J.P. 摩根-全球-量化策略-MSCI期货展望-2019.6.10-22页.pdfVIP免费

GlobalQuantitative&DerivativesStrategy10June2019MSCIFuturesRolloverOutlookJune-September2019GlobalQuantitativeandDerivativesStrategyBramKaplan,CFAAC(1-212)272-1215bram.kaplan@jpmorgan.comJ.P.MorganSecuritiesLLCYukunZhangAC(852)2800-5148yukun.zhang@jpmorgan.comJ.P.MorganSecurities(AsiaPacific)Limited/J.P.MorganBroking(HongKong)LimitedDavideSilvestrini(44-20)7134-4082davide.silvestrini@jpmorgan.comJ.P.MorganSecuritiesplcMarkoKolanovic,PhD(1-212)622-3677marko.kolanovic@jpmorgan.comJ.P.MorganSecuritiesLLCTonySKLee(852)2800-8857tony.sk.lee@jpmorgan.comJ.P.MorganSecurities(AsiaPacific)Limited/J.P.MorganBroking(HongKong)LimitedSeepage19foranalystcertificationandimportantdisclosures,includingnon-USanalystdisclosures.J.P.Morgandoesandseekstodobusinesswithcompaniescoveredinitsresearchreports.Asaresult,investorsshouldbeawarethatthefirmmayhaveaconflictofinterestthatcouldaffecttheobjectivityofthisreport.Investorsshouldconsiderthisreportasonlyasinglefactorinmakingtheirinvestmentdecision.www.jpmorganmarkets.comTheMSCIEMrollistradingverycheaptofairvalue,nearitscheapestrollcostoverthepast5years.PositioninginEMfuturesappearstohavedeterioratedsignificantlythisquarter,sowebelievetheEMrollisslightlybiasedtowardscheapeningintoexpiry;however,muchofthisdeteriorationinpositioningmayalreadybepricedinandtheextentoffurthercheapeningcouldbelimited.TheEMrollfacesbinaryrisksfromtradeandtheFed,asdiscussedinourUSRollOutlook,andcanmoveonmajornewsoneitherfront.TheEMrollalsofacesriskduetodividendconcentrationthisquarter,withmostofthesedividendscomingfromcompaniesinChinaandTaiwan.TheMSCIEAFErollistradingcheaptofairvalue;however,therollhasbarelybeguntotradeandopeninterestontheSeptemberfuturesisclosetozero,sotherecouldbeasizablepriceadjustmentoncetherollspreadbeginsactivelytradinglaterthisweek.Investorpositioningininternationaldevelopedmarketequitiesappearslittlechangedtoslightlyworseoverthepastquarter.Wethusbelievetherollpositioningisneutraltoslightlybiasedshort,andtherollwillmostlikelyberelative...