TME Weekend: 10 things that you might have missed

The Market Ear Picture

The highest net leverage figure YTD

Morgan Stanley highlights that funds were small net buyers of global equities through Wednesday. Tech was the most sold, particularly within higher quality / mega-cap names. US Equity L/S gross leverage remained unchanged at 189%, while net leverage ticked higher by 1% to finish at 51%, the highest figure YTD. (MS)

Gross at 5-year highs

"Overall book Gross leverage +1.0 pts to 261.6% (5-year high) and Net leverage +0.3 pts to 68.3% (78th percentile 1-year). Overall book L/S ratio remained unchanged at 1.707 (8th percentile 1-year)" (GS Prime)

Modestly overweight

"Our measure of aggregate equity positioning climbed up further this week into modestly overweight territory (z score 0.24, 58th percentile). Discretionary investor positioning in particular has continued to rise sharply and is at the highest since late July (z score 0.52, 78th percentile) but not yet at an extreme"

Source: Deutsche Bank


CTA buying

"We expect CTA buying in the S&P 500 this week. Our model initiated a long position this past week that will rapidly increase along any price path next week"

Source: BofA


The calls are still alright

Keep calm and buy 1-month call options..... "Based on the latest macro data, GS-EQMOVE 2.0 estimates a 25% probability that the S&P 500 rises more than 5% over the next month. S&P 500 1-month options currently price an 5% probability that the S&P 500 rises more than 5% over the next month." (GS derivs)

Most of the market has had a pretty terrible year

This is a great reminder that most of the market has had a pretty terrible year even though the magnificent seven have doubled.

Source: Bernstein


Breakdown of performance by size

Large parts of the market have had almost no recovery after the very weak 2022.

Source: Bernstein


Liquidity is improving again

Both global money supply and adjusted Fed liquidity rise.

Source: Macrobond


Source: Macrobond


QT's 3rd year

QT will continue for the third consecutive year in 2024 and tends to be USD-supportive; the dollar is undershooting.

Source: JPM FX


NVDA got some catching up to do

Nvidia quarterly report lifts earnings estimates support for mega-cap tech valuations.

Source: Macrobond


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