Goldman Warns Of “Massive” $36BN Month-End Pension Selling, 4th Largest On Record

Read more on this subject: Pensions
News Story Source:, by Tyler Durden
The first such forecast came from Goldman Sachs, whose month-end pension rebalancing estimates a net $36bln of equities to sell following a month of substantial outperformance of stocks vs bonds, according to NewsSquawk.

What is notable about the month-end rebal is that according to Goldman, this is the fourth largest sell estimate on record going back to 2000, and ranks in the 96th percentile among all buy and sell estimates in absolute dollar-value.

Here are the details:

Goldman's model-based assumption estimates a net $36BN of equities to sell from pensions given the moves in equities and bonds over the month
This is due to equity outperforming fixed-income by 10.45% (S&P total-return 10.50%, 10yr total-return 0.05%).
GS says a mitigating factor may be the street gamma positioning, which is trending further into positive territory
To be sure, this is not the first time a bank has expected a major month or quarter-end selling rebalnce only to see stocks rip into t
Read More or Make a Comment

Bookmark the permalink.

Comments are closed.