MONTH END

MONTH END: just the Final Citi FX has changed.

BONDS: Barcap

• US Treasuries: +0.07yrs (small)
• EU Pan Govies: +0.11yrs (Decent, large)
• Sterling Agg: : +0.23yrs (HUGE)

FX: Citi

• Citi's final month-end FX hedge rebalancing model continues to point to USD sales against all others except JPY.
• The USD sales signal is weak by historical standards, at just -0.1 SD.- For JPY, signal for JPY sales is driven by foreigners' needs to hedge gains in Japanese assets this month. This has driven the USDJPY buy signal to be the strongest of all pairs this month, at +0.6 SD.

EQUITY;

• (As per FT) BofA estimates US private pensions alone will need to pull around $88bn out of equities and plough it into bonds, which analysts said was "historically significant" compared to the past three years.
• (As per FT) Balanced mutual funds are expected to sell $136bn of equities to buy fixed income, according to JPMorgan estimates. Among stores of sovereign wealth, the bank expects Japan's $1.6tn state pension fund GPIF will shift $44bn while Norway's giant oil fund would need to move around $70bn to meet its target allocation.
• Citi's month-end asset rebalancing estimate points to very slight inflows into equities, but a weak signal this month.- Strongest equity inflow signal comes from the need to buy Asian equities while Canadian equities see the strongest equity outflow signal.