Erratic Works Both Ways

Bear markets

The quicker they are, the faster they recover.

Source: Barclays

Tactical bounce

Citi strategy writes: "we find that US equities are apt to rebound... a tactical timing tool based on implied vs realized volatility is showing an abundance of caution in the market; this has typically led to short-term positive (if volatile) returns."

Less aggressive end of day sellers?

Maybe, maybe some green shoots of hope for the bulls...JPM's Andrew Tyler writes: "...if we use the MOC as a proxy, we saw consecutive days of more than $7bn decline to $2.5bn. Obviously, there is more to market structure than this, but it may mean the magnitude is decreasing".

Cutting tech

The crowd has cut the NASDAQ long the most since October 2023....now at YTD lows.

Source: Barclays

Hedge funds "lack" tech

"Smart" money is rather underweight the tech sector.

Source: GS

Re-grossing

People are getting busy...GS: "Yesterday's (Aug 7th) increase in US Info Tech gross trading flow was the largest in 6 weeks (+1.4 Z score one-year), and on a 5-day basis the August MTD increase was the largest in nearly 3 months."

Source: GS

But little net change

Reshuffling risk, but with little "net conviction"....yet.

Source: GS

Momentum

Momentum signals across equity markets needs little commenting...and CTAs follow these.

Source: JPM

Sharp losses

CTAs getting out of equities has been expensive. These strategies trade models (and P/L) and have taken down risk aggressively. Chart shows HFRX Macro Systematic Diversified CTA Index.

Source: JPM

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