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Finanshuse: Mindre sandsynligt med hård recession, mange storinvestorer stadig undervægtet

Morten W. Langer

onsdag 17. august 2022 kl. 18:38

Uddrag fra JPM, Refinitiv og Goldman

Marko: tail risks receding
JPM expects global inflation to slide to 4.7% in 2H22, half its current pace. Marko: “Tail risks diminishing post-CPI, sentiment improving for risk assets: signs that a peak in inflation is behind are growing, which reinforces the idea that Fed hawkishness is likely behind and a soft landing is increasingly likely. The prospect of a recession in Europe is still very much alive, but this should be manageable so long as the US and China are still growing” (JPM cross-asset)
Sentiment: not even at the half-way point
Average percentile of 16 different sentiment indicators is off lows but not even at the half-way point to “risk-on”. Note some of the more notable movers such as equity flow.
Goldman
Calls
“We find that call premiums are attractive, evidenced by our GS-EQMOVE model which estimates 33% probability of a 1-month 5% up-move vs only 13% implied by the options market” (Goldman derivs)
Chasing the hated rally
Some melt up poetry via Goldman’s Michael Nociro:

1. volumes are light (- 21% vs. 20dma)

2. good luck trading size…SPX liquidity (touch sizes) is -40% over the last week

3. CTAs and buybacks still buying… in a flat tape in a week +$22bn to Buy. In a flat tape in a month they buy $37bn

4. corporates…increase in volume over the past week… ~93% of the S&P 500 are estimate to be in their open window with ~96% by the end of the week…remember this crowd is happy to fill up the VWAP machine and do not care much about price impact…

5. retail is back and active….inflows last week of around $17bn

6. “…participation is light and investor sentiment remains wary of this rally despite the forces at work.”

Positioning is as defensive as it could get
New “cross-asset” way of slicing it from team Kolanovic.
JPM cross-asset
Why a recession would be mild
Goldman: “We believe that any post-covid US recession would likely be mild, with a limited increase in the unemployment rate of around 1pp. This would be unprecedented in postwar US history, though recessions with similarly limited increases have occurred in other G10 economies, such as Germany and Canada”
Goldman
Must buy here?
Systematic buyer or not, but do you load up on SPX as we hit the 200 day moving average and the RSI is at the highest levels in “forever”?
Refinitiv
Hopium
BofA’s macro guru Hartnett seems to be nailing this one as well. He remains a “patient bear”, but credit to calling the June lows. Basically, he is now saying to fade this rally: “we remain patient bears, would fade SPX >4328 as rates up-profits down our base case”. People are basically no longer “apocalyptically bearish as hopes rise that inflation & rates shocks end in coming quarters”. There is a lot of hope out there, but that is usually a bad trading strategy…
BofA
That underweight
The most recent squeeze has managed sucking in a lot of people. The underweight in stocks is still large, but has been cut rapidly. FOMO is still alive…
BofA
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