TME Weekend: All caught up
Real swap rates at 14 year high. Who cares?
Real swap rate reaches 14-year high, first break above 1.25% in this rate hike cycle. But honestly, it has been more or less at this lever for quite a while now and it does not seem to derail equities.
Source: Macrobond
All caught up
This is the single most important chart that GS flow guru Scott Rubner produces. It shows total systematic exposure. What does it tell today? Markets have come down a little...systematics have sold...they still have some more to sell but not too dramatic. More or less "all caught up".
Source: Goldman
Gigantic Gamma
But why is it moving so much in an "every-other day" type of fashion? "GS index gamma is the shortest ever in their data set. GS estimate that dealers will need to sell -$2.5B worth of gamma per every 1% move lower (or vice versa)."This is a market exacerbator, not a muting factor". But it of course works both ways....
Source: Goldman
Beta blocker
Beta (cyclical bullish) exposure is well below average. This is just one of many charts that show that we are not "all in" in any shape or form.
Source: BofA Quant
Seasonality: September not bad in a bull market
Chart shows S&P 500 monthly seasonality following strong* returns in the first 7 months of past year (*strong here defined at >15%). September is actually up on average.
Source: ISG
SPX ex Big AI
S&P500 YTD (14%) driven by a group of AI companies – excluding those it is only up 4.5%. This is nothing new of course. But imagine if "SPX ex Big AI" decided they wanted to join the bull...
Source: Macrobond
Europe: "flat & flat"
In Europe, the SX5E ended the week about 55bps higher and cemented the tightest 5m range since 1995 and 5th tightest on record. On a longer-term view, Morgan Stanley EU Equity Strategy team highlight how Europe's transition to a higher growth mix has paused over the last two years given the strong EPS recovery from value sectors. As a result, Europe still trades as a value stock due to its low technology weight. (MS)
One rule to rule them all
This plots S&P returns in the 24 months that followed a selloff of at least 20%. The big picture moral of the story is clear: buy major pullbacks when the stock market gives them to you.
Source: Tony P
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