First Glances - Nordea, Partners Group; Standard Life Preview; Flows & Liquidity - Deleveraging

Research evidence excerpt

First Glances - Nordea, Partners Group; Standard Life Preview; Flows & Liquidity - Deleveraging

raged equity ETFs can be self-correcting due to convexity: if excess leverage creates higher

frequency of VaR shocks, a volatile range-trading in equities would over time shrink their AUM. Indeed, after peaking in June,

the AUM of leveraged memory stock ETFs has shrunk by 34% while that of all leveraged equity ETFs has shrunk by 13%. That

said, relative to the market cap of underlying stocks, the decline looks more modest for both the AUM of leveraged memory stock

ETFs and of all equity ETFs. In our mind it will perhaps take another three months or so of volatile range-trading in equities

before the leveraged equity ETF AUM ratios to the market cap of underlying stocks return to pre-April levels for either memory

stocks or all equity ETFs. Link to note here.

Newsflow and Away from us

• Mahmood set to be named UK Chancellor by Burnham (FT) Flagging latest UK banks note from Sheel with a more positive

view as political risk abates here.

• Downing Street has called in some of the biggest private equity firms to ask why they’re not listing British portfolio

companies in the UK (FT)

US & Asia wrap

SPX was up 20 bps from the European close to finish 38bps higher on the day (7,572). The index opened higher and then sold off,

moving into negative territory, to then rally after 3 hours of trading, holding gains into the close. Software vs semis +2.7% and L/

S momentum -2.5%. Overall volumes tracked 24% below 30 dma as treasuries rallied with both gold and USD lower. Consumer

discretionary, communication services and financials were the best sectors with energy, utilities and materials the worst. JPM cash

was better to buy with tech, financials and healthcare leading the skew.