ETF and fund inflows. Investors have pulled more than $10 billion out of equity funds in January and February and sent $38 billion to bonds — even as companies announced $132.7 billion more in buybacks.

Finally, very interesting piece on Bridgewater from Value walk:

Currently Bridgewater is bullish on the Japanese Yen, Indian Rupee and Korean Won while bearish on the Russian Ruble, Australian Dollar, Euro and British Pound. They like short term debt in the developed world and slightly like bonds in the U.S. and Germany while negative on debt in the UK and Japan. They are moderately bearish on emerging sovereign debt and slightly bearish on developed sovereign debt but like corporate debt in developed nations. The fund likes equities across the board except in Braziland is slightly bullish on oil and gold.

Looking at the larger economic picture, the Bridgewater presentation considered quantitative easing in the U.S., Japan and the Eurozone and wonders if, in the Eurozone enough stimulus is being spread to move the needle on inflation. While QE in the Eurozone has started, creative policy coordination will likely be needed as events such as the unpegging of the Swiss franc and the related flash crash might be an example of pressures that central banks face in this new economic world. The report observed that we are at the end of a global monetary super-cycle. Going forward, this is an environment in which expected returns on assets are low, central banks have a limited ability to ease and currency movements might become an important economic lever.

Track record is very good as is well known. Also worth noting is that the excess return net of fees was 6.9%, with 10.2% vol. In other words, in our current environment, a ~9% return net of fees over the long run (6.9% + 2.1% Tbill rate priced in over the next 10y) with ~10% vol would be considered… Bridgewater-like.

For fun:


  • BoC kept policy rates unchanged as expected. “The Bank continues to expect that most of the negative impact from lower oil prices will appear in the first half of 2015, although it may be even more front-loaded than projected in January. Nevertheless, data for 2014 as a whole suggest the anticipated rotation into stronger growth in non-energy exports and investment is well underway… the risks around the inflation profile are now more balanced and financial stability risks are evolving as expected in January. At present, we judge that the current degree of monetary policy stimulus is still appropriate and the target for the overnight rate remains at 3/4 per cent.”
  • US ADP Employment was inline at 212k vs 219k exp. However, the prior figure was revised up to 250k vs 213k prev, following the revisions to NFP last month
  • ISM Non-Mfg improved to 56.9 vs 56.5 exp and 56.7 prev
  • UK Services PMI declined to 56.7 vs 57.5 exp and 57.2 prev
  • Italy Services PMI declined to 50.0 vs 51.4 exp and 51.2 prev. EU Final Services PMI was revised down to 53.7 vs 53.9 prev
  • Japan Services PMI declined to 48.5 vs 51.3 prev
  • China HSBC Services PMI improved to 52.0 vs 51.8 prev
  • Australian GDP grew 0.5% q/q in the fourth quarter versus 0.6% expected. The third quarter was revised up to 0.4% from 0.3%. Annual GDP is running 2.5%, inline with expectations
  • An RBA official said the country’s unemployment rate is likely to rise further; “we’ve still got a rapid rate of growth of the workforce and GDP growth is just not quick enough to keep up with it. There is no doubt at this rate of 2.5%, it is below the rate that is necessary to prevent a rise in unemployment.”


  • Wed: AU Retail Sales, Trade Balance
  • Thu: BoE, ECB,
  • Fri: EU 4Q GDP, US Employment
  • Mon: ChinaTrade, Japan Eco Watchers Survey, Australia Business Confidence, China CPI,
  • Tue: Japan Machine Tool Orders, US NFIB Survey, USDA Ag report, AU Home Loans
  • Wed: ChinaData, US Oil Data, RBNZ, UK RICS House Prices Balance, AU Employment