Institutional Insights: JPMorgan Flows & Positioning

In this report, JPMorgan examines flow and positioning metrics for global futures and US-listed ETFs across various asset classes.

Weekly Highlights:

  • ETF Flows: In the past three weeks, ETFs experienced significant inflows into Equities totaling $84.4 billion, largely driven by a substantial $63 billion inflow during the week of December 16th. However, the subsequent week marked the first outflows for equity ETFs in approximately four months. Fixed Income funds saw around $9.2 billion in inflows, Currency/Multi-asset funds attracted about $2.2 billion, while Commodities funds experienced subdued flows.

  • Regionally, US equity funds ($71 billion) represented the majority of inflows over the last three weeks, with international developed markets also witnessing strong inflows ($12 billion), primarily into EAFE funds. Global emerging market funds recorded inflows, although several individual regions and countries (Europe, India, Korea, China, Canada) experienced outflows during the past three weeks.

  • In terms of equity styles, there were continued net inflows into Growth, Value, Dividend, and Call/put writing funds, while other categories saw more modest flows.

  • All equity sectors, except for Financials and Communication Services, experienced moderate net outflows over the past three weeks, with Industrials facing a significant outflow of approximately $800 million (-2.2z) last week.

  • In bond ETFs, investors shortened duration over the last three weeks, resulting in ~$1.7 billion in net outflows from Long-term government bond funds and ~$1.2 billion in inflows into Short-term government bonds, along with ~$4.1 billion into Money Market ETFs. Outflows were also noted from Credit and Inflation-linked bonds, while Agg funds saw inflows.

  • Energy ETFs continued to see outflows over the last three weeks ($300 million), whereas Precious Metals recorded net inflows ($500 million). Last week, Crypto ETFs experienced their first weekly outflows since prior to the US election.

  • CTAs: Based on key momentum indicators, CTAs have reduced their equity exposure globally over the past three weeks but likely remain long in the US while having mixed exposure in Europe and Asia. They are expected to remain short on US rates, have varied exposures in APAC, and have turned short on EMEA rates. CTAs are likely to stay long on USD against global FX, short on Base Metals, long on Gold, and have covered shorts in Energy.

  • If prices remain stable over the next week, CTA signals are anticipated to turn incrementally negative for Nasdaq 100, Dow Jones, ASX 200, HSCEI, China A50, CSI 500, FTSE Taiwan, Germany 30y, JPY, and Bitcoin futures, while becoming incrementally positive for CSI 1000, Crude Oil, and Corn futures.

  • CFTC Positioning: Asset managers maintain elevated positions in US SMid and US Fixed Income futures but have decreased their exposure to US Large Cap equity in recent weeks. Leveraged Funds continue to hold short positions in US equity and fixed income futures but have reduced shorts in Nasdaq and increased longs in EM futures. Managed Money has further added to their elevated longs in Corn and Soybeans.