BofA - Hartnett - The Flow Show The Hard Hedge_20240516pdf
BofA - Hartnett - The Flow Show The Hard Hedge_20240516pdf
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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 ShowThe Hard HedgeScores on the Doors: crypto 33.5%, gold 15.0%, oil 10.8%, stocks 10.2%, commodities 9.9%, US dollar 3.1%, HY bonds 2.3%, cash 2.0%, IG -0.6%, govt bonds -3.9% YTD. The Biggest Picture: total return of 30-year US Treasury -45% since Apr’20 (Chart 2).Tale of the Tape: ‘90s/’00s/’10s US was a “2+2=4”economy...2% growth, 2% inflation, 4% nominal GDP growth on average; past fouryears US has been “2+4=6”economy, 2% growth, 4% inflation & 6% nominal GDP; strong nominal growth catalyst for big bear market in bonds & “ABB”(Anything But Bonds) bull market in credit, stocks, commodities. The Price is Right: 3Ps of Positioning, Policy, Profits argue for reversal of ABB trade in H2’24; 30-year US Treasury best "hedge" for weaker nominal growth; surprise rally in yields supportive for"leverage plays" China, UK, REITs, utilities...Chart2: 45% loss since April 2020, greatest four-year loss in over 100years30-year US Treasury Total Return Index since 1919Source:BofA Global Investment Strategy, GFD FinaeonBofA GLOBAL RESEARCHMore on page 2...Jul'2005000100001500020000'19'29'39'49'59'69'79'89'99'09'19'29US 30Y Treasury total return index since 1919.16 May 2024Investment 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.comChart 1: BofA Bull & Bear IndicatorRises to 5.6from 5.4Source:BofA Global Investment Strategy The 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 BullishExtreme BearishBuySell46010285.6Accessible version
  2. 2The Flow Show| 16 May 2024Weekly Flows:$11.9bn to stocks, $11.7bn to bonds, $0.2bn to crypto, $0.0bn to gold, $3.7bn from cash. Flows to Know: •IG bonds: smallest inflow of past 21 weeks ($3.3bn);•TIPS: biggest outflow in nineweeks ($0.7bn);•Tech: outflows past twoweeks ($0.9bn last week), first back-to-back outflow since Apr'23 (Chart10);•Utilities: largest inflow since Nov'22 ($0.7bn –Chart11);•Infrastructure: largest inflow since Jun'22 ($0.4bn –Chart12);•Europe: inflows past threeweeks, and largest since Feb'23 ($1.1bn –Chart13).BofA Private Clients: $3.5tn AUM...61.6% stocks, 20.2% bonds, 11.4% cash; note at 61.6%,private clients currently 1.0sd overweight stocks vs history since 2005(compare with institutional clients which are 0.6sd overweight stocks accordingto BofA Global FMS); note also GWIM stock positions show allocation to “Magnificent 7”currently 2.5ppt above 30% weighting of Mag 7in S&P500; past week largest GWIM selling of stocks in 10 weeks, largest inflow (short duration) bonds in 13 weeks; past fourweeks buying MLP, bank loan, REIT ETFs and selling TIPS, HY,and utilities ETFs.BofA Bull & Bear Indicator: up to 5.6from 5.4 on lower FMS cash (4.0%), lower SPX hedging, strong global equity index breadth. Big Picture2020s Secular Views: •Bonds in early secular bear market...driven by debt, deficits, reverse-globalization, inflation; secular bear over only once electorate on Main St (elections) & Wall St (debt ratings, failed auctions) vote for less fiscal excess;•Commodities in early secular bull...driven by debt, deficits, reverse-globalization (note US tariffs up from 4% to 8-10% past 15 years, highest since 1971), inflation &AI & climate change;•Stocks (US) in late secular bull...no change in leadership since '09, no recession to change it, valuations inconsistent with new bull; •Gold in early secular bull...alternative to US dollar, like crypto = hedge against “bear market in institutional trust”.Cyclical Reversal in ABB: dogmatic “ABC”(Anything But China) trade reversed in H1; reasons for ABB to reverse in H2’24...•Positioning...investors very long cash, IG bonds, stocks/tech, some long 2-year UST to play Fed cuts, but noone long 30-year (annualizing 15% loss in '24 –Charts 3 & 4) on debt dynamics/concernslowdown = more fiscal excess; lower long yields v obvious “pain trade”in H2;•Profits...credit & stocks reacting bullishly to “soft landing”odds on rise again; but "hard landing" odds too low (BofA FMS says 11%) given stagnation of real retail sales (Chart 5), stalling of global PMI upturn, labor market shift from “unambiguously strong”to “ambiguously strong”to “ambiguous”(small business hiring plans lowest since 2020, job openings to unemployed lowest since Aug’21, unemployment rate highest since Jan’22...); 30-year Treasury best cyclical hedge for hard landing;
  3. The Flow Show| 16 May 20243•Policy...US CPI on course to be 3¾-4½% by Nov US Presidential election (Chart 6); while Fed wants to cut at first opportunity, inflation in ’24 has stopped Fed from cutting, extending tight money policy (note housing reversing again); and on fiscal policy, true US government spent $6.3bn past 12 months (Chart 7 –makes US government 3rdlargest economy in world, and 3rdlargest economy in world growing >6% YoY), but 4thyear of US presidential cycle always strongest for government spending (big slowdown occurs 1styear new Presidential cycle –Chart8); investors recognize fiscal stimulus “as good as it gets”(Chart 9); at margin monetary easier, fiscal tighter next 12 months...positive bonds. Chart3: 30-year UST on track for 3rdworst annual return since 1919US 30-yeargovernment bond returns (annual)Source:BofA Global Investment Strategy, Bloomberg, GFD Finaeon. Estimatefor 2024 is annualized as of 15 May’24.BofA GLOBAL RESEARCHChart4: “Noone’slong the 30-year US Treasury”US 30-year Treasury yield % and 200-day moving averageSource:BofA Global Investment Strategy, BloombergBofA GLOBAL RESEARCHChart5: Real retail sales flat past threeyearsUS real retail sales ($bn, adjusted for CPI)Source:BofA Global Investment Strategy, Bloomberg, HaverBofA GLOBAL RESEARCHChart6: US inflation on course to be 3¾-4½% by Nov’23US headline CPI YoY projections based on MoM printsSource:BofA Global Investment Strategy, BloombergBofA GLOBAL RESEARCH193119411958196719731987199419992009201320222024+1stdev-1stdev-40%-30%-20%-10%0%10%20%30%40%50%19191929193919491959196919791989199920092019US 30Y Govt Bond Returns1.522.533.544.555.5Dec-20Apr-21Aug-21Dec-21Apr-22Aug-22Dec-22Apr-23Aug-23Dec-23Apr-2430yr US Treasury yield (%)200dmaOct'224.38%Dec'211.67%Oct'235.1%Apr'233.55%May'244.45%7595115135155175195215235255'67'72'77'82'87'92'97'02'07'12'17'22+31%+42%+16%+37%+31%+17%+21%2.4%3.1%3.8%4.6%0%1%2%3%4%5%6%7%8%9%10%Jan-20Sep-20May-21Jan-22Sep-22May-23Jan-24Sep-240.1% MoM0.2% MoM0.3% MoM (avg past 6M)0.4% MoM (avg past 3M)8.9%Jun'222% inflation target
  4. 4The Flow Show| 16 May 2024Chart7: US government = world’s 3rdlargest economyUS government total outlay ($ bn, 12-month cumulative)Source:BofA Global Investment Strategy, HaverBofA GLOBAL RESEARCHChart8: 4thyear of US presidential cycle tends to see big spending boostYoY change in US govt spending in US presidential cycle since 1959Source:BofA Global Investment Strategy, Haver. *average YoYgrowth since 1959 outside US recessions.BofA GLOBAL RESEARCHChart9: FMS investors indicate ‘peak’ fiscal stimulusBofA Global FMS % saying global fiscal policy is “too stimulative”Source:BofA Global Fund ManagerSurveyBofA GLOBAL RESEARCHChart10: 1stback-to-back tech outflowssince Apr’23Tech fund flows: weekly vs 4-week moving average ($ bn)Source:BofA Global Investment Strategy, EPFRBofA GLOBAL RESEARCHChart11: Largest inflow to utilities since Nov’22Utility fund flows: weekly vs 4-week moving average ($ bn)Source:BofA Global Investment Strategy, EPFRBofA GLOBAL RESEARCHChart12: Largest inflow to infrastructure since Jun’22Infrastructure fund flows: weekly vs 4-week moving average ($ bn)Source:BofA Global Investment Strategy, EPFRBofA GLOBAL RESEARCH1500250035004500550065007500'90'95'00'05'10'15'20'25US government total outlays ($ bn)Jul'23$6.7tnMar'21$7.6tnApr'24$6.3tn6.3%6.1%6.4%9.8%5.6%5.3%6.5%10.5%0%4%8%12%Y1Y2Y3Y4US government spending YoY (%)Normalized spending YoY growth*0102030405060'08'09'10'11'12'13'14'15'16'17'18'19'20'21'22'23'24FMS % saying fiscal policy "too stimulative"May'10Apr'18Nov'21May'24-3-11357911'17'18'19'20'21'22'23'24Tech flows ($bn)Tech flows 4-week MA ($bn)-1.5-1.0-0.50.00.51.01.5'17'18'19'20'21'22'23'24Utilities flows ($bn)Utilities flows 4-week MA ($bn)-0.8-0.6-0.4-0.20.00.20.40.60.81.01.2'17'18'19'20'21'22'23'24Infrastructure flows ($bn)Infrastructure flows 4-week MA ($bn)
  5. The Flow Show| 16 May 20245Asset Class Flows (Table 1)Equities: $11.9bn inflow ($19.5bn inflow to ETFs, $7.6bn outflow from mutual funds)Bonds: inflows past 21weeks ($11.7bn)Precious metals: inflows resume($43mn)Table 1: Cumulative YTD flows by asset classGlobal flows by asset class, $mnWk % AUMYTDYTD %AUMEquities0.1%167,5210.9%ETFs0.2%336,6343.6%LO-0.1%-169,121-1.8%Bonds0.2%229,1573.2%Commodities0.0%3,3690.9%Money-market0.0%210,0962.4%*week of 5/15/2024: Source:EPFR GlobalBofA GLOBAL RESEARCHFixed Income Flows(Chart15)IG Bondinflows past 29weeks ($3.3bn)HY Bond inflows past 2 weeks($1.9bn)EM Debtinflows resume($0.4bn)Munis inflows past 2 weeks($0.5bn)Govt/Tsyinflows past 2 weeks($4.9bn)TIPSoutflows past 2 weeks($0.7bn)Bank loaninflows past 4weeks ($0.8bn)Equity Flows (Table 2)US: inflows past 4weeks ($12.1bn)Japan:outflows resume($0.9bn)Europe: inflows past 3weeks ($1.1bn)EM: outflows past 2 weeks($2.5bn)By style: inflows US large cap($13.3bn),outflows US value($0.2bn), US growth($0.5bn),US small cap($0.6bn).By sector: inflowsutilities($0.7bn), infra ($0.4bn), financials($0.3bn), materials($0.2bn), com svs($0.2bn), consumer($0.1bn), outflows real estate($0.2bn), energy($0.5bn), tech($0.9bn),hcare($0.9bn).Table 2: DMequity inflowsoutpacing EMequity inflows YTDGlobal equity flows by region, $mnWk % AUMYTDTotal Equities0.1%167,521long-only funds-0.1%-169,121ETFs0.2%336,634Total EM-0.1%51,547Brazil-0.4%-1,675Russia0.0%-6India0.8%11,111China-0.7%44,973Total DM0.1%115,974US0.1%86,778Europe0.1%-17,962Japan-0.1%21,871International0.0%30,073Total Equities = Total EM + Total DMSource:EPFR GlobalBofA GLOBAL RESEARCHChart15: FICC inflows to bank loan, money market, HY bonds, Treasuries, IG bondsWeekly FICC flows as a % AUMSource:EPFR GlobalBofA GLOBAL RESEARCH-0.5%-0.3%-0.1%0.1%0.3%0.5%0.7%TIPSMoney-marketCommoditiesGold & SilverEM debtCorp IGCorp HYGovt/TsyBank loan
  6. 6The Flow Show| 16 May 2024BofA private client flows & allocationsChart16: Private clients boughtMLP, bank loan, REITs ETFsBofA privateclients4-weekETF flows as % of AUMSource:BofA Global investment StrategyBofA GLOBAL RESEARCHChart17: GWIM equity allocation at 62%BofA private client equity holdings as % of AUMSource:BofA Global investment StrategyBofA GLOBAL RESEARCHChart 18: GWIM debt allocation at 20%BofA private client debt holdings as % of AUMSource:BofA Global Investment StrategyBofA GLOBAL RESEARCHChart 19: GWIM cash allocation at 18%BofA private client cash holdings as % of AUMSource:BofA Global Investment StrategyBofA GLOBAL RESEARCHChart20: GWIM equity ETFs 18%, debt ETFs 14% of AUMBofA private client ETF holdings as % of AUMSource:BofA Global Investment StrategyBofA GLOBAL RESEARCHChart21: GWIM top 10 stocks for1-year SPX betadeclining1-yr S&P 500 beta for top 10 stocks held by BofA private clientsSource:BofA Global Investment StrategyBofA GLOBAL RESEARCH-2%-1%0%1%2%3%4%TIPSHYUtilitiesLow-volEnergyHealthcareStaplesEM debtFinancialsPreciousDividendCons. Disc.IndustrialsIGMaterialsTechUSValueMunicipalsGrowthJapanREITsBank loanMLPBofA 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 % AUM13.9%17.8%0%2%4%6%8%10%12%14%16%18%20%'05'07'09'11'13'15'17'19'21'23'25Debt ETFs % debt holdingsEquity ETFs % equity holdings0.600.700.800.901.001.101.201.301.401.50'08'10'12'14'16'18'20'22'24GWIM top 10 stocks, 1-year SPX beta
  7. The Flow Show| 16 May 20247The Asset Class Quilt of Total ReturnsChart22: Historical asset class performance by yearRanked cross asset returns by year since 2000Source:BofA Global Investment Strategy, Bloomberg. *2024YTDBofA GLOBAL RESEARCH2000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024*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 50026.3%Gold15.1%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%MSCI EAFE18.9%S&P 50011.7%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%Global HY13.4%Commodities9.9%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%Gold12.7%MSCI EAFE8.1%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%REITS11.3%MSCI EM6.8%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%MSCI EM10.1%Global HY2.2%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%Global IG9.5%Cash2.0%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%Cash5.1%Global IG-0.6%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 Treasuries3.9%US Treasuries-1.2%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%Commodities-3.5%REITS-2.4%
  8. 8The Flow Show| 16 May 2024BofA Rules & ToolsTable 3: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)Contrarian5.6Neutral1-3 monthsSell when investorsentiment > 8.0; Buy when investor sentiment < 2.0BofA Global FMS Cash IndicatorContrarian4.0%Neutral4 weeksBuy when cash at or above 5.0%; Sell when cash at or below 4.0%BofA Global Breadth RuleContrarian73.3%Neutral3 monthsBuy when net 88% of markets in MSCI ACWI trading below 200-day moving & 50-day moving averagesBofA Global Flow Trading RuleContrarian0.6%Neutral8 weeksBuy when outflows from global equities & HY > 1.0% AUM over 4wks; Sell when inflows > 1.0% AUM over 4wksBofA EM Flow Trading RuleContrarian-0.1%Neutral8 weeksBuy when outflows from EM equities > 3.0% of AUM; Sell when inflows > 1.5% of AUM over 4 wksMacroBofA Global EPS Growth ModelMacro6%EPS growth rising6-12 m
  9. The Flow Show| 16 May 20249Table 3:BofA Global Investment Strategy Proprietary IndicatorsCurrent reading of all BofA Global Investment Strategy Proprietary IndicatorsonthsModel 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 RESEARCHBofA Bull & Bear Indicator (B&B)Our BofA Bull & Bear Indicator is at 5.6signal is Neutral.Chart23: BofA Bull & Bear IndicatorRises to 5.6from 5.4Source:BofA Global Investment StrategyBofA GLOBAL RESEARCHTable 4: Table 5: BofAB&B IndicatorBofA Bull & Bear current component readingsComponentsPercentileSentimentHF positioning81%V BullishCredit mkt technicals78%BullishEquity market breadth66%NeutralEquity flows34%NeutralBond flows52%NeutralLO positioning47%NeutralSource:BofA Global Investment Strategy, Bloomberg, EPFR Global, Lipper FMI, Global FMS, CFTC, MSCIBofA GLOBAL RESEARCHChart24: BofABull & BearIndicatorat 5.6BofA 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 the actual 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 the past 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 materialeconomic 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 BullishExtreme BearishBuySell46010285.6LATEST0.0Oct'229.0Feb'187.5Jan'201.9Oct'23ExtremeBullExtremeBear012345678910'02'04'06'08'10'12'14'16'18'20'22'24BacktestActual
  10. 10The Flow Show| 16 May 20242024Cross-Asset Winners & LosersTable 5: 2024YTD ranked returnsYear-to-date ranked cross asset returnsRanked Returns, USD-terms (2024)AssetsEquitiesSectorsFixed IncomeFX vs. USDCommodities1Gold15.6%1TürkiyeEquities34.7%1ACWI Telecoms16.0%1CCC HY2.7%1Bitcoin57.3%1Silver22.5%2Industrial Metals15.0%2Italy Equities17.8%2ACWI Info Tech13.8%23-Month Treasury Bills2.0%2Mexican peso1.7%2Copper19.6%3US Equities11.7%3Taiwan Equities16.9%3ACWI Banks10.7%3US Corp HY1.9%3South African rand0.5%3Gold15.6%4UK Equities10.1%4Greece Equities13.6%4ACWI Industrials9.9%4EM Corporate1.8%4Indian rupee-0.3%4WTI Crude Oil9.7%5Oil9.7%5Spain Equities12.4%5ACWI Utilities9.7%5EM Sovereign1.2%5British pound-0.4%5Commodities9.4%6Europe Equities9.7%6China Equities12.4%6ACWI Financials9.6%62-year Treasury0.6%6Euro-1.4%6Platinum7.5%7EM Equities6.9%7US Equities11.7%7ACWI Energy9.2%7European HY0.5%7Chinese renminbi-1.6%7Brent Crude Oil7.4%8Japan Equities6.7%8Germany Equities10.5%8ACWI Healthcare6.6%8TIPS0.3%8Australian dollar-1.7%8Natural Gas-3.9%9US Dollar3.0%9UK Equities10.1%9ACWI Cons. Discretionary4.7%9BBB IG0.2%9Singapore dollar-1.9%10High Yield Bonds2.2%10France Equities8.8%10ACWI Consumer Staples3.9%10US Corp IG-0.1%10Canadian dollar-2.6%11Pacific Rim xJapan1.7%11India Equities7.9%11ACWI Materials2.7%11US Mortgage Master-0.9%11NZ dollar-3.1%12EM Sovereign Bonds1.2%12Singapore Equities7.3%12ACWI BioTechnology1.4%12Treasury Master-1.2%12Indonesian rupiah-3.9%13Investment Grade Bonds-0.5%13Japan Equities6.7%13ACWI Real Estate-2.7%13UK Govt-3.1%13Norwegian krone-4.7%14Government Bonds-4.0%14Canada Equities4.1%14German Govt-3.7%14Taiwanese dollar-4.9%15S. Africa Equities3.7%1530-year Treasury-6.0%15Brazilian real-5.4%16Switzerland Equities1.6%16Non-US IG Government-6.1%16Swedish krona-5.6%17Australia Equities1.3%17Japan Govt-11.5%17Korean won-5.9%18Mexico Equities0.6%18Swiss franc-6.7%19Hong Kong Equities0.1%19Turkish lira-8.3%20Korea Equities-2.2%20Japanese yen-8.9%21Portugal Equities-2.6%22Brazil Equities-9.4%Source:BofA Global Investment Strategy, Bloomberg, as of 15May 2024.BofA GLOBAL RESEARCHTable6: The Overbought & OversoldRanked deviation from 200-day moving averages in US dollar termsRanked Deviation from 200-Day Moving Average, USD-termsAssetsEquitiesSectorsFixed IncomeFX vs. USDCommodities1Industrial Metals16.7%1TürkiyeEquities21.0%1ACWI Info Tech15.3%1EM Sovereign5.4%1South African rand3.0%1Silver22.6%2Gold16.0%2Taiwan Equities19.9%2ACWI Telecoms14.8%2CCC HY5.3%2Mexican peso2.9%2Copper18.9%3UK Equities13.0%3Italy Equities18.6%3ACWI Banks14.1%3US Corp HY4.5%3Australian dollar2.6%3Gold16.4%4Europe Equities12.8%4Spain Equities16.1%4ACWI Utilities13.3%4EM Corporate4.2%4NZ dollar1.4%4Platinum15.8%5US Equities12.6%5Germany Equities13.9%5ACWI Industrials12.7%5European HY4.0%5British pound1.2%5Natural Gas-1.3%6EM Equities10.0%6Greece Equities13.6%6ACWI Financials12.3%6BBB IG3.7%6Euro0.9%6WTI Crude Oil-1.6%7Pacific Rim xJapan8.3%7UK Equities13.0%7ACWI Materials8.4%7US Corp IG3.3%7Norwegian krone0.3%7Brent Crude Oil-1.9%8Japan Equities7.1%8US Equities12.6%8ACWI Cons. Discretionary7.0%8US Mortgage Master2.7%8Singapore dollar0.3%8Iron Ore-6.4%9EM Sov Bonds5.4%9S. Africa Equities12.0%9ACWI Healthcare6.9%9UK Govt2.6%9Chinese renminbi0.1%10High Yield Bonds4.9%10China Equities11.9%10ACWI Energy6.5%10TIPS2.2%10Russian ruble0.0%11Investment Grade Bonds3.3%11France Equities11.4%11ACWI Consumer Staples5.1%113-Month Treasury Bills2.0%11Swedish krona0.0%12Government Bonds0.5%12Singapore Equities10.7%12ACWI BioTechnology4.8%12Treasury Master1.6%12Canadian dollar-0.3%13US Dollar0.0%13India Equities10.5%13ACWI Real Estate0.0%132-year Treasury1.5%13Indian rupee-0.4%14Oil-1.6%14Australia Equities8.9%14German Govt1.1%14Taiwanese dollar-1.5%15Mexico Equities8.5%1530-year Treasury0.7%15Swiss franc-1.7%16Portugal Equities8.5%16Non-US IG Government-0.4%16Indonesian rupiah-2.4%17Canada Equities8.4%17Japan Govt-1.7%17Korean won-2.6%18Japan Equities7.1%18Brazilian real-3.1%19Switzerland Equities6.5%19Japanese yen-3.8%20Hong Kong Equities5.2%20Turkish lira-8.0%21Korea Equities5.2%21Argentine peso-29.6%22Russia Equities0.0%23Brazil Equities0.0%Source:BofA Global Investment Strategy, Bloomberg, as of15May2024.BofA GLOBAL RESEARCH
  11. The Flow Show| 16 May 202411AcronymsFMS –Fund Manager SurveyECI: Employment cost indexGWIM –Global Wealth and Investment ManagementMMF –Money Market FundYCC –Yield Curve Control QE –Quantitative EasingQT –Quantitative Tightening S&L –Savings & LoanFCI –Financial conditions indexAUM –Assets Under ManagementU-rate –unemployment rateDisclosuresImportant 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 ratingsconsidering, 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 totime 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). 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