From the FXWW Chatroom – After a strong rebound in equities, our asset rebalancing model suggests a rotation from equities to bonds with a relatively strong signal of +/- 1.6/1.7 historic standard deviations (std. dev.).
· US equities receive the highest outflow signal in history at -3 historic std. dev., assuming all investors completely rebalance at month-end. US bonds are likely to receive most of this outflow followed closely by European bonds.
· Asset rebalancing volumes are estimated to be larger than hedge ones with the FX impact likely to be USD selling against EUR and GBP at month end.
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