Embed Size (px)
Citation preview
US Flow of Funds:Mad Dash forCash In 2020
Yardeni Research, Inc.
February 26, 2021
Dr. Edward Yardeni516-972-7683
Debbie Johnson480-664-1333
Mali Quintana480-664-1333
Please visit our sites atwww.yardeni.comblog.yardeni.com
thinking outside the box
Table Of Contents Table Of ContentsTable Of Contents
February 26, 2021 / Mad Dash for Cash In 2020 www.yardeni.com
Yardeni Research, Inc.
S&P 500 1Net Cash Flow 2Liquid Assets 3-5C&I Loans 6S&P 500 7S&P 500 Volatility 8Sentiment 9Credit Spreads 10Fed 11ECB 12BOJ 13
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec2020
2000
2250
2500
2750
3000
3250
3500
3750
2000
2250
2500
2750
3000
3250
3500
3750
COVID-19News in China
White House15-Days
White House30-Days
First Casein US
Chinese VisitorsBanned
First Deathin US
WHO DeclaresPandemic
European VisitorsBanned
RecordHigh
Trump RaisesDeath Estimate
Lower DeathEstimate
S&P 500 HEALTH FRONT2020
Source: Standard & Poor’s.
yardeni.com
Figure 1.
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec2020
2000
2250
2500
2750
3000
3250
3500
3750
2000
2250
2500
2750
3000
3250
3500
3750
Record High
FFR Cut1.00-1.25%
QE4,FFR Cut
0.00-0.25%
QE4ever,THE Low?
No AssetLeft Behind
S&P 500 FINANCIAL FRONT2020
Source: Standard & Poor’s.
yardeni.com
Figure 2.
S&P 500
Page 1 / February 26, 2021 / Mad Dash for Cash In 2020 www.yardeni.com
Yardeni Research, Inc.
2013 2014 2015 2016 2017 2018 2019 2020 2021-300
-250
-200
-150
-100
-50
0
50
100
150
-300
-250
-200
-150
-100
-50
0
50
100
150
2/17
BOND MUTUAL FUNDS & EXCHANGE TRADED FUNDS:ICI ESTIMATED WEEKLY NET NEW CASH FLOW*(billion dollars, 4-week sum)
Total Bond Funds (87.2)
* ICI’s weekly cash flows are estimated while actual net new cash flows are collected on a monthly basis.Source: Investment Company Institute.
yardeni.com
Figure 3.
2013 2014 2015 2016 2017 2018 2019 2020-100
-50
0
50
100
-100
-50
0
50
100
12/30
EQUITY MUTUAL FUNDS & EXCHANGE TRADED FUNDS: ICI ESTIMATED WEEKLY NET NEW CASH FLOW*(billion dollars, 4-week sum)
Total Equity Funds (15.3)
* ICI’s weekly cash flows are estimated while actual net new cash flows are collected on a monthly basis.Source: Investment Company Institute.
yardeni.com
Figure 4.
Net Cash Flow
Page 2 / February 26, 2021 / Mad Dash for Cash In 2020 www.yardeni.com
Yardeni Research, Inc.
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 20228
9
10
11
12
13
14
15
16
17
18
8
9
10
11
12
13
14
15
16
17
18
Covid-19
LIQUID ASSETS*(trillion dollars, sa, ratio scale)
4/27
Latest (15.8)
* Total savings deposits (including money market deposit accounts), small time deposits, and total money market mutual funds held by individuals &institutions.Source: Federal Reserve Board.
yardeni.com
Figure 5.
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022-600
-400
-200
0
200
400
600
800
1000
1200
1400
1600
-600
-400
-200
0
200
400
600
800
1000
1200
1400
1600
4/27
LIQUID ASSETS*(billion dollars, sa, 4-week change)
Latest (953.2)
* Total savings deposits (including money market deposit accounts), small time deposits, and total money market mutual funds held by individuals &institutions.Source: Board of Governors of the Federal Reserve System.
yardeni.com
Figure 6.
Liquid Assets
Page 3 / February 26, 2021 / Mad Dash for Cash In 2020 www.yardeni.com
Yardeni Research, Inc.
84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24.2
4.2
8.2
12.2
16.2
.2
4.2
8.2
12.2
16.2
4/27INTEREST-BEARING DEPOSITS(trillion dollars, sa, ratio scale)
2/1
Savings Deposits (includingMoney Market Deposit Accounts)*
Total Small TimeDeposits**
Source: Board of Governors of the Federal Reserve System.
* Included in M2.** Included in M2. IRA and Keogh account balances are excluded.
yardeni.com
Figure 7.
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022.6
1.0
1.4
1.8
2.2
2.6
3.0
3.4
3.8
4.2
.6
1.0
1.4
1.8
2.2
2.6
3.0
3.4
3.8
4.2
MONEY MARKET MUTUAL FUNDS(trillion dollars, sa, ratio scale)
2/1
2/1
Held By:
Retail** (1.1)Institutions* (2.8)
** Included in M2. IRA and Keogh account balances are excluded.* Included in MZM, but not in M1 or M2.
Source: Federal Reserve Board.
yardeni.com
Figure 8.
Liquid Assets
Page 4 / February 26, 2021 / Mad Dash for Cash In 2020 www.yardeni.com
Yardeni Research, Inc.
Figure 9.
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021-200
0
200
400
600
-200
0
200
400
600
4/27
TOTAL SAVINGS DEPOSITS*(billion dollars, sa, 4-week sum)
(443.0)
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021-50
0
50
100
-50
0
50
100
2/1
SMALL TIME DEPOSITS
(-20.7)
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021-50
0
50
100
150
-50
0
50
100
150
2/1
MONEY MARKET MUTUAL FUNDS HELD BY INDIVIDUALS
(13.5)
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021-200
0
200
400
600
800
-200
0
200
400
600
800
2/1
MONEY MARKET MUTUAL FUNDS HELD BY INSTITUTIONS
(47.4)
* Total savings deposits (including money market deposit accounts). Source: Board of Governors of the Federal Reserve System.
yardeni.com
Liquid Assets
Page 5 / February 26, 2021 / Mad Dash for Cash In 2020 www.yardeni.com
Yardeni Research, Inc.
73 75 77 79 81 83 85 87 89 91 93 95 97 99 01 03 05 07 09 11 13 15 17 19 21 23.1
.6
1.1
1.6
2.1
2.6
3.13.64.14.6
.1
.6
1.1
1.6
2.1
2.6
3.13.64.14.6
COMMERCIAL & INDUSTRIAL LOANS(trillion dollars, nsa, ratio scale)
2/17
Note: Shaded areas are recessions according to the National Bureau of Economic Research.Source: Federal Reserve Board.
yardeni.com
Figure 10.
90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22-200
-100
0
100
200
300
400
500
600
-200
-100
0
100
200
300
400
500
600
2/17
COMMERCIAL & INDUSTRIAL LOANS(billion dollars, 4-week change, nsa)
Source: Federal Reserve Board.
yard
eni.c
om
Figure 11.
C&I Loans
Page 6 / February 26, 2021 / Mad Dash for Cash In 2020 www.yardeni.com
Yardeni Research, Inc.
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022500
1000
1500
2000
2500
3000
3500
4000
4500
500
1000
1500
2000
2500
3000
3500
4000
4500
S&P 500 BULL & BEAR MARKETS & CORRECTIONS: 2008-2020(daily ratio scale) 2/26
-56.8% (517)
-16.0% (70)
-19.4% (157)
-9.8% (28)
-9.9% (60)
-7.7% (62)
-5.8% (34)
-5.8% (19)
-7.4% (27)
-12.4% (96)
-13.3% (100)
-10.2% (13)
-19.8% (95)
-6.8% (34)
-33.9% (33)
-9.6% (21)
Note: Corrections are declines of 10% or more, but less than 20%, while minor ones are 5%-10% (all in blue shades). Bear markets are declines of 20%or more (in red shades). Number of calendar days in parentheses.Source: Standard & Poor’s.
yardeni.com
Figure 12.
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 20228
10
12
14
16
18
20
22
24
26
8
10
12
14
16
18
20
22
24
26
S&P 500 FORWARD P/E*(daily)
2/26
-56.8% (517)
-16.0% (70)
-19.4% (157)
-9.8% (28)
-9.9% (60)
-7.7% (62)
-5.8% (34)
-5.8% (19)
-7.4% (27)
-12.4% (96)
-13.3% (100)
-10.2% (13)
-19.8% (95)
-6.8% (34)
-33.9% (33)
Latest (21.5)
* Time-weighted average of consensus S&P 500 operating earnings estimates for current year and next year.Note: Numbers above time line show corrections (declines of 10% or more in the S&P 500) and minor selloffs (declines of 5%-10%). Bear markets aredeclines of 20% or more. Number of calendar days in parenthesesSource: Standard & Poor’s.
yardeni.com
Figure 13.
S&P 500
Page 7 / February 26, 2021 / Mad Dash for Cash In 2020 www.yardeni.com
Yardeni Research, Inc.
90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 230
10
20
30
40
50
60
70
80
90
100
0
10
20
30
40
50
60
70
80
90
100
VIX: S&P 500
2/26
Note: Shaded areas are recessions according to the National Bureau of Economic Research.Source: Chicago Board Options Exchange.
yardeni.com
Figure 14.
1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 20220
20
40
60
80
100
0
20
40
60
80
100
2/26
2/23
S&P 500 VIX & INVESTORS INTELLIGENCE BEARS
Investors Intelligence Bears(percent) (18.5)
S&P 500 VIX (28.0)
Source: Investors Intelligence and Chicago Board Options Exchange.
yardeni.com
Figure 15.
S&P 500 Volatility
Page 8 / February 26, 2021 / Mad Dash for Cash In 2020 www.yardeni.com
Yardeni Research, Inc.
Figure 16.
87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 230
1
2
3
4
5
6
0
1
2
3
4
5
6
INVESTORS INTELLIGENCE BULLS & BEARS
2/23
Ratio Feb 9 3.20 Feb 16 3.27 Feb 23 3.04
2/23
RatioBull/BearRatio*
87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 2310
15
20
25
30
35
40
45
50
55
60
65
70
75
80
10
15
20
25
30
35
40
45
50
55
60
65
70
75
80
Bulls Bears Feb 9 58.6 18.3 Feb 16 59.1 18.1 Feb 23 56.3 18.5
2/23
PercentageBullsBears
87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 235
10
15
20
25
30
35
40
45
50
5
10
15
20
25
30
35
40
45
50
Correction Feb 9 23.1 Feb 16 22.8 Feb 23 25.2
2/23
PercentageCorrection
yardeni.com
Source: Investors Intelligence.
Sentiment
Page 9 / February 26, 2021 / Mad Dash for Cash In 2020 www.yardeni.com
Yardeni Research, Inc.
97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22200
400
600
800
1000
1200
1400
1600
1800
2000
2200
2400
200
400
600
800
1000
1200
1400
1600
1800
2000
2200
2400
YIELD SPREAD US HIGH-YIELD CORPORATE LESS 10-YEAR US TREASURY BOND(basis points, daily)
2/25
Note: Shaded areas are recessions according to the National Bureau of Economic Research.Source: Bank of America Merrill Lynch and Federal Reserve Board.
yard
eni.c
om
Figure 17.
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022-150
-100
-50
0
50
100
150
200
250
-150
-100
-50
0
50
100
150
200
250
US AAA MUNICIPAL BOND YIELD LESS 10-YEAR TREASURY YIELD SPREAD(basis points, daily)
2/25
Spread (-24)
Note: Shaded areas denote recessions according to the National Bureau of Economic Research.Source: Merrill Lynch and Board of Governors of the Federal Reserve System.
yardeni.com
Figure 18.
Credit Spreads
Page 10 / February 26, 2021 / Mad Dash for Cash In 2020 www.yardeni.com
Yardeni Research, Inc.
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022.4
.8
1.2
1.6
2.0
2.4
2.8
3.2
3.6
4.0
4.4
4.8
5.2
5.6
6.0
6.4
6.8
7.2
7.6
8.0
.4
.8
1.2
1.6
2.0
2.4
2.8
3.2
3.6
4.0
4.4
4.8
5.2
5.6
6.0
6.4
6.8
7.2
7.6
8.0
QE1
QE1+
QE2 QE3
QE3+ QT RM
QE4
FED ASSETS*(trillion dollars, weekly)
2/24
Fed AssetsTotal (7.6)Securities* (7.0)
* Averages of daily figures for weeks ending Wednesday. Securities held by Fed include US Treasuries, Agency debt, and mortgage-backed securities.Note: QE1 (11/25/08-3/31/10) = $1.24tn in mortgage securities; expanded (3/16/09-3/31/10) = $300bn in Treasuries. QE2 (11/3/10-6/30/11) = $600bnin Treasuries. QE3 (9/13/12-10/29/14) = $40bn/month in mortgage securities (open ended); expanded (12/12/12-10/1/14) = $45bn/month in Treasuries.QT (10/1/17-7/31/19) = balance sheet pared by $675bn. RM (11/1/19-3/15/20) = reserve management, $60bn/month in Treasury bills. QE4 (3/16/20-infinity).Source: Federal Reserve Board.
yardeni.com
Figure 19.
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022.0
.2
.4
.6
.8
1.0
1.2
1.4
1.6
1.8
2.0
2.2
.0
.2
.4
.6
.8
1.0
1.2
1.4
1.6
1.8
2.0
2.2
QE1
QE1+
QE2 QE3
QE3+ QT RM
QE4
FED ASSETS: LIQUIDITY FACILITIES*(trillion dollars, weekly)
2/24
Fed AssetsTotal LessSecurities* (0.5)
* Averages of daily figures for weeks ending Wednesday. Securities held by Fed include US Treasuries, Agency debt, and mortgage-backed securities.Note: QE1 (11/25/08-3/31/10) = $1.24tn in mortgage securities; expanded (3/16/09-3/31/10) = $300bn in Treasuries. QE2 (11/3/10-6/30/11) = $600bnin Treasuries. QE3 (9/13/12-10/29/14) = $40bn/month in mortgage securities (open ended); expanded (12/12/12-10/1/14) = $45bn/month in Treasuries.QT (10/1/17-7/31/19) = balance sheet pared by $675bn. RM (11/1/19-3/15/20) = reserve management, $60bn/month in Treasury bills. QE4 (3/16/20-infinity).Source: Federal Reserve Board.
yardeni.com
Figure 20.
Fed
Page 11 / February 26, 2021 / Mad Dash for Cash In 2020 www.yardeni.com
Yardeni Research, Inc.
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 20220
2
4
6
8
0
2
4
6
8
QED NIRP QEE QT QE2
PEPP
PEPP+
2/19
ECB ASSETS(trillion euros, weekly)
2/19
ECB AssetsTotal (7.1)Securities Held forMonetary PolicyPurposes (3.8)
D = ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro (7/26/12). NIRP = negative interest-rate policy (6/5/2014).QE (1/22/15). QEE = expansion and extension of QE (3/10/16, corporate bond purchases started 6/1/16). QT (12/31/18). QE2 (11/1/19).PEPP (3/18/20) 750 billion euros open-ended asset purchases. PEPP+ (6/4/20) expanded by 600 billion euros.Source: European Central Bank.
yardeni.com
Figure 21.
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022.0
.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
.0
.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
5.5
6.0
6.5
7.0
7.5
QED NIRP QEE QT QE2
PEPP
2/19
2/19
ECB ASSETS(trillion euros)
ECB AssetsTotal (7.1)ECB Longer-TermRefinancing Operations(LTRO)* (1.8)
D = ECB President Mario Draghi pledged to do "whatever it takes" to defend the euro (7/26/12). NIRP = negative interest-rate policy (6/5/2014).QE (1/22/15). QEE = expansion and extension of QE (3/10/16, corporate bond purchases started 6/1/16). QT (12/31/18). QE2 (11/1/19).PEPP (3/18/20) 750 billion euros open-ended asset purchases.
* LTROs provide an injection of low interest rate funding to eurozone banks with sovereign debt as collateral on the loans. The loans are offered monthlyand are typically repaid in three months, six months, or one year.Source: European Central Bank.
yardeni.com
Figure 22.
ECB
Page 12 / February 26, 2021 / Mad Dash for Cash In 2020 www.yardeni.com
Yardeni Research, Inc.
89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 2230
90
150
210
270
330
390
450
510
570
630
690
750
30
90
150
210
270
330
390
450
510
570
630
690
750
Z
A
QQE
QQEENIRP
YC
JanBOJ’S BALANCE SHEET ASSETS & MONETARY BASE*(trillion yen)
JanBOJ
Total Assets (nsa)Long-Term Government Bond
* Adjusted for change in reserve requirements.
Source: Bank of Japan.
Note: Z (2/12/99) = Zero interest rate policy. A = (10/12/12) = Markets start to anticipate Abenomics. QQE (4/4/13) = Quantitative and QualitativeEasing. QQEE (10/31/14) = expanded and extended version of QQE. NIRP = (1/29/16) = Negative interest rate policy. YC (9/21/16) = Yield curve targeting.
yard
eni.c
om
Figure 23.
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 20223
5
7
9
11
13
15
17
19
21232527
3
5
7
9
11
13
15
17
19
21232527
MAJOR CENTRAL BANKS: TOTAL ASSETS(trillion dollars, nsa weekly) 2/19
Total Assets ofFed, ECB, & BOJ (22.8)
Source: Haver Analytics.
yardeni.com
Figure 24.
BOJ
Page 13 / February 26, 2021 / Mad Dash for Cash In 2020 www.yardeni.com
Yardeni Research, Inc.
http://blog.yardeni.com
http://blog.yardeni.com
Copyright (c) Yardeni Research, Inc. 2021. All rights reserved. The informationcontained herein has been obtained from sources believed to be reliable, but is notnecessarily complete and its accuracy cannot be guaranteed. No representation orwarranty, express or implied, is made as to the fairness, accuracy, completeness, orcorrectness of the information and opinions contained herein. The views and the otherinformation provided are subject to change without notice. All reports and podcasts posted onwww.yardeni.com, blog.yardeni.com, and YRI’s Apps are issuedwithout regard to the specific investment objectives, financial situation, or particular needsof any specific recipient and are not to be construed as a solicitation or an offer to buy or sellany securities or related financial instruments. Past performance is not necessarily a guideto future results. Company fundamentals and earnings may be mentioned occasionally, butshould not be construed as a recommendation to buy, sell, or hold the company’s stock.Predictions, forecasts, and estimates for any and all markets should not be construed asrecommendations to buy, sell, or hold any security--including mutual funds, futurescontracts, and exchange traded funds, or any similar instruments.
The text, images, and other materials contained or displayed on any Yardeni Research, Inc.product, service, report, email or website are proprietary to Yardeni Research, Inc. andconstitute valuable intellectual property. No material from any part of www.yardeni.com, blog.yardeni.com, and YRI’s Apps may be downloaded, transmitted,broadcast, transferred, assigned, reproduced or in any other way used or otherwisedisseminated in any form to any person or entity, without the explicit written consent ofYardeni Research, Inc. All unauthorized reproduction or other use of material from YardeniResearch, Inc. shall be deemed willful infringement(s) of this copyright and other proprietaryand intellectual property rights, including but not limited to, rights of privacy. YardeniResearch, Inc. expressly reserves all rights in connection with its intellectual property,including without limitation the right to block the transfer of its products and services and/orto track usage thereof, through electronic tracking technology, and all other lawful means,now known or hereafter devised. Yardeni Research, Inc. reserves the right, without furthernotice, to pursue to the fullest extent allowed by the law any and all criminal and civilremedies for the violation of its rights.
The recipient should check any email and any attachments for the presence of viruses.Yardeni Research, Inc. accepts no liability for any damage caused by any virus transmittedby this company’s emails, website, blog and Apps. Additional information available onrequest.
