Credit Suisse Map Out Month-End Flows

Ahead of month-end Credit Suisse note that “all asset classes in our rebalancing model are negative MtD. U.S. equities outperformed on a relative basis largely on the backs of NVDA, AAPL, and MSFT, which collectively accounted for +20 index points.”

• “The general weakness in the U.S. ex-tech (all sectors negative MtD except tech) increases our caveats around predictions, but our pension model estimates a sell in U.S. equities of $3.7bn”
• “International developed and emerging equities underperformed MtD, and both are within +/- 2% or so vs SPX on a QtD basis. Our model projects $200mn to buy in developed equities and $4.5bn to buy in emerging equities.”
• “On the rates side, AGG is -2.8% MtD, roughly in line with other assets in our model. As a result, our estimate calls for ~$1.5bn to sell as funds adjust exposure.”
• “Our usual caveats: the actual timing of trades can vary dramatically based on several different factors including market sentiment (short-term and long-term), flexibility around asset target mix, implementation costs, liquidity events, regularly scheduled cash flows, etc.”
• “Adding to the noise, MSCI’s Feb 2023 review is effective as of Tuesday’s close. Our index team estimates ~$27bn to trade as passive managers rebalance.”