Fra i vari report, studi ed articoli che leggiamo per voi, vi segnaliamo questo report di Goldman sull'EurUsd molto interessante che conferma la nostra idea sull'argomento.
1. The steady move lower in EUR/$ in recent months has been accompanied by building anxiety over speculative short positioning, which on some metrics is now nearly as elevated as in 2011/12 during the height of the Euro zone crisis. In our latest FX Views, we show that speculative Euro shorts actually look fairly modest if you control for the fact that foreign portfolio inflows have been very strong since mid-2012 (when ECB President Draghi made his now famous "whatever it takes" speech). As such, we do not think that speculative Euro shorts are currently sending the kind of contrarian signal they did two years ago, before the OMT came into being. We also make a second point, which is that the focus on foreign portfolio inflows into the Euro zone is distracting from perhaps the more important story: what Euro zone residents are doing in terms of sending money abroad. As it happens, these outflows have increased sharply in today's data through June, likely in part due to continued ECB easing that is driving Euro zone investors to seek higher yields abroad. Overall, we see the picture from this analysis as supportive of further EUR/$ downside, in line with our forecast.
2. As EUR/$ has continued to trend lower in recent months, anxiety has built over the speculative positioning, which on some metrics is nearly as stretched as back in 2011/12. Exhibit 1 shows CFTC Commitment of Traders (CoT) data on speculative (non-commercial) long EUR/$ positioning, with the black line giving the outright level and the blue line giving numbers in percent of open interest. In absolute terms, speculative Euro shorts were -$21.1 bn (as of August 12), the most stretched this position has been since July 2012 (the month of the "whatever it takes" speech). In percent of open interest, speculative Euro shorts are now -33.5%, also sizeable compared to a peak short of
-54.3% back in January 2012. Even though the CoT data represent only around 5% of the foreign exchange market by turnover, we generally think they mirror broader sentiment quite well and give a good gauge of positioning. This has however not been the case for EUR/$ recently, where the large rebound in foreign portfolio inflows since July 2012 means that the speculative Euro short is now nothing like it was back in 2011/12. Exhibit 2 shows gross foreign portfolio flows into the Euro zone broken into equity and bond inflows (12-month averages), with data through June reported earlier today. The inception of the OMT clearly caused a large surge in inflows.
3. We think the large rebound in foreign inflows means that the CoT data likely overstate speculative Euro shorts, potentially by a large margin. This is because scaling by open interest, the typical way of looking at the CoT data, does not control for the large rebound in flows to the Euro zone, merely for the level of transaction in currency futures on the CME. If instead we scale speculative EUR/$ short positioning from the CoT by the 12-month rolling average of gross foreign portfolio inflows, Exhibit 3 shows that the picture is very different. Speculative Euro shorts were extremely large in the first half of 2012 (CoT shorts were large versus portfolio inflows which were almost zero) and are now nowhere near those levels. In fact, on this basis, speculative Euro shorts are only around 20% of gross portfolio inflows over the last 12 months, just around half the level they were in May 2010 when Euro zone fears were growing but not yet systemic. We in no way claim that our measure of positioning is the "right" one. In fact, there are a number of obvious issues with it, including the fact that we are dividing a stock by a flow and the fact that it is unclear how much of foreign portfolio inflows are FX hedged. However, we think our measure has intuitive appeal, in particular since it (we think) correctly distinguishes the moderate size of current speculative Euro shorts from very large shorts in 2011/12. The stock versus flow issue is less of a problem if you believe, as we do, that it is generally the "freshest" inflow that is the most skittish and likely to FX hedge. Overall, this analysis suggests that speculative short EUR/$ positioning is now nowhere near where it was back in 2011/12 and actually might be quite moderate, once the large rebound in foreign inflows is factored in.
4. With all the focus on foreign inflows into the Euro zone, we think a potentially more important thing is getting overlooked: what Euro zone residents are doing in terms of sending money abroad. Exhibit 4 shows gross portfolio outflows by Euro zone residents, broken down again into equity and bond flows (12-month averages). The notable thing is that outflows into foreign bonds have picked up quite sharply, potentially as ECB easing is driving more Euro zone residents to search for yield abroad. The potential for these outflows to keep growing seems to us much greater than for foreign portfolio inflows to keep growing. In this sense, we agree with ECB President Draghi, who at the last ECB press conference noted that the "fundamentals for a weaker exchange rate are today much better than they were two or three months ago." Overall, between Euro short positioning that is arguably moderate and the changing behavior of Euro zone residents, we continue to see a picture that is supportive of further EUR/$ downside, in line with our forecast.
