Bank of America

Bank of America

"Quant Quake": What Was Behind Last Week's Historic CTA Crash, And Is Another One Imminent

Markets continue to set long-term records for price instability or “fragility”, with a five sigma sell-off in the S&P 500 on 17-May, a 3 sigma drop in the Nasdaq 100 on 9-Jun, a 3 sigma rally in commodities last week and a 3 sigma sell-off on average across global bonds. The net result was a 5-sigma drawdown in CTAs, the worst since 2000, excluding the quant crash of 2007.

BofA Stunned By Drop In Gasoline Demand: "Where Is Driving Season?"

US gasoline demand continues to surprise analysts by how weak it is. So weak, in fact, that Bank of America has released a note which has BofA's stunned energy analyst Francisco Blanch asking "where is the driving season?" and, more specifically, "Is this year's driving season over before it began?"

Visualizing "Conundrum 2.0": This Is What The Fed Is Missing

As the latest FOMC minutes demonstrated, the current period of especially loose financial conditions - despite a projected 3 rate hikes in 2017 - is confusing the Fed. Deutsche Bank has called this "Conundrum 2.0", and explains what is going on in the following chart...

Best Half For Mutual Funds Since 2009

While the hedge fund community has once again failed to take advantage of what so many predicted would be a new "golden age" for the 2 and 20 crowd as a result of a collapse in pairwise correlations, largely as a result of short stocks squeezing higher and hurting performance, it has been a different story for the "long only" mutual fund group, which according to a new analysis by Bank of America enjoyed its best quarter and 1H half in eight years.

Key Events In The Coming Holiday-Shortened Week: Payrolls, Fed Minutes, ISM, G-20

The key economic releases this week are ISM manufacturing on Monday, ISM non-manufacturing on Thursday, and the employment report on Friday. There are several scheduled speaking engagements by Fed officials this week, including a speech by Fed Vice Chair Fischer on Thursday. The minutes from the June FOMC meeting will be released on Wednesday.

Bank of America's Forecast Of When The Fed Will Crash The Market

"... would be surprised if bull market which began with SPX 666 ends before 6666 on the Nasdaq... summer 2017 = significant inflection point in central bank liquidity trade…will likely lead to “Humpty-Dumpty” big fall in market in autumn, in our view. But Big Top likely occurs when Peak Liquidity meets Peak Profits. We think that's an autumn not summer story."

Euro Surges, Yields And Stocks Rise As Central Banks Deliver Coordinated Message

The euro soared to the highest level in over a year while bond yields and global shares also climbed, as an ongoing barrage of coordinated hawkish comments from central banks signaled the era of easy money might be coming to an end for more than just the United States. S&P futures were fractionally in the green following the best day for US equities in two months.