Treasury volumes spike on ETF rebalancing

摘要

Volumes in Treasury ETFs around asset manager rebalancings have been increasing rapidly over the past year, raising questions over whether the flows are swaying intraday prices and creating relative value opportunities. Over the past three mid-month rebalancing days, two major US Treasury-backed ETFs have seen a nearly 45-fold increase in trading volumes, according to Bank of America Merrill Lynch strategists. Volumes in such funds have generally been considered negligible within the broader scheme of price expectation and analysis, but the recent increase has begun to sway perceptions as some incorporate the flows into their analysis.