ETF Flow Report

September 2022 Flow Report

Back to ETF Flow Reports

September 2022 Flow Report

Commentary from the Desk:

In September 2022, 1/Busy Central Banks, 2/Equity and Fixed Income Down (again) and 3/ the Gilt, the Pound and the BOE Intervention

1/Busy Central Banks. The ECB’s historic 75bps hike is aimed to curb elevated inflation. More rates increase will potentially take place. The Fed increased its benchmark by 75bps for the 3rd time in a row. The short end of the US curve is under more pressure than the longer end. Sweden’s Riksbank surprised with a 100bps hike. Indonesia was also more aggressive than expected.

2/Equity and Fixed Income Down (again). The MSCI All Country World spent only 1 week in positive territory. It declined by 4.29% in September. The Bloomberg Global-Aggregate of the sovereign debt and IG, as measured by the LEGATRUU, declined 5.14%. European and US sovereign yield kept rising and both hit highs at the end of the month. The CDS on the EUR and US IG climbed by 15.16bps and 15.65bps to 134.67 and 108.02 respectively. As a measure of uncertainty, the US 10Y-2Y spread extended its decline by 14.98bps while the EU 10-2Y spread ended up by 1.2bps but remained volatile.

3/ The Gilt, the Pound and the BOE Intervention. Truss and Kwarteng tax cuts plan triggered a major sell-off on UK gilts which pressured the 30Y above 5% on September the 27th and the 28th. The BOE took emergency action to bought the longer-dated maturity and dragged the yield down below 4%. The GBPUSD hit an all-time low at 1.035 (red dotted line) on the 26th. The BOE action dragged the pound higher to 1.1096.

September Performance highlights

  • Equity Indices: NASDAQ: -10.60%, MSCI WORLD: -9.46%, SXXP: -6.57%, SX5E: -5.66%, FTSE100: -5.36%,
  • Bonds: GER 10Y: +56.7bps, US 10Y: +63.6bps, GER 2Y: +55.7bps, US 2Y: +78.6bps
  • Commodities: Gold: -2.95%, Oil: -8.84%, Natural Gas: -25.87%
  • FX: DXY: +3.14%, USDJPY: +4.16%

From a regional perspective, European equities were bought while US as well as International DM were sold. On the fixed income side, US treasuries recorded an important activity.

More specifically:

  • On equity indices: The S&P500, STOXX EUROPE 50, MSCI USA CLIMATE ESG SELECT recorded a mixed activity. The MSCI USA, the MSCI WORLD SELECT ESG RATING and the NASDQA were sold.
  • In fixed income: US TREASURIES on the 1-3Y, 7-10Y and 20Y+ were bought, while the US TREASURIES 3-7Y were sold. EU GOVIES 1-3Y and the BLOOMBERG BARCLAYS EUROAGG were bought.
Sources: Bloomberg RFQE, Tradeweb, DRW - Sep 2022

Legal Disclosure

The information provided by DRW Global Markets Ltd, DRW Europe B.V. and/or their affiliated or related companies (collectively, “DRW”), either in this publication or document, or on or through http://www.drw.com (the “Information”), is for informational purposes only and is provided without charge. DRW is not and does not act as a fiduciary or adviser, or in any similar capacity, in providing the Information, and the Information may not be relied upon as investment, financial, legal, tax, regulatory, or any other type of advice, investment recommendation or other information recommending or suggesting an investment strategy. DRW does not permit the Information to be used for the purposes of any benchmark. The Information is being distributed as part of DRW’s sales and marketing efforts. DRW makes no representations or warranties (express or implied) regarding the Information, nor shall it have any responsibility or liability for the accuracy, adequacy, timeliness or completeness of, the Information, and no representation is made or is to be implied that the Information will remain unchanged. DRW undertakes no duty to amend, correct, update, or otherwise supplement the Information. In addition, any person wishing to enter into transactions with DRW must satisfy DRW’s eligibility requirements. The Information is protected by copyright, for further details see https://drw.com/terms-of-use/.