La dernière enquête auprès des investisseurs réalisée par Bank of America Merrill Lynch a été publiée aujourd’hui. Elle révèle que, pour la première fois depuis avril 2011, les investisseurs ont accru leur exposition aux actions de la zone euro. « Les investisseurs considèrent désormais que la crise de la dette souveraine en Europe est un risque de moindre ampleur (‘lower tail risk’) que le ‘mur budgétaire’ (‘fiscal cliff’). » Un risque amoindri, mais qui pourrait ressurgir en cas de difficulté et provoquer de violents arbitrages de la part des investisseurs, nuançons un peu le propos.

Source: Bank of America Merrill Lynch

En voici le résumé, sous la plume de Michael Hartnett, stratégiste en chef de la banque américaine:

« FMS « pain trade » still up
Policy & positioning have been the twin catalysts for the rally since June. Once again, our Fund Manager Survey shows investor positioning is not keeping pace with asset prices. Stagnant growth expectations, low equity allocations and high cash levels mean, unlike policy makers, investors are not “all-in” on risk assets. Sentiment still supports a bullish trading view.
In Draghi we trust
Asset allocators are OW euro zone equities for the first time since Apr’11. Indeed, investors now rate the European sovereign debt crisis as a lower tail risk than the US fiscal cliff.
Growth could surprise on upside
Global profit expectations actually fell while inflation concerns rose sharply (to a 15-month high) as investors discount stagflation rather than successful central bank reflation. China growth expectations rose to their highest level since Oct’10, but only a paltry 7% of investors are prepared to forecast « above-trend » global growth in the next year.
Still plenty of cash on the sidelines
Since May the FMS cash trading rule has flashed « buy ». Surprisingly, September cash levels dipped only slightly from 4.7% to 4.5%, maintaining the « buy » signal. Asset allocators very modestly upped weightings to bonds, equities and commodities, the latter to its first OW in 5 months.
Japan the big UW; Consumer Discretionary a record OW
Investors reduced OW positions in the US & EM and rotated aggressively to the euro zone. Japan is left as the big regional UW. The big sector OWs are Tech, Pharma, Energy, Staples & Discretionary (to a record high), while the big global UWs are Utilities, Banks, Materials and Industrials.
Contrarian global pair trades
September’s contrarian trade of the month: long Industrials, short Insurance. Last month’s contrarian trade of long Materials, short Telecom yielded a positive return of 172bps. Contrarian traders should also note that relative to history the big September OWs are Discretionary, US equities, Real Estate, Tech & Staples, while the big UWs are Materials, Industrials, Japanese equities and Energy. »