巴黎银行-新兴市场-投资策略-阿根廷：共同基金流动性分析-20190607-9页_470kb
报告摘要
Argentina: Mutual Funds Flows Analysis Summary
Core Content
This document provides an analysis of mutual fund flows in Argentina, focusing on the performance and asset under management (AUM) of various fixed income and money market funds. It highlights the impact of the country's monetary policies, the role of the US dollar, and the behavior of investors during periods of economic uncertainty.
Main Points
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AUM of Fixed Income Mutual Funds:
- The AUM of fixed income mutual funds, excluding those linked to the US dollar, currently stands at ARS265bn (USD6bn).
- During last year's economic turmoil, locals bought dollars to preserve their purchasing power, leading to a 40% decline in AUM for fixed income funds, from ARS305bn to ARS182bn.
- The AUM reached a peak of ARS330bn in February 2019 before declining by 20%, or ARS66bn (~USD1.5bn), since then.
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Economic Context:
- The central bank introduced Leliqs, short-term bills with high rates (over 70%), which led to a surge in demand for pesos.
- This created a herding behavior among mutual funds, which primarily invest in short-term time deposits.
- The USDARS rate remained stable, contributing to the increased demand for USD.
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Current Strategy:
- The current investment strategy involves shorting ARS via 1m NDF and buying 1mx6m USDARS forward points.
- This is based on the expectation of USD appreciation and ARS depreciation.
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Investment Dynamics:
- With the peso not serving as a reliable store of value, the reward for holding ARS is abnormally high.
- The shift to Leliqs and the high rates have driven more investment into time deposits and mutual funds.
- The presidential election in April is expected to influence the demand for pesos and potentially impact the market dynamics.
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Performance Analysis:
- The performance of fixed income and money market funds has varied significantly over the period, reflecting market conditions and investor behavior.
- A rolling 15-day period and 30-day period analysis was conducted to detect herding behavior.
Key Information
AUM and Performance Trends
| Fund Type | Jun-18 | Jul-18 | Aug-18 | Sep-18 | Oct-18 | Nov-18 | Dec-18 | Jan-19 | Feb-19 | Mar-19 | Apr-19 | May-19 | Jun-19 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Fixed Income (t+1) | 227.9 | 160.7 | 125.0 | 121.0 | 138.2 | 149.8 | 160.6 | 198.9 | 208.6 | 185.8 | 165.8 | 159.3 | 159.1 |
| Performance (t+1) | 1.8% | 0.0% | 1.0% | 2.5% | 4.5% | 4.7% | 4.6% | 5.1% | 0.7% | 3.0% | 2.9% | 4.3% | 0.8% |
| Fixed Income (1y-3y) | 61.3 | 55.8 | 50.1 | 62.5 | 61.1 | 61.3 | 60.6 | 80.3 | 84.3 | 87.7 | 83.1 | 81.3 | 80.6 |
| Performance (1y-3y) | 4.2% | -4.0% | 7.1% | 7.2% | -1.6% | 4.2% | 2.0% | 6.2% | 3.2% | 3.1% | -0.8% | 3.1% | 0.3% |
| Fixed Income (>3y) | 15.8 | 16.0 | 16.0 | 27.8 | 24.2 | 24.1 | 23.0 | 24.2 | 25.7 | 27.1 | 25.8 | 24.8 | 24.8 |
| Performance (>3y) | 10.3% | -2.4% | 18.9% | 13.0% | -7.5% | 5.2% | -0.1% | 5.2% | 3.7% | 5.6% | -2.9% | -4.1% | 0.6% |
| Fixed Income (Dollar) | 117.7 | 90.3 | 106.8 | 109.1 | 97.1 | 102.0 | 86.2 | 91.1 | 97.4 | 108.6 | 112.6 | 123.0 | 122.9 |
| Performance (Dollar) | 14.5% | -17.2% | 21.0% | 9.5% | -12.3% | 5.7% | -0.3% | -1.0% | 5.0% | 10.7% | 1.6% | 1.8% | -0.1% |
| Money Market (Classic) | 32.9 | 50.1 | 67.6 | 68.1 | 70.1 | 72.4 | 80.8 | 94.4 | 101.4 | 107.0 | 130.2 | 146.6 | 146.8 |
| Performance (Classic) | 8.2% | 2.6% | 2.3% | 3.9% | 3.8% | 3.9% | 3.4% | 2.7% | -6.6% | 2.6% | 4.2% | 4.2% | 0.5% |
| Money Market (Dynamic) | 37.9 | 52.6 | 57.9 | 60.1 | 52.1 | 65.3 | 71.0 | 88.7 | 83.6 | 84.9 | 75.9 | 87.0 | 89.4 |
| Performance (Dynamic) | 2.3% | 3.1% | 2.8% | 2.3% | 1.9% | 2.7% | 3.0% | 4.1% | -0.5% | 2.5% | 3.2% | 4.3% | 3.5% |
Key Observations
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Inflows and Performance:
- Inflows into fixed income funds rose to USD2.3bn during the new monetary regime, then declined by USD1.5bn when the Leliq rate hit its lowest in early February 2019.
- The performance of funds varied, reflecting the impact of market volatility and policy changes.
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Herding Dynamics:
- The combination of stable USDARS and high (unsustainable) real and nominal rates triggered herding behavior among mutual funds.
- Funds primarily invest in short-term time deposits, which are then absorbed by the central bank through the issuance of Leliqs.
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Market Reactions:
- The presidential election in April is expected to increase the demand for pesos, which could influence the flow of funds.
- The US dollar has been a favored asset during economic uncertainty, with increased inflows into dollar-linked funds.
Conclusion
The analysis indicates that the Argentinean peso is not a reliable store of value, leading to a significant shift in investment behavior. Investors have increasingly turned to dollar-linked assets and short-term deposits, influenced by high interest rates and the stability of the USDARS rate. The mutual fund landscape has been shaped by herding dynamics and policy changes, with notable fluctuations in AUM and performance. The current strategy involves shorting the peso and buying USDARS forward points, reflecting expectations of USD appreciation and ARS depreciation. The document serves as a marketing communication and is not investment research, with important disclosures regarding conflicts of interest and the suitability of financial instruments.
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