新兴市场本地货币/外汇基金持仓：在积极资金流入势头中获取超额收益

FICCResearchMacroResearch6June2025 FXViews EMLC/FXfundpositioning:Gainingalphaamidpositiveflowmomentum OurfundpositioninganalysisshowsabouthalfofinvestorsgainedalphainApril,butdegreeofoutperformancewasmeasured.WethinkpositiveflowmomentumintoEMLCbondfundslikelyextendedinMayasEMratesbalancebetweendecouplingfromhigherUStermpremiumandtradepolicyvolatility. KeyTakeaways •Benchmarkreturns:MostEMsrecordedpositiveperformancesinAprilasthethemeof"peaktariffs"drovemarketrelief,whiletheUS-centricfiscalnarrativehelpedcontainspilloverstoEMrates.Hungary,CzechRepublic,PolandandMexicooutperformed,whileTurkeyandSouthAfricaunderperformedinApril.LookingtoMay,weexpectHungary'soutperformancetohavestalledwhileSouthAfricatohavelikelyreverseditsunderperformance. •Fundsreturns:InvestorswentintoAprilwithadurationoverweightinSouthAfrica,Peru,ColombiaandMexico,butlightenedriskinChina,Thailand,IndiaandRomania.Fortheaveragefund,predominantlySouthAfricadetractedfromperformance,butthiswasmorethanoffsetbystrongpositiveFXcontributionsfromMexico.InMay,wethinkthedurationoverweightinZAR,MXN,andCOPshouldhelpfundsseepositiveperformancecontributionsfromthesemarkets. •Cashbalances:Weexpectcashbalancestoremainlow,aroundsteadystatelevelsat 2.5-3.0%.AlthoughweestimateinflowsintoEMlocal-currencybondfundslikelypersistedinMay,newallocationsbyfundsareunlikelytoresultinamaterialriseincashbalances. •Flows:WethinkpositiveflowmomentumintoEMlocalcurrencybondfundslikelyextendedinMay.Inourview,withtheUSnothavingturnedthepageontariffsandlikelymoretradepolicyvolatilityahead,someheadwindstoEMfundflowscouldresume,incrementally.Thatsaid,webelievethedecouplingofEMratesfromhigherUStermpremiumcouldcontinuetoprovideastill-constructivebackdropforEMbondfundflowsfornow. AudreyOng +6563085637 audreysz.ong@barclays.comBarclaysBank,Singapore MitulKotecha +6563085439 mitul.kotecha@barclays.comBarclaysBank,Singapore LemonZhang +6563085137 lemon.zhang@barclays.comBarclaysBank,Singapore ThisdocumentisintendedforinstitutionalinvestorsandisnotsubjecttoalloftheindependenceanddisclosurestandardsapplicabletodebtresearchreportspreparedforretailinvestorsunderU.S.FINRARule2242.Barclaystradesthesecuritiescoveredinthisreportforitsownaccountandonadiscretionarybasisonbehalfofcertainclients.Suchtradinginterestsmaybecontrarytotherecommendationsofferedinthisreport. Pleaseseeanalystcertificationsandimportantdisclosuresbeginningonpage19. Completed:06-Jun-25,02:37GMTReleased:06-Jun-25,02:38GMTRestricted-External •Changesinthepastmonth:Inrates,investorsremainoverweightZAR,andtoamodestextentMXN,COP,followedbyIDR,PEN,MYRandBRL.Ontheotherhand,investorsweremostunderweightinCNY,THB,INRandRON.InFX,allocationsaretiltedslightlyoverweightacrossGBI-EMGDportfolios,withmoderateoverweightsinMXN,MYR,INRandBRLversusunderweightsinCOP,RON,CNYandCZK.Whiledollarsentiment/positioningremainsinnegativeterritory,thepathaheadisbynomeansclearcutforFXriskallocationsoverallamidtariffsgyrations,focusonS899andfiscaldynamics. •Fundperformances:ApproximatelyhalfofinvestorsgainedalphainApril,althoughthedegreeofoutperformancewasbroadlymeasured.Themedianfundoutperformedthebenchmarkbyupto25bp(intotalreturnterms). •Hedgefundspositioning:HedgefundsmaynothaveincreasedexposuretoEMlocal-currencybondsandFX,butinsteadmayhavetakenamoreselectivealphafocussed approach.EM-focusedHFs'performancestrengthenedinApril1.Asia-focusedHFsappeartohavelimitedexposuretoEMLCandFXgains,butweseescopeforsomeincrease.HFs'exposuretoLatAmhaspickedupamidstrengtheningperformanceofunderlyingassets,andismuchheaviernow.IndiasawabigpositiveturnaroundinHFexposure,whileHFs'exposuretoChinaFXandLCmayhavelessened. Local-currencyEMbondfundpositioning Benchmarkreturns:GainsledbyFX,thenpricereturns Similarly,mostEMcountriesrecordedpositiveperformancesinApril,withTRYandZARthemainexceptions:AprilwitnessedanextensionofbroadDXYsoftnessasthethemeof"peaktariffs"drovemarketrelief,whilehigherlong-termUSyieldsprimarilyreflectedaUS-centricnarrativerelatedtoconcernsaboutforeigndemand,thefiscaloutlookanddealerintermediation,helpingcontainspilloverstoEMrates.Inparticular,Hungary,CzechRepublic,PolandandMexicooutperformed,whileTurkeyandSouthAfricaunderperformedinApril(Figure1). Localidiosyncrasiesbeyondtheglobalfactor:Hungary'soutperformancewaslikelyhelpedbyanimprovinginflationbackdropamidpricecontrols,Forintstabilityandprolongedeconomicweaknesspotentiallyopeningthescopeforamore-dovishNBHinH225,whileFXwassupportedbytheimprovementinglobalrisksentiment.WeexpectthisoutperformancetostallinMay,asNBHrhetoricislikelytoremaincautiousinthenear-term,highlightingsymmetricriskstotheinflationprofile.WeexpectSouthAfricatoreverseitsunderperformanceinMay,asamore-dovishSARBgovernortonecoupledwithoneMPCmembervotingfora50bpcutintheMaypolicymeetingfavoursourrecommendationtoreceive2yZARIRS. 1HFRIEM(total)fund-weightedcompositeofallEMfunds FIGURE1.JPMGBI-EMGDindexreturnsinAprilbycomposition Note:WeapproximatereturnsbycomponentsbasedontheBloombergEMLocalCurrencyTotalReturnIndex(UnhedgedUSD)forindividualcountrie