BofA - Hartnett - The Flow Show Buy Signal_20231019pdf
BofA - Hartnett - The Flow Show Buy Signal_20231019pdf
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  1. Trading ideas and investment strategies discussed herein may give rise to significant risk and are not suitable for all investors. Investors should have experience in relevant markets and the financial resources to absorb any losses arising from applying these ideas or strategies.>> Employed by a non-US affiliate of BofAS and is not registered/qualified as a research analyst under the FINRA rules.Refer to "Other Important Disclosures" for information on certain BofA Securities entities that take responsibility for the information herein in particular jurisdictions.BofA Securities does and seeks to do business with issuers covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.Refer to important disclosures on page 11to 13. The Flow ShowBuy SignalScores on the Doors: crypto 35.1%, stocks 10.4%, oil 10.0%, gold 7.1%, commodities 5.7%, HY bonds 3.9%, cash 3.8%, US dollar 2.9%, IG bonds -0.7%, govt bonds -5.4% YTD. Zeitgeist: "Populists want to spend more money& the "unpopulists" want to spend even more"...investorson government spending. Note countries accounting for 80% of global equity market cap, 60% of global GDP, 40% of world population have elections next year(& inflation v unpopular...low unemployment & low presidential approval in US -Chart 3). Tale of the Tape: box of Girl Scout cookies price upfrom $5 to $6 this season; can’t blame them givenrestart of US student loan payments, end of subsidized childcare, home & auto loan costs at 20-year highs (30-year mortgage rate at 8%)and TV streaming services raisingprices. The Price is Right: BofA Bull & Bear Indicatorat “extreme bearish”1.9, contrarian buy signal for risk assetstriggered:median 3-month returns post buy signalimply= US stocks 5.4%, global stocks 7.6%, stocks vs IG bonds 9.1%, HY bonds vs Treasuries 6.4%; absent surge in yields >5%, oil >$100/bl, trading rally in most oversold assets likely (note S&P500 ex-Magnificent 7 +Berkshire/Eli Lilly/ Walmart now trading at 3816). The Biggest Picture: USnominal GDP up a remarkable 40% past 3yrs& reacceleration in Q3 (7-8% ann., Chart 2); no US recession because no job or wealth insecurity; this market believes Fed “behind-the-curve”and avengers neededto curb DC’s non-stop enthusiasm for spending; higher yields...harder landing; risk atrading buy but Big Low awaits bear positioning,recessionary EPS/GDP forecasts and policy panic(Chart 4). Chart2:Big BoomUS nominal GDP ($tn)Source:BofA Global Investment Strategy, Bloomberg, Atlanta FedBofA GLOBAL RESEARCHMore on page 2...Q2'20Covid low+40%Q3'23 (est): $27.5tn051015202530'60'65'70'75'80'85'90'95'00'05'10'15'20'25US nominal GDP ($tn)Atlanta Fed forecast19 October 2023Investment StrategyGlobalMichael HartnettInvestment StrategistBofAS+1 646 855 1508michael.hartnett@bofa.comElyas Galou>>Investment StrategistBofASE (France)+33 1 8770 0087elyas.galou@bofa.comAnya ShelekhinInvestment StrategistBofAS+1 646 855 3753anya.shelekhin@bofa.comMyung-Jee JungInvestment StrategistBofAS+1 646 855 0389myung-jee.jung@bofa.comChart1: BofA Bull & Bear IndicatorDown to 1.9from 2.2Source:BofA Global Investment StrategyThe indicator identified above as the BofA Bull & Bear Indicator is intended to be an indicative metric only and may not be used for reference purposes or as a measure of performance for any financial instrument or contract, or otherwise relied upon by third parties for any other purpose, without the prior written consent of BofA Global Research. This indicator was not created to act as a benchmark.BofA GLOBAL RESEARCHExtreme BearishExtreme Bullish46010Buy28Sell1.9Accessible version
  2. 2The Flow Show| 19 October 2023Weekly Flows: $2.1bn to bonds, $1.1bn from gold, $5.2bn from equities, $108.9bn from cash.Flows to Know: •Cash: largest weekly outflow ($108.9bn–Chart 11) ever (2ndlargest was in Jan’22 -$83.7bn, 3rdwas Feb’22 -$79.4bn);•Treasuries: 36thstraight week of inflows ($5.3bn–Chart 12), longest streak since Aug’10;•Credit: 7thstraight week of HY outflows ($2.2bn), while IG outflows ($0.5bn) resume;•EM debt: 12thstraight week of outflows ($2.2bn);•Equities: 2ndstraight week of outflows ($5.2bn)...outflows across both DM ($4.6bn) and EM ($0.6bn), incl. outflows from Europe ($1.9bn) and Japan ($0.9bn);•Tech: 2ndweekly outflow, albeit small ($70mn–Chart 13);•Financials: 12thstraight week of outflows ($0.4bn);•Healthcare: 8thstraight week of outflows ($0.8bn), longest streak of outflows since Apr’23.BofA Private Clients: $3.1tn AUM...59.3% stocks, 21.7% bonds, 12.2% cash; private clients buying energy, bank loan, munis and selling utilities, staples, TIPS ETFs past 4 weeks.BofA Bull & Bear Indicator: falls to 1.9 from 2.2 driven by outflows from EM debt, HY bonds, global equity funds & jump in BofA FMS cash levels to 5.3%; positioning now"extreme bearish"...triggers contrarian "buy signal" for risk assets; after 20 BofA Bull & Bear Indicator "buy signals" since 2002 median returns following 3 months (Table1): US stocks 5.4%, global stocks 7.6%, stocks vs IG bonds 9.1%, HY bonds vs Treasuries 6.4%. BofA Trading Rules: 3 out of 4 trading rules currently give contrarian "buy signal"...•BofA Bull & Bear Indicator @ 1.9 (i.e. < 2.0), •BofA FMS Cash @ 5.3% (i.e. > 5.0%), •BofA Global Flow Trading Rule @ redemptions 1.1% AUM past 4weeks (i.e. >1.0%), •BofA Global Breadth Rule @ -62% ("buy signal" requires >88% ACWI indices to be oversold...would be triggered by SPX <4230).We say...•investors sufficiently bearish for 10-year yield @ 5% ceiling & SPX 4.2k floor to hold short-term (3-4 weeks), •trading rules (all +/-1SD models) almost always work for a trading rally unless Wall St experiencing a 2SD exogenous shock (e.g. WorldCom Jul'02, Lehman Aug’08, Russia-Ukraine War Mar’22)...oil >$100/bbl (Middle East economic shock) and/or yields soaring >5% (US government deficit shock) would short-circuit any "oversold rally" in Q4,•put another way, if SPX 4.2k can't hold with this level of bearishness thenthere may beimminent risks of credit event/hard landing,
  3. The Flow Show| 19 October 20233•Oct/Nov trading rally best played via most oversoldassets...30-year, HY CCC, REITs, banks, retail, small cap, utilities, staples, China...all of which are trading "hard landing," all of which are being punished due to their association with "leverage"...buy the “best house in the worstneighborhood,”•nibble, rent, but don't gorge, own...rallies should be sold...big lows are a combination of a. extreme bear Positioning, b. recessionary EPS (Profits)/GDP forecasts, c. easing Policy response...only once big low 3Ps conditions met will big upside; rising defaults, delinquencies, small business credit crunch, unemployment rate all signal monetary policy not impotent, hard landing risks rising not falling...3Ps key to unlocking value in 3Bs of Bonds, Bullion & Breadth in H1’24,•both credit & equity markets punishing “leverage,”short “hard landing”plays; but vulnerables into a recession arecombo of“unlevered”monopolies, “crowded themes”(AI, re-shoring, housing shortage, end of Japan deflation), “soft landing”longs, i.e. Magnificent 7, semis, homebuilders, broker-dealers, industrials, Japan...markets long themes, short leverage...hard landing & peak in yields = massive pivot from thematic longs to levered shorts(Charts 9-10).Chart3: Low unemployment & low approval...inflation is unpopularUS presidential approval ratings vs US unemployment rateSource:BofA Global Investment Strategy, Bloomberg, GallupBofA GLOBAL RESEARCHChart4: Markets stop panicking when central banks start panickingUS Fed Funds target rate %Source:BofA Global Investment Strategy, Bloomberg, GFD FineaonBofA GLOBAL RESEARCHChart9: Markets long themes, short leverageBiotech (XBI) vs Nasdaq 100 (NDX)Source:BofA Global Investment Strategy, BloombergBofA GLOBAL RESEARCHChart10: Hard landing = pivot from thematic longs to levered shortsBanks (BKX) vs Broker-dealers (XBD)Source:BofA Global Investment Strategy, BloombergBofA GLOBAL RESEARCHFDR 2Truman 1Truman 2Eisenhower 1Eisenhower 2JFKLBJ 1LBJ 2Nixon 1Nixon 2FordCarterReagan 1Reagan 2BushClinton 1Clinton 2GW Bush 1GW Bush 2Obama 1Obama 2TrumpBiden '21Biden '22Biden '23203040506070802.03.04.05.06.07.08.09.010.0US presidential approval rating %Unemployment rate %'29Wall St crash'37 Fed "policy mistake"'70Penn CentralBK'74 Franklin Natl BK'82LatAm debt'87Stock market crash'90S&Lcrisis'94Tequilacrisis'00Techbubble'98LTCM'07Subprimecrisis'20Covid'23US regional banks05101520191519251935194519551965197519851995200520152025US Fed Funds target rate, %300050007000900011000130001500017000406080100120140160180'16'17'18'19'20'21'22'23'24Biotech (XBI)Nasdaq 100 (RHS)010020030040050020406080100120140160'12'13'14'15'16'17'18'19'20'21'22'23'24Banks (BKX)Broker-dealers (RHS)
  4. 4The Flow Show| 19 October 2023Table1: “Extreme Bear” periodic returns & max drawdowns across asset classesCross asset periodic returns on Bull & Bear Indicator “buy” signalGlobal equities (MSCI ACWI)GT10 yield (bp)EQ/HGHY / GOVStartB&B (Start)B&B (Low)End3m returns2m returns1m returns1wk returnsMax downside foregone*Cross asset: Max (3m) upside7/12/20022.00.012/4/2002-12.6%-0.4%-4.9%-5.4%-17.7%4814.0%6.7%2/19/20031.91.34/2/20038.4%1.2%3.1%-2.5%-7.4%5414.3%8.9%5/26/20041.90.17/14/2004-0.5%1.1%2.5%1.1%-2.8%275.4%3.6%5/4/20051.91.85/18/20056.1%1.6%0.7%-0.6%-1.8%538.5%9.3%6/21/20061.30.08/2/20066.6%4.0%0.3%-0.4%-1.3%115.3%2.4%1/30/20080.80.04/23/20084.7%-1.2%1.1%-1.4%-5.8%5612.4%6.3%7/2/20081.00.04/29/2009-15.2%-2.6%-1.8%-1.1%-18.3%6912.0%4.5%8/24/20111.40.012/6/2011-6.1%-4.9%-7.1%3.9%-10.9%6813.2%9.2%12/14/20111.60.01/25/201215.1%10.1%5.4%2.1%-0.5%5711.8%10.1%6/5/20122.00.77/18/20129.6%6.7%7.3%2.9%0.0%489.0%6.3%7/3/20131.61.27/31/20137.9%4.8%6.3%2.1%-0.5%527.4%2.1%1/14/20151.81.42/4/20157.3%6.3%5.0%1.8%-0.1%608.4%6.1%8/19/20151.60.011/4/2015-2.0%-7.7%-5.1%-6.3%-2.2%3410.5%5.9%12/16/20151.90.03/22/2016-2.6%-8.2%-9.0%0.3%-9.8%3210.4%7.9%6/28/20162.01.37/13/20168.1%8.5%7.0%2.9%0.0%378.6%6.8%1/3/20191.91.91/9/201915.4%11.2%10.0%5.6%0.0%2311.6%6.7%8/29/20191.30.610/22/20198.0%5.0%2.3%2.1%0.0%489.6%4.8%3/18/20201.50.06/30/202031.2%22.1%19.3%6.2%-4.6%5415.7%9.8%3/23/20222.01.83/29/2022-15.5%-10.2%-4.5%2.6%0.0%182.8%3.2%5/18/20221.50.011/30/20225.0%-3.8%-6.3%1.0%-11.7%1365.7%6.7%Backtested Median5.4%1.1%0.9%-0.5%-4.3%5411.9%6.5%Actual Median7.6%4.9%3.7%2.1%-0.3%439.1%6.4%Source:BofA Global InvestmentStrategy, BloombergDownside return measured from start date of "Greed" signal to market peak. The performance in the shaded area is back-tested and does not represent the actual performance of any account or fund. Back-tested performance depicts the theoretical (not actual) performance of a particular strategy over the time period indicated. No representation is being madethat any actual portfolio is likely to have achieved returns similar to those shown herein.BofA GLOBAL RESEARCHChart11: Biggest outflow from MMFs on recordMoney market fund flows (weekly & 4-week moving average)Source:BofA Global Investment Strategy, EPFRBofA GLOBAL RESEARCHChart12: 36 straight weeks of Treasury inflows, longest since 2010Treasuries fund flows (weekly & 4-week moving average)tSource:BofA Global Investment Strategy, EPFRBofA GLOBAL RESEARCH-150-100-50050100150200250'17'18'19'20'21'22'23'24Money market flows ($bn)Money market flows 4-week MA ($bn)-8-32712'17'18'19'20'21'22'23'24Treasuries flows ($bn)Treasuries flows 4-week MA ($bn)
  5. The Flow Show| 19 October 20235Chart13: Tech funds see outflows resume past 2 weeksTech fund flows (weekly & 4-week moving average)Source:BofA Global Investment Strategy, EPFRBofA GLOBAL RESEARCH-3-11357911'17'18'19'20'21'22'23'24Tech flows ($bn)Tech flows 4-week MA ($bn)
  6. 6The Flow Show| 19 October 2023Asset Class Flows (Table 2)Equities: $5.2bn outflow ($6.5bn inflow to ETFs, $11.7bn outflow from mutual funds)Bonds: inflows past 2 weeks ($2.1bn)Precious metals: outflows past 21weeks ($1.1bn)Table 2: Cumulative YTD flows by asset classGlobal flows by asset class, $mnWk % AUMYTDYTD %AUMEquities0.0%99,7060.6%ETFs0.1%361,2174.7%LO-0.1%-260,589-3.0%Bonds0.0%243,0603.7%Commodities-0.2%-16,272-4.7%Money-market-1.4%990,56512.9%*week of 10/11/2023: Source:EPFR GlobalBofA GLOBAL RESEARCHFixed Income Flows(Chart14)IG Bondoutflows resume ($0.5bn)HY Bond outflows past 7weeks ($2.0bn)EM Debtoutflows past 12weeks ($2.2bn)Munis outflows past 7weeks ($0.1bn)Govt/Tsyinflows past 36weeks ($5.3bn)TIPSoutflows past 6weeks ($0.1bn)Bank loaninflows past 2 weeks ($0.3bn)Equity Flows (Table 3)US: inflows resume ($0.3bn)Japan:outflows resume ($0.9bn)Europe: outflows past 32weeks ($1.9bn)EM: outflows past 2 weeks ($0.6bn)By style: inflows US large cap($1.7bn), US growth($60mn), outflows US small cap($30mn), US value($3.0bn).By sector: inflows energy($0.6bn), com svs($0.3bn), materials($60mn), outflows tech($70mn), real estate($140mn), consumer($0.4bn), financials($0.4bn), hcare($0.8bn), utilities($0.9bn).Table 3: EM equity inflows > DM equity inflows YTDGlobal equity flows by regionWk % AUMYTDTotal Equities0.0%99,706long-only funds-0.1%-260,589ETFs0.1%361,217Total EM0.0%90,616Brazil0.6%-258Russia0.0%-52India0.8%10,912China-0.1%66,396Total DM0.0%9,090US0.0%5,065Europe-0.1%-56,616Japan-0.1%11,834International0.0%45,762Total Equities = Total EM + Total DMSource:EPFR GlobalBofA GLOBAL RESEARCHChart14: FICC inflows to Treasuries, bank loanWeekly FICC flows as a % AUMSource:EPFR GlobalBofA GLOBAL RESEARCH-1.4%-1.2%-1.0%-0.8%-0.6%-0.4%-0.2%0.0%0.2%0.4%0.6%Money-marketEM debtCorp HYGold & SilverCommoditiesTIPSCorp IGBank loanGovt/Tsy
  7. The Flow Show| 19 October 20237BofAprivate client flows & allocationsChart15: Private clients boughtenergy, bank loan, growthETFsBofA privateclients4-weekETF flows as % of AUMSource:BofA Global investment StrategyBofA GLOBAL RESEARCHChart16: GWIM equity allocation at 59%BofA private client equity holdings as % of AUMSource:BofA Global investment StrategyBofA GLOBAL RESEARCHChart17: GWIM debt allocation at 22%BofA private client debt holdings as % of AUMSource:BofA Global Investment StrategyBofA GLOBAL RESEARCHChart18: GWIM cash allocation vs LT averageBofA private client cash holdings as % of AUMSource:BofA Global Investment StrategyBofA GLOBAL RESEARCHChart19: GWIM ETF holdingsas % of AUMBofA private client ETF holdings as % of AUMSource:BofA Global Investment StrategyBofA GLOBAL RESEARCHChart20: GWIM top 10 stocks for1-year SPX beta1-yr S&P 500 beta for top 10 stocks held by BofA private clientsSource:BofA Global Investment StrategyBofA GLOBAL RESEARCH-12%-10%-8%-6%-4%-2%0%2%4%UtilitiesStaplesTIPSJapanPreciousCons. Disc.Low-volIGEM debtREITsMaterialsHYHealthcareMLPDividendFinancialsTechValueUSIndustrialsGrowthMunicipalsBank loanEnergyBofA GWIM privateclientsCumulative 4w flows as % AUM56%63%66%Avg38%43%48%53%58%63%68%'05'07'09'11'13'15'17'19'21'23GWIM Equity as % AUM39%56%54%Trough May 08: 26%Peak Feb 09: 34%17%Avg15%17%19%21%23%25%27%29%31%33%35%'05'07'09'11'13'15'17'19'21'23GWM Debt as % AUMTrough Apr 07: 11%Peak Feb 09: 21%Avg8%12%16%20%'05'07'09'11'13'15'17'19'21'23GWM cash as % AUM14.0%16.9%0%2%4%6%8%10%12%14%16%18%'05'07'09'11'13'15'17'19'21'23'25Debt ETFs % debt holdingsEquity ETFs % equity holdings0.600.700.800.901.001.101.201.301.401.50'08'09'10'11'12'13'14'15'16'17'18'19'20'21'22'23GWIM top 10 stocks, 1-year SPX beta
  8. 8The Flow Show| 19 October 2023The Asset Class Quilt of Total ReturnsChart21: REITsworst returning asset class YTDRanked cross asset returns by year since2000Source:BofA Global Investment Strategy, Bloomberg. *2023YTDBofA GLOBAL RESEARCH200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023*Commodities58.2%US Treasuries6.7%Commodities39.5%MSCI EM56.3%REITS32.0%MSCI EM34.5%REITS37.5%MSCI EM39.8%US Treasuries14.0%MSCI EM79.0%Gold29.2%US Treasuries9.8%REITS23.8%S&P 50032.4%S&P 50013.7%S&P 5001.4%Commodities17.5%MSCI EM37.8%Cash1.8%S&P 50031.5%Gold24.8%Commodities46.3%Commodities31.1%S&P 50013.8%US Treasuries13.4%Global IG4.6%Gold25.6%MSCI EAFE39.2%Commodities28.7%Commodities33.7%MSCI EM32.6%Commodities33.0%Gold4.3%Global HY62.0%MSCI EM19.2%Gold8.9%Global HY19.3%MSCI EAFE23.3%REITS11.7%US Treasuries0.8%Global HY14.8%MSCI EAFE25.9%US Treasuries0.8%REITS27.4%MSCI EM18.8%REITS37.1%Cash1.5%Gold6.6%REITS8.5%Cash4.4%Global IG14.9%REITS33.5%MSCI EM26.0%Gold17.8%MSCI EAFE26.9%Gold31.9%Cash2.1%MSCI EAFE32.5%REITS15.9%Global IG4.5%MSCI EM18.6%Global HY8.0%US Treasuries6.0%Cash0.1%S&P 50012.0%S&P 50022.0%Gold-1.9%MSCI EAFE22.8%S&P 50018.4%S&P 50028.7%Gold-0.8%MSCI EAFE6.1%Cash6.2%Global HY3.1%US Treasuries11.6%Commodities30.1%MSCI EAFE20.7%MSCI EAFE14.0%Gold23.2%MSCI EAFE11.6%Global IG-8.3%REITS31.7%S&P 50015.1%Global HY2.6%MSCI EAFE17.9%REITS0.7%Global IG3.2%MSCI EAFE-0.8%MSCI EM11.2%Gold12.9%Global HY-3.3%Commodities20.1%Global IG10.3%MSCI EAFE11.9%US Treasuries-12.9%Commodities5.7%Global IG3.1%Gold-0.7%Cash1.8%Global HY30.7%Global HY12.4%REITS10.7%S&P 50015.8%US Treasuries9.1%Global HY-27.9%S&P 50026.5%Global HY13.9%S&P 5002.1% S&P 50016.0%Global IG0.1%Gold0.1%REITS-3.4%Gold8.6%REITS11.5%Global IG-3.4%MSCI EM18.6%MSCI EAFE8.4%Global HY1.4%Global HY-13.2%Cash3.9%Gold-5.4%MSCI EM-2.4%Global HY-1.1%S&P 50028.7%S&P 50010.9%S&P 5004.9%Global HY13.5%Global IG7.3%S&P 500-37.0%Commodities26.1%Commodities13.3%Cash0.1%Global IG11.1%Cash0.1%Cash0.0%Global IG-3.8%Global IG4.3%Global HY10.2%REITS-3.9%Gold17.9%US Treasuries8.2%Cash0.0%MSCI EAFE-13.9%Global HY3.9%Global HY-5.8%REITS-7.8%REITS-2.4%Gold19.9%Global IG9.4%Cash3.1%Global IG7.2%S&P 5005.5%Commodities-42.6%Gold25.0%MSCI EAFE8.2%Commodities-2.6%Gold8.3%Commodities-2.1%Global HY-0.1%Global HY-4.2%REITS1.3%Global IG9.3%S&P 500-4.3%Global HY13.7%Global HY8.0%MSCI EM-2.3%Global IG-16.7%MSCI EM1.1%S&P 500-9.1%S&P 500-11.9%MSCI EM-6.0%Global IG14.5%Gold4.6%US Treasuries2.8%Cash4.9%Cash5.0%MSCI EAFE-43.1%Global IG19.2%Global IG6.0%REITS-9.4%US Treasuries2.2%MSCI EM-2.3%MSCI EM-1.8%Gold-10.4%US Treasuries1.1%Commodities7.6%Commodities-13.1%Global IG 11.4%Cash0.5%US Treasuries-2.4%S&P 500-18.1%Global IG-0.8%MSCI EAFE-14.0%MSCI EAFE-21.2%MSCI EAFE-15.7%US Treasuries2.3%US Treasuries3.5%Global HY1.5%US Treasuries3.1%Global HY3.0%REITS-50.2%Cash0.2%US Treasuries5.9%MSCI EAFE-11.7%Cash0.1%US Treasuries-3.3%MSCI EAFE-4.5%MSCI EM-14.9%MSCI EAFE1.0%US Treasuries2.4%MSCI EAFE-13.2%US Treasuries7.0%REITS-4.4%Global IG-3.0%MSCI EM-19.8%US Treasuries-3.3%MSCI EM-30.6%Commodities-21.4%S&P 500-22.1%Cash1.1%Cash1.3%Global IG-3.0%Commodities-0.2%REITS-10.0%MSCI EM-53.2%US Treasuries-3.7%Cash0.1%MSCI EM-18.2%Commodities-0.3%Gold-27.3%Commodities-29.3%Commodities-29.4%Cash0.3%Cash0.8%MSCI EM-14.3%Cash2.2%Commodities-15.0%Gold-4.1%REITS-25.2%REITS-7.0%
  9. The Flow Show| 19 October 20239BofARules & ToolsTable 4:BofA Global Investment Strategy Proprietary IndicatorsCurrent reading of all BofA Global Investment Strategy Proprietary IndicatorsProprietary IndicatorsCategoryCurrent readingCurrent signalDuration of signalContrarianBofA Bull & Bear Indicator (B&B)Contrarian1.9Buy1-3 monthsSell when investor sentiment > 8.0; Buy when investor sentiment < 2.0BofA Global FMS Cash IndicatorContrarian5.3%Buy4 weeksBuy when cash at or above 5.0%; Sell when cash at or below 4.0%BofA Global Breadth RuleContrarian-62.2%Neutral3 monthsBuy when net 88% of markets in MSCI ACWI trading below 200-day moving & 50-day moving averagesBofA Global FlowTrading RuleContrarian-1.1%Buy8 weeksBuy when outflows from global equities & HY > 1.0% AUM over 4wks; Sell when inflows > 1.0% AUM over 4wksBofA EM Flow Trading RuleContrarian-0.3%Neutral8 weeksBuy when outflows from EM equities > 3.0% of AUM; Sell when inflows > 1.5% of AUM over 4 wksMacroBofA Global EPS Growth ModelMacro-17%EPS growth declining6-12 monthsModel indicates trend in year-on-year change in 12-month forward global EPS growth.Source:BofA Global Investment Strategy/ For a guide to our trading modelsBofA GLOBAL RESEARCHBofABull & Bear Indicator (B&B)Our BofA Bull & Bear Indicator is at 1.9, signal is Buy.Chart22: BofA Bull & Bear IndicatorDrops to 1.9from 2.2Source:BofA Global Investment StrategyBofA GLOBAL RESEARCHTable 5: Table 5: BofAB&B IndicatorBofA Bull & Bear current component readingsComponentsPercentileSentimentHF positioning81%BullishCredit mkt technicals38%NeutralEquity market breadth16%BearishEquity flows40%NeutralBond flows10%BearishLO positioning22%NeutralSource:BofA Global Investment Strategy, Bloomberg, EPFR Global, Lipper FMI, Global FMS, CFTC, MSCIBofA GLOBAL RESEARCHChart23: BofABull & BearIndicatorBofA Bull & Bear Indicator since 2002Source:BofAGlobal Investment Strategy, EPFR Global, FMS, CFTC, MSCIBofA GLOBAL RESEARCHDisclaimer: The indicators identified above as the BofA Bull & Bear Indicator, MVP Model, BofA Global Breadth Rule, BofA EM Flow Trading Rule, BofA Global Flow Trading Rule, BofA Global FMS Macro Indicator, BofA Global FMS Cash Rule, Global Wave, Sell-Side Indicator, and Global Financial Stress Indicator are intended to be indicative metrics only and may not be used for reference purposes or as a measure of performance for any financial instrument or contract, or otherwise relied upon by third parties for any other purpose, without the prior written consent of BofA Global Research. These indicators were not created to act as a benchmark.The analysis of the BofA Bull & Bear Indicator in this report is back-tested and does not represent the actual performance of any account or fund.Back-tested performance depicts the hypothetical back-tested performance of a particular strategy over the time period indicated.In future periods, market and economic conditions will differ and the same strategy will not necessarily produce the same results.No representation is being made that any actual portfolio is likely to have achieved returns similar to those shown herein.In fact, there are frequently sharp differences between back-tested returns and the actual results realized in theactual management of a portfolio.Back-tested performance results are created by applying an investment strategy or methodology to historical data and attempts to give an indication as to how a strategy might have performed during a certain period in thepast if the product had been in existence during such time. Back-tested results have inherent limitations including the fact that they are calculated with the full benefit of hindsight, which allows the security selection methodology to be adjusted to maximize the returns. Further, the results shown do not reflect actual trading or the impact that material economic and market factors might have had on a portfolio manager's decision-making under actual circumstances. Back-tested returns do not reflect advisory fees, trading costs, or other fees or expenses. Extreme BearishExtreme Bullish46010Buy28SellLATEST7.7Feb'210.01.9Jun'22& Oct'22ExtremeBullExtremeBear012345678910'02'04'06'08'10'12'14'16'18'20'22'24BacktestActual
  10. 10The Flow Show| 19 October 20232023Cross-Asset Winners & LosersTable6: 2023YTD ranked returnsYear-to-date ranked cross asset returnsRanked Returns, USD-terms (2023)AssetsEquitiesSectorsFixed IncomeFX vs. USDCommodities1US Equities14.2%1Greece Equities30.8%1ACWI Info Tech29.7%1CCC HY10.8%1Bitcoin70.5%1WTI Crude Oil10.0%2Japan Equities10.3%2Italy Equities21.8%2ACWI Telecoms27.1%2US Corp HY4.4%2Mexican peso6.9%2Iron Ore7.4%3Oil10.0%3Spain Equities15.0%3ACWI Cons. Discretionary14.4%3European HY4.1%3Brazilian real4.4%3Gold7.1%4Gold7.1%4US Equities14.2%4ACWI Energy6.8%43-Month Treasury Bills3.9%4Swiss franc2.8%4Brent Crude Oil6.5%5Europe Equities7.0%5Taiwan Equities13.6%5ACWI Industrials4.1%52-year Treasury1.0%5British pound0.5%5Commodities5.7%6UK Equities6.2%6Mexico Equities10.5%6ACWI Financials-0.3%6EM Corporate0.1%6Indian rupee-0.6%6Silver-3.9%7High Yield Bonds3.9%7Japan Equities10.3%7ACWI Banks-2.7%7BBB IG-0.8%7Indonesian rupiah-1.0%7Copper-5.2%8US Dollar2.9%8Brazil Equities10.0%8ACWI Healthcare-3.2%8US Corp IG-1.4%8Canadian dollar-1.2%8Platinum-17.6%9EM Equities1.2%9India Equities8.3%9ACWI Materials-3.5%9EM Sovereign-1.4%9Euro-1.6%10Investment Grade Bonds-0.7%10Korea Equities7.8%10ACWI BioTechnology-4.7%10TIPS-1.8%10Singapore dollar-2.5%11EM Sovereign Bonds-1.4%11France Equities7.3%11ACWI Consumer Staples-5.7%11German Govt-3.0%11Taiwanese dollar-4.9%12Pacific Rim xJapan-5.2%12Germany Equities6.7%12ACWI Real Estate-10.1%12Treasury Master-3.3%12Swedish krona-5.4%13Government Bonds-5.4%13UK Equities6.2%13ACWI Utilities-12.0%13US Mortgage Master-4.8%13Chinese renminbi-5.7%14Industrial Metals-9.0%14Switzerland Equities5.4%14UK Govt-5.1%14Korean won-6.2%15Canada Equities3.0%15Non-US IG Government-7.1%15Australian dollar-7.0%16Turkey Equities-1.0%16Japan Govt-12.8%16NZ dollar-7.8%17Australia Equities-1.2%1730-year Treasury-13.6%17South African rand-10.3%18Singapore Equities-1.3%18Norwegian krone-11.2%19Portugal Equities-8.5%19Japanese yen-12.5%20S. Africa Equities-9.0%20Turkish lira-33.2%21China Equities-9.1%22Hong Kong Equities-17.2%Source:BofA Global Investment Strategy, Bloomberg, as of 18Oct 2023.BofA GLOBAL RESEARCHTable7: The Overbought & OversoldRanked deviation from 200-day moving averages in US dollar termsRanked Deviation from 200-Day Moving Average, USD-terms (as of18Oct’23)AssetsEquitiesSectorsFixed IncomeFX vs. USDCommodities1Oil13.4%1India Equities6.7%1ACWI Energy7.7%1CCC HY2.0%1Swiss franc0.3%1Natural Gas18.8%2US Dollar3.2%2Turkey Equities5.0%2ACWI Telecoms5.4%23-Month Treasury Bills1.9%2Russian ruble0.0%2WTI Crude Oil13.4%3US Equities2.4%3US Equities2.4%3ACWI Info Tech4.2%3European HY1.1%3Indian rupee-1.0%3Brent Crude Oil11.0%4Gold0.9%4Brazil Equities2.0%4ACWI BioTechnology-0.9%42-year Treasury0.1%4Brazilian real-1.1%4Iron Ore3.4%5Japan Equities0.5%5Italy Equities1.7%5ACWI Cons. Discretionary-1.7%5US Corp HY-0.3%5Canadian dollar-1.8%5Gold1.2%6High Yield Bonds-0.6%6Greece Equities0.7%6ACWI Financials-2.0%6EM Corporate-2.1%6Singapore dollar-2.2%6Silver-1.2%7UK Equities-1.3%7Japan Equities0.5%7ACWI Healthcare-2.1%7Japan Govt-2.2%7British pound-2.4%7Copper-7.2%8EM Equities-3.3%8Russia Equities0.0%8ACWI Banks-3.1%8German Govt-2.5%8Euro-2.6%8Platinum-9.3%9Investment Grade Bonds-3.5%9UK Equities-1.3%9ACWI Real Estate-3.1%9TIPS-3.4%9Mexican peso-2.7%10EM Sov Bonds-3.8%10Taiwan Equities-1.4%10ACWI Industrials-3.5%10BBB IG-3.5%10South African rand-2.8%11Europe Equities-3.9%11Spain Equities-1.7%11ACWI Materials-6.3%11EM Sovereign-3.8%11Korean won-3.2%12Government Bonds-5.9%12Canada Equities-3.1%12ACWI Consumer Staples-6.7%12US Corp IG-3.8%12Chinese renminbi-3.5%13Pacific Rim xJapan-6.1%13Switzerland Equities-3.6%13ACWI Utilities-8.9%13UK Govt-4.4%13Swedish krona-3.6%14Industrial Metals-6.4%14Korea Equities-3.7%14Treasury Master-4.5%14Indonesian rupiah-3.9%15Australia Equities-4.3%15US Mortgage Master-6.0%15Taiwanese dollar-3.9%16Singapore Equities-4.7%16Non-US IG Government-7.0%16Norwegian krone-4.7%17S. Africa Equities-6.3%1730-year Treasury-14.2%17Australian dollar-4.8%18France Equities-6.4%18NZ dollar-4.8%19Germany Equities-6.9%19Japanese yen-7.2%20China Equities-8.7%20Turkish lira-18.9%21Portugal Equities-9.1%22Mexico Equities-9.5%23Hong Kong Equities-11.5%Source:BofA Global Investment Strategy, Bloomberg, as of 18Oct 2023.BofA GLOBAL RESEARCH
  11. The Flow Show| 19 October 202311AcronymsFMS –Fund Manager SurveyGWIM –Global Wealth and Investment ManagementYCC –Yield Curve ControlQE –Quantitative EasingQT–Quantitative Tightening S&L –Savings & LoanMMF –Money Market FundLTCM -Long-Term Capital ManagementFCIs–Financial conditions indicesAUM –Assets Under ManagementUBI –Universal Basic IncomeDisclosuresImportant DisclosuresFUNDAMENTAL EQUITY OPINION KEY: Opinions include a Volatility Risk Rating, an Investment Rating and an Income Rating. VOLATILITY RISK RATINGS, indicators of potential price fluctuation, are: A -Low, B -Medium and C -High. INVESTMENT RATINGS reflect the analyst’s assessment of both a stock’s absolute total return potential as well as its attractiveness for investment relative to other stocks within its Coverage Cluster (defined below). Our investment ratings are: 1 -Buy stocks are expected to have a total return of at least 10% and are the most attractive stocks in the coverage cluster; 2 -Neutral stocks are expected to remain flat or increase in value and are less attractive than Buy rated stocks and 3 -Underperform stocks are the least attractive stocks in a coverage cluster. An investment rating of 6 (No Rating) indicates that a stock is no longer trading on the basis of fundamentals. Analysts assign investment ratings considering, among other things, the 0-12 month total return expectation for a stock and the firm’s guidelines for ratings dispersions (shown in the table below). The current price objective for a stock should be referenced to better understand the total return expectation at any given time. The price objective reflects the analyst’s view of the potential price appreciation (depreciation).Investment ratingTotal return expectation (within 12-month period of date of initial rating)Ratings dispersion guidelines for coverage clusterR1Buy≥10%≤70%Neutral≥0%≤30%UnderperformN/A≥20%R1Ratings dispersions may vary from time to time where BofA Global Research believes it better reflects the investment prospects of stocks in a Coverage Cluster.INCOME RATINGS, indicators of potential cash dividends, are: 7-same/higher (dividend considered to be secure), 8-same/lower (dividend not considered to be secure) and 9-pays no cash dividend.Coverage Clusteris comprised of stocks covered by a single analyst or two or more analysts sharing a common industry, sector, region or other classification(s). A stock’s coverage cluster is included in the most recent BofA Global Research report referencing the stock.Due to the nature of strategic analysis, the issuers or securities recommended or discussed in this report are not continuously followed. Accordingly, investors must regard this report as providing stand-alone analysis and should not expect continuing analysis or additional reports relating to such issuers and/or securities.BofA Global Research personnel (including the analyst(s) responsible for this report) receive compensation based upon, among other factors, the overall profitability of Bank of America Corporation, including profits derived from investment banking. 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Neither the information nor any opinion expressed constitutes an offer or an invitation to make an offer, to buy or sell any securities or other financial instrument or any derivative related to such securities or instruments (e.g., options, futures, warrants, and contracts for differences). This document is not intended to providepersonal investment advice and it does not take into account the specific investment objectives, financial situation and the particular needs of, and is not directed to, any specific person(s). This document and its content do not constitute, and should not be considered to constitute, investment advice for purposes of ERISA, the US tax code, the Investment Advisers Act or otherwise. Investors should seek financial advice regarding the appropriateness of investing in financial instruments and implementing investment strategies discussed or recommended in this document and should understand that statements regarding future prospects may not be realized. Any decision to purchase or subscribe for securities in any offering must be based solely on existing public information on such security or the information in the prospectus or other offering document issued in connection with such offering, and not on this document.Securities and other financial instruments referred to herein, or recommended, offered or sold by BofA Securities, are not insured by the Federal Deposit Insurance Corporation and are not deposits or other obligations of any insured depository institution (including, Bank of America, N.A.). Investments in general and, derivatives, in particular, involve numerous risks, including, among others, market risk, counterparty default risk and liquidity risk. No security, financial instrument or derivative is suitable for all investors. Digital assets are extremely speculative, volatile and are largely unregulated. 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Short-term trading ideas and recommendations are different from and do not affect a stock's fundamental equity rating, which reflects both a longer term total return expectation and attractiveness for investment relative to other stocks within its Coverage Cluster. Short-term trading ideas and recommendations may be more or less positive than a stock's fundamental equity rating.BofA Securities is aware that the implementation of the ideas expressed in this report may depend upon an investor's ability to "short" securities or other financial instruments and that such action may be limited by regulations prohibiting or restricting "shortselling" in many jurisdictions. Investors are urged to seek advice regarding the applicability of such regulations prior to executing any short idea contained in this report.Foreign currency rates of exchange may adversely affect the value, price or income of any security or financial instrument mentioned herein. 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BofAS is and continues to act solely as a broker-dealer in connection with the execution of any transactions, including transactions in any securities referred to herein.Copyright and General Information: Copyright 2023 Bank of America Corporation. All rights reserved. iQdatabase® is a registered service mark of Bank of AmericaCorporation. This information is prepared for the use of BofA Securities clients and may not be redistributed, retransmitted or disclosed, in whole or in part, or in any form or manner, without the express written consent of BofA Securities. BofA Global Research information is distributed simultaneously to internal andclient websites and other portals by BofA Securities and is not publicly-available material. Any unauthorized use or disclosure
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