Formue

Finanshuse: Oplæg til mere short squeeze, hvis markedet fortsat viser styrke

Fra JP Morgan, Goldman Sachs og Morgan Stanley:

Will they participate in the squeeze?

Volatility Targeting funds’ equity exposure is low (~5th %ile).

JPM Derivs

Will they participate in the squeeze? (II)

CTAs’ equity exposure is net short and well below average.

JPM Derivs

CTAs – king of performance…but what about flow from here

According to GS sales estimates the CTA crowd has sold last week, but that sell flow should fade, and they could turn into big buyers should we bounce from here. See table below the chart.

GS

Will they participate in the squeeze? (III)

Hedge Funds’ and Asset Managers’ net S&P 500 futures positions are at 5Y lows.

JPM Derivs

Will they participate in the squeeze? (IV)

Long-only mutual funds buying…GS trading desk reporting: “Friday felt like a potential pivot point with bid getting healthier as we finally saw L/Os come in and passively buy (they have been net sellers on every single trading session since 6/7). FOMO is real at the moment (MFs currently sitting on well over $200b in cash right now and buying will intensify on moves higher). This community also took advantage (as buyers) of the abundance of liquidity on the closing bell Friday. Demand was mostly concentrated in higher quality cyclicals” (GS US trading desk)

These guys will for sure participate in the squeeze

Goldman’s program trading desk as of Friday close: “We currently estimate $37b of equities to buy for quarter end pension rebalance”

“I would certainly be more patient selling this pop as it was highest quality rally I have seen in over a month” (GS US trading desk)

Hedge fund positioning

With respect to Gross and Net Leverage Levels, US funds ended the week (ending 6/23) at 179% and 41% (33%ile and 4%ile since 2010), EU funds ended the week at 167% and 40% (8%ile and 50%ile since 2010), and Asia funds ended the week at 122% and 58% (16%ile and 69%ile since 2010) (Morgan Stanley Prime Brokerage)

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