VANDA THEMATIC MACRO POSITIONING
Weekly Dashboard (05 April 2023)
Viraj Patel, Senior Strategist (viraj.patel@vanda.com)
Fabian Birli, Research Analyst (fabian.birli@vanda.com)
Table of Figures [click to navigate to chart]:
Wednesday, 05 April 2023
Chart 1: Thematic Macro Positioning – Weekly Dashboard
Page 1: Thematic Macro Positioning Overview
└ Chart 1: Thematic Macro Positioning – Weekly Dashboard
└ Chart 2: Most & least crowded macro themes right now
Page 2: Positioning in Macro Themes (1)
└ Chart 3: Changes in positioning across macro themes
└ Chart 5: Global Reflation & Inflation positioning indicators
└ Chart 6: Stagflation & FCI positioning indicators
Page 3: Positioning in Macro Themes (2)
└ Chart 7: Positioning in Duration, Risky Assets & Global Havens
└ Chart 8: Positioning across China reflation assets
Page 4: Positioning in Fixed Income Themes
└ Chart 9: Global bond & rates positioning indicators
└ Chart 11: Positioning across hawkish Fed trades
└ Chart 12: Positioning across hawkish ECB trades
Page 5: Positioning in Equity Themes
└ Chart 14: Global cyclical equity positioning
└ Chart 15: Positioning in cyclicals vs. defensives
Page 6: Positioning in Commodity Themes
└ Chart 19: Copper vs. Gold positioning (Recession Sentiment)
└ Chart 21: Copper vs. UST positioning (Recession Sentiment)
└ Chart 22: Positioning across commodity-linked equities
└ Chart 24: Positioning across commodity & haven FX
*Notes: 1. Long US value/grow, US & EU cyclical sectors (banks, materials, industrials, energy),
short DM 10Y bonds; 2. Long cyclical sectors (banks, materials, industrials, energy) & short 10Y
bonds; 3. Short TIPS futures, short spec net Eurodollar futures & long aggregate USD; 4. Short
10Y Bunds, long EU Banks & long EUR/USD; 5. Short UK gilts, long UK equities & long GBP/USD;
6. Long US & EU materials/energy stocks, long TIPS, commodity hedges (gold, silver, copper)
Source: Vanda Research
Chart 2: Most & least crowded macro themes right now
Vanda thematic positioning indicator (z-score)
Least crowded macro themes
Global Risky Assets
Global inflation
Global reflation Bearish
cyclical
EU reflation
US & EU materials bets added
US reflation
US & EU financials
US 60/40 portfolio
EM macro
China reflation
Hawkish BoE
Global Safe Havens
Hawkish ECB
Short DM 10Y bonds
Hawkish Fed
Short front-end rates
Tighter US FCI
1M prior
Latest
Investors
unwind
hawkish
bets
Most crowded macro themes
-2.5
-1.5
-0.5
0.5
1.5
2.5
*Equity positions are long trades; Bond positions are short trades (+ve/-ve z-score = short/long)
Source: Vanda Analytics
Vanda Research
1
Vanda Thematic Macro Positioning Charts: Macro Themes (1)
Chart 3a: Weekly change in positioning across themes
Chart 5a: Positioning in global reflation & inflation assets
1wk change in Vanda thematic positioning indicator (z-score)
Vanda thematic positioning indicator (z-score)
1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0
5.0
Investors add to bullish bets
Mar '21
peak
Global inflation hedges (z-score)
4.0
Global reflation (z-score)
3.0
2.0
Reflation
1.0
0.0
EU reflation
Hawkish BoE
Hawkish ECB
Global reflation
US & EU materials
Global inflation
Short DM 10Y bonds
US reflation
US 60/40 portfolio
Global Risky Assets
EM macro
US & EU financials
China reflation
Global Safe Havens
Hawkish Fed
Tighter US FCI
US value vs. growth
Investors add to bearish bets
Short front-end rates
Stagflation
Slowdown
-1.0
Recession
-2.0
-3.0
2014
2016
*Equity positions are long trades; Bond positions are short trades (+ve/-ve z-score = short/long)
Source: Vanda Analytics
Chart 3b: Monthly change in positioning across themes
2018
2020
2022
*Reflation: Long cyclical equities (banks, materials, industrials, energy) & short DM 10Y bonds
**Inflation: Long materials, energy, TIPS, gold/silver, copper | Source: Vanda Analytics
Chart 5b: Positioning breakdown across Inflation Hedges
1M change in Vanda thematic positioning indicator (z-score)
Vanda positioning metric for global inflation hedges (z-score)
2.0
1.0
Investors add to bullish bets
1.5
0.5
1.0
0.0
0.5
-0.5
0.0
-0.5
-1.0
-1.0
-1.5
-1.5
-2.0
Latest (31 Mar)
-2.5
1wk prior
Vanda thematic positioning indicator since 2020 (z-score)
4.0
3.0
2.0
Long TIPS
US materials
EU energy
US energy
Silver
Copper
*Based on positioning models for individual macro assets
Source: Vanda Analytics
Chart 6a: Cross-asset stagflation & tighter FCI positioning
Vanda thematic positioning indicator (z-score)
Quartile range
1wk prior positioning
Max/Min since 2020
Latest positioning
5.0
EU materials
Crowded inflation shorts
*Equity positions are long trades; Bond positions are short trades (+ve/-ve z-score = short/long)
Source: Vanda Analytics
Chart 4: Latest reflation positioning vs. post-Covid range
Sep CPI
-3.0
Gold
EU reflation
Hawkish ECB
Short DM 10Y bonds
China reflation
Global reflation
Hawkish BoE
US & EU financials
US reflation
EM macro
Tighter US FCI
Hawkish Fed
Global inflation
US & EU materials
Global Risky Assets
Short front-end rates
US value vs. growth
US 60/40 portfolio
Investors add to bearish bets
Global Safe Havens
-2.0
Crowded inflation longs
3.5
'18 Powell
Pivot
Positioning for tighter
US FCI basket increasing
'23
Pivot?
'13 Bernanke
Pivot
2.5
Jan-22
Oct-21
Oct-21Oct-21
Dec-21
Jan-23 Jun-22
Jun-22
1.0
Nov-21
Jan-22
Feb-22
1.5
Jan-22
Mar-22
0.5
0.0
-1.0
-0.5
-2.0
-1.5
Most long reflation
US val/growth
EU industrials
EU banks
EU materials
US energy
EU energy
US industrials
US materials
US banks
UST 10Y
Gilt 10Y
Bund 10Y
Global reflation
-3.0
Most short reflation
Cross-asset stagflation positioning*
-2.5
Tighter FCIs (ex-VIX)
-3.5
2010
*Equity positions are long trades; Bond positions are short trades; **Chart shows current vs. historical positioning
Source: Vanda Analytics
Vanda Research
'22 Fed
hikes
Positioning for easier
US FCI basket increasing
2012
2014
2016
2018
2020
2022
*Basket of tighter US FCI trades (long $, long VIX, short IG credit, short SPX, short SOFR & UST 10Y)
Source: Vanda Analytics
2
Vanda Thematic Macro Positioning Charts: Macro Themes (2)
Chart 6b: Positioning breakdown across US FCI basket
Chart 7c: Positioning breakdown – Global Haven Assets
Vanda positioning indicator for assets in FCI basket (z-score)
Vanda positioning metric for global havens (z-score)
3.0
2.0
Latest
2.5
Most crowded tighter FCI plays
Start of '23 (10-Feb)
1.0
1.5
0.5
1.0
0.0
0.5
-0.5
0.0
-1.0
-0.5
-1.5
-1.0
-2.0
Short
UST 10Y
Long
VIX
Short
Short Short IG
Eurodollar S&P 500 Credit
Latest (31 Mar)
1.5
2.0
Long
USD
Investors add to
haven positions
Short
TIPS
1wk prior
Investors reduce
haven positions
German
30Y
UST
10Y
Gold
CHF
*Positioning models vary across individual assets
Source: Vanda Analytics
Chart 7a: Positioning for basket of Long Duration trades
JPY
German
10Y
*Based on positioning models for individual macro assets
Source: Vanda Analytics
Chart 8a: Positioning in China-linked & EM macro assets
Vanda thematic positioning indicator (z-score)
Vanda thematic positioning indicator (z-score)
4.0
1.5
3.0
Cross-asset markets
overweight duration
GFC
Fed QE
UST
30Y
1.0
'16 US
elections
0.5
2.0
0.0
1.0
-0.5
0.0
-1.0
-1.0
-2.0
-3.0
-1.5
Cross-asset markets
underweight duration
Powell
'18 Pivot
US CPI
Nov '22
-2.0
China reflation macro trades
-2.5
Long EM macro
Long duration basket positioning*
-4.0
2000
2005
2010
2015
-3.0
2014
2020
2016
*Basket includes: (1) Nasdaq vs. SPX; (2) long UST 2s10s; (3) long gold vs. copper; (4) long JPY
Source: Vanda Analytics
Chart 7b: Sentiment for Global Havens vs. Risky Assets
Vanda thematic positioning indicator (z-score)
4.0
2020
Chart 8b: Positioning breakdown – China reflation assets
'22 Fed
hikes
2.0
Latest (31 Mar)
Long Global Safe Havens
3.0
1.5
Long Global Risky Assets
2.0
1.0
1.0
0.5
0.0
0.0
-1.0
-0.5
-2.0
-1.0
-3.0
2011
2022
Vanda positioning metric for China reflation assets (z-score)
4Q18
Fed hikes
Short DM 10Y bonds
2018
*See chart below for list of macro assets that sit in China reflation basket
Source: Vanda Analytics
1M prior
-1.5
2013
2015
2017
2019
2021
2023
*Havens basket includes FX: CHF, JPY; Rates: US & EU 10Y/30Y bonds; Commodities: Gold
Source: Vanda Analytics
Vanda Research
BRL
Soybean Steel
Copper
AUD
NZD
ZAR
*Based on positioning models for individual macro assets
Source: Vanda Analytics
3
Vanda Thematic Macro Positioning Charts: Fixed Income Themes
Chart 9: Bond & Rates positioning over Fed hiking cycles
Chart 11b: Positioning breakdown – Hawkish Fed trades
Vanda bond positioning indicator (z-score)
Vanda thematic positioning indicator (z-score)
3.5
3.0
Bond positioning
more bullish
Frontend rates
2.5
Long
USD
2.0
1.5
Short ED
futures
1.0
0.5
0.0
-0.5
-1.0
-1.5
10Y
bonds
-2.0
-2.5
Rates positioning during Fed hiking cycles
Bond positioning during Fed hiking cycles
Bond positioning
more bearish
-3.5
1994
1998
2002
2006
2010
2014
2018
2022
Short Real
Rates
-3.0
2013
Chart 10: Aggregate short positioning for front-end rates
2015
2017
2019
2021
Chart 12a: Aggregate positioning for hawkish ECB trades
Vanda thematic positioning indicator (z-score)
Vanda thematic positioning indicator (z-score)
3.5
3.0
2.5
Short front-end DM rates (z-score)
Rates market positioned for
hawkish DM central bank policy
'11 Trichet
rate hike
mistakes
'21 hawkish
ECB trade
'18 ECB rate
hike bets
2.0
1.5
2023
*Note when short rates position is +ve (-ve) = markets positioned for higher (lower) rates
Source: Vanda Analytics
*Contact us for further details; **Dashed lines show lower quartile of positioning during Fed hiking cycle
Source: Vanda Analytics
1.0
0.5
0.0
-0.5
-1.0
-1.5
-3.5
2013
-2.0
Rates market positioned for
dovish DM central bank policy
-2.5
2015
2017
Hawkish ECB trades (z-score)
2019
2021
2023
-3.0
2010
2012
Taper
Tantrum
2.0
Trumpflation
Powell
dovish
pivot
2018
2020
2022
Chart 12b: Positioning breakdown – Hawkish ECB trades
Vanda positioning metric for hawkish ECB trades (z-score)
Vanda thematic positioning indicator (z-score)
3.0
2016
*Positioning across short 10Y Bunds, long EUR/USD & long EU banks
Source: Vanda Analytics
*Average of Eurodollar & Euribor futures (green + red packs) and US & German 2Y bonds
Source: Vanda Analytics
Chart 11a: Aggregate positioning for hawkish Fed trades
2014
2.0
RussiaUkraine
14 Oct
16 Dec
31 Mar
1.5
1.0
1.0
0.5
0.0
0.0
-0.5
-1.0
-1.0
-2.0
Hawkish Fed trades (z-score)
-3.0
2010
2012
2014
2016
2018
2020
2021/22
Hawkish
Fed
-1.5
-2.0
Short 2Y
Schatz
2022
*Short TIPS (real rates), short spec net ED futures and long aggregate USD positioning
Source: Vanda Analytics
Vanda Research
Long
EUR/USD
Short 10Y
Bund
Short 10Y
BTP
Long EU
Banks
*Equity positions are long trades; Bond positions are short trades (+ve/-ve z-score)
Source: Vanda Analytics
4
Vanda Thematic Macro Positioning Charts: Equity Themes
Chart 13: Gauging reflation sentiment in cyclical equities
Chart 16: ‘Sell Europe’ sentiment… short bets in EU assets
Vanda thematic positioning indicator (z-score)
Vanda thematic positioning indicator (z-score)
4.5
4.0
Peak reflation
(May '21)
Ukraine War
(Mar '22)
3.5 Covid Crisis
Investors were dumping EUR
assets broadly in Q4 '22
3.0
(Feb '20)
2.5
2.0
1.5
0.5
1.0
-0.5
0.0
-1.5
-1.0
Long US & EU financials
-2.5
Long US & EU materials
-3.5
-2.0
Short 10Y UST/Bunds/Gilts
-4.5
Jan-20
Nov-20
Sep-21
Jul-22
May-23
-3.0
2010
*Note 10Y bond positioning inverted (+ve = short); **Sector positioning is average across US & EU equities
Source: Vanda Analytics
Chart 14: Short 10Y positioning vs. Global cyclical equities
Vanda thematic positioning indicator (z-score)
Short 10Y DM bonds
3.0
2012
2014
2016
2018
2020
2022
*Positions in short core European bonds, short EU equities and short European FX (EUR & GBP)
Source: Vanda Analytics
Chart 17: Cross-asset positioning in US vs. EU cyclicality
Vanda thematic positioning indicator (z-score)
1H21
reflation
trade
4.0
Ukraine
war
'Sell Europe' basket
Long US & EU Energy
5.0
'21 reflation
trade
EU reflation (z-score)
4.0
Global cyclical equities
US reflation (z-score)
3.0
2.0
2.0
1.0
1.0
0.0
0.0
-1.0
-1.0
-2.0
-2.0
-3.0
2014 2015 2016 2017 2018 2019 2020 2021 2022 2023
-3.0
2014
2016
*Long cyclicals (banks, mat, ind, energy) and short 10Y bond positions across US & EU
Source: Vanda Analytics
Chart 15: Positioning for US & EU cyclicals vs. defensives
2018
2020
Chart 18: Overall positioning across Global Risky Assets
Vanda thematic positioning indicator (z-score)
Vanda thematic positioning indicator (z-score)
4.0
4.0
EU cyclicals /
defensives
3.0
3.0
2.0
2.0
1.0
1.0
0.0
0.0
-1.0
-1.0
-3.0
2015
4Q18
Fed hikes
Short DM 10Y bonds
-2.0
2022
*Long cyclical sectors (banks, mat, ind, energy) and short 10Y bonds for each region
Source: Vanda Analytics
'22 Fed
hikes
Vanda Global Risky Asset basket
-2.0
US cyclicals /
defensives
2016
2017
2018
2019
2020
2021
2022
2023
*Cyclicals = banks, materials, industrials, energy; **Defensives = health, utilities, comms, staples
Source: Vanda Analytics
-3.0
2011
2013
2015
2017
2019
2021
2023
*Avg. positioning across assets with highest weekly correlation to S&P 500 within asset class (FX: AUD, NZD, MXN;
Europe: German stocks, EU industrials; EM: ZAR bonds, INR equities) | Source: Vanda Analytics
Vanda Research
5
Vanda Thematic Macro Positioning Charts: Commodity Themes
Chart 19: Copper vs. Gold positioning – Recession Watch
Chart 22: Commodity exporter vs. importer positioning
Vanda thematic positioning indicator (z-score)
Vanda thematic positioning indicator (z-score)
2.0
4.0
1.5
Bullish Copper
positioning
Copper vs. Gold positioning
1.0
1H21
reflation
Ukraine
war
3.0
2.0
0.5
1.0
0.0
0.0
-0.5
-1.0
-1.0
-2.0
-1.5
Commodity-linked Equity Indices
-3.0
-2.0
Commodity-importer Equities
-2.5
Bullish Gold
positioning
-3.0
2003
2006
2009
2012
2015
2018
-4.0
-5.0
2011
2021
*Relative speculative positioning in copper vs. gold
Source: Vanda Analytics
Chart 20: Positioning across China-related cyclical metals
2013
2015
2017
2019
2021
2023
*Commodity-linked: UK, Brazil, South Africa, Indonesia; **Commodity-importer: India, Turkey, Taiwan
Source: Vanda Analytics
Chart 23: Positioning across commodity-linked equities
Vanda thematic positioning indicator (z-score)
Vanda equity positioning metric for country (z-score)
3.0
2.0
China-related base metals
Latest
Positioning 1M ago
1.5
2.0
1.0
1.0
0.5
0.0
0.0
-1.0
-0.5
-2.0
-1.0
-1.5
-3.0
2019
Taiwan
2020
2021
2022
2023
Brazil Indonesia South
Africa
*Average spec positioning across copper, aluminium & zinc futures
Source: Vanda Analytics
Chart 21: Copper vs. UST positioning – Recession Watch
Speculative investor positioning (% of open interest)
50%
2001
recession
'08/09
recession
2020
recession
40%
UK
*Based on individual equity positioning models for each country
Source: Vanda Analytics
Chart 24: Positioning across commodity and haven FX
3.0
Crowded long FX positions
2.0
10%
20%
Turkey
Vanda FX positioning indicator (z-score)
20%
15%
30%
India
5%
EUR
BRL
1.0
10%
0%
0.0
CHF
JPY
AUD
0%
-5%
-10%
-1.0
-10%
-20%
-15%
Copper (LHS)
-30%
-2.0
ZAR
Short UST 10Y (RHS)
-40%
2000
-20%
2005
2010
2015
2020
-3.0
Jun-21
*Net non-commercial speculative positioning for futures (as a % of open interest)
Source: Vanda Analytics
Vanda Research
Crowded short FX positions
Dec-21
Jun-22
Dec-22
*Net non-commercial positioning for FX/USD pair
Source: Vanda Analytics
6
Vanda Thematic Macro Positioning Charts: Disclaimer
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7