This is a new section we are starting covering quarter end index extensions as well as asset rebalancing flows for US, Eurozone & UK bond & equity markets. The EGB (European Government Bond) index is projected to have the largest duration extension this month, complimented by a monthly and quarterly rebalance towards buying bonds/selling equities. The UST index is projected to see a duration extension, but with a relative outperformance of bonds over equities on a monthly and quarterly basis. UKT's are also mixed, with a negative duration change, but a rebalance towards bonds from equities on a quarterly basis, and a marginal rebalance from equities towards bonds on a monthly basis. The UST duration extension this month is +0.06y, roughly in-line with its March average over the past three years +0.06y, and below its 12- month +0.07y. The UKT index should see a duration change of -0.02y, below its March average +0.05y, and below its 12-month average +0.05y. The EGB Index duration change is an estimated +0.09y, below its March average of +0.10y over last three years, and above its 12-month average +0.08y. On a quarterly basis, equities have outperformed bonds in the EU and UK, indicating a rebalance in favor of buying bonds and selling equities. Equities have underperformed bonds on a relative basis in the US, indicating a rebalance from bonds toward equities. In terms of quarterly percentile moves towards bonds, the EU rebalance is largest in the 95th percentile, the UK rebal is in the 62nd percentile, with the US rebal being in the 11th percentile.
