Credit Suisse Weigh In On Month-End Matters

Monday saw Credit Suisse note that “while none of the asset classes in our analysis escaped unscathed, equities fared the worst during Q2. On a QtD lookback, SPX was -13.6%, with 5 names (AAPL, AMZN, MSFT, TSLA, NVDA) accounting for 207 index points of drag. Not surprisingly, growth underperformed value. Note that while last week’s 6.4% rally changed our model results significantly, it still estimates $25bn to buy in U.S. equities from pension funds that rebalance on a monthly or quarterly basis.”

• “International developed equities had a rough go (MSCI EAFE -8% MtD/-14% QtD), as did Emerging (MSCI EM -6.2% MtD/-11.4% QtD). As a result, we estimate ~$22.6bn to buy in International Developed and $2.2bn to buy in Emerging.”
• “Fixed Income was a relative outperformer. AGG (our proxy for fixed income) is -2.3% MtD and -5.6% QtD. Our current projections show roughly $48bn to sell as funds adjust fixed income exposure”
• “Worth remembering, how, when, or to what extent these flows materialize is a hard call. Pension teams appreciate liquidity events as much as their peers, and given that June has already had two big days (June quarterlies the 17th and Russell on the 24th), our usual caveat that rebalancing may not fall on a specific day (e.g. month-end) takes on more weight. There’s also the matter of more diversified mix of assets, market sentiment (both short-term and long-term), fiscal year ends, implementation costs, etc.”