“One Of The Top 20 In Our Data Set”: Banks Warn Of Massive Month-End Pension Rebalance Selling This Week

Over the weekend, we summarized the key factors affecting trading in the last week of the month, quarter and first half as follows: liquidity, buyback blackout, dealer gamma positioning… oh and pension fund period-end rebalancing, or in this case outright selling. The question is how much selling?

First, the big picture: one look at the vast outperformance of equities over fixed income in June and Q2….