Credit Suisse Map Out The Month-End Rebalancing Picture

Credit Suisse note that “developed equities are having a good October, with the U.S. again outperforming. Based on relative outperformance our model estimates ~$22bn to sell in U.S. equities from pension funds that rebalance on a monthly basis, and ~$6.8bn to sell in developed International equities.”

• On the rates side, AGG (our rates proxy) is down slightly MTD. Given the relative underperformance, our model estimates ~$20bn to buy as funds adjust exposure.”
• “Emerging Equities continue their struggles (MXEF -3.4%). As a result, we estimate ~$7.6bn to buy.”
• “It is worth remembering the actual timing/occurrence of adjustments can vary dramatically based on several different factors including market sentiment (short-term and long-term), asset mix, implementation costs, liquidity events, regularly scheduled cash flows, etc.”