Formue

Sentiment skriger fortsat “buy”, solide Q2-regnskaber, plusvækst i BNP de næste kvartaler

Uddrag fra Goldman og JP Morgan:

Let’s make it worse and be very one-sided and only focus on the positives to really challenge the consensus bearish view. Time for a thread of only bullish observations

Sentiment still screams BUY

Ok, sentiment analysis is not God’s gift to investing and trading but it is for sure an input in the overall analysis. And it does not support an outright max short right now….

Goldman

Sentiment still screams BUY (II)

BofA Bull & Bear remains at 0

Flow Show

Did hedge funds just start to panic?

Global net flows see most positive 2 days in a while, but hardly extreme. Eq L/S funds only up ~1% MTD vs. global equities +6%, hurt by low nets and negative alpha spreads as their shorts outperformed

JPM Position Intelligence

The short base is not cleaned out

Despite a large amount of short covering seemingly already having taken place, Morgan Stanley’s PB Strategic Content Team notes that several metrics show that the short base is hardly cleaned up. The 30-day build in new net shorts in S&P 500 futures is at 9% of open interest, which is 2 z-scores more short than 1Y averages (although that’s off of the recent peak of 14%, 3.1 1Y zScore). And in cash, although single-name + ETF shorts were covered in +2 zScore magnitude over the last week, short interest as a % of market cap is still in the 94th 1Y %ile. (Morgan Stanley)

“Risky” has hardly seen any re-engagement yet

Risky factors have hardly seen any recovery recently. This is very different from previous episodes of squeeze….

JPM PI

Too hedged?

Net leverage for equity long/short funds still very low (single digit %-tile on a 5-year look-back)

JPM Prime Brokerage

Q3/Q4 is in the toilet. Nobody cares

What matters now is that Goldman is more bullish than consensus on US GDP (for the first time in a long time) for 2023….

Goldman

“Mentions of inflation” peak

Goldman’s “Company Price Announcement” Index based on Russell 3000 earnings calls edged down slightly

Goldman

5Yx5Y breakevens at 18m lows

5Yx5Y breakevens are trading only just above 2% and remain near 18-month lows

JPM

Sell-side analysts vs Bears: 11 – 0

One of the strongest conviction calls over the past few months has been that the “E” was wrong and that consensus numbers had to come down. After more than 50% of S&P500 reporting it seems like sell-side analysts were not delusional…..Since the beginning of the earnings season, 2Q22E EPS has been revised up 1.6%,and FY22E EPS has been revised down with small -0.6% (+9% y/y) and FY23E EPS has been revised down -1.2% to $246.33 (+9% y/y).

This is painful

This is playing pout big time (from Monday): Systematics have made a “silent” come back, but things could get much more dynamic should we squeeze even higher. Recall what GS wrote on Monday:

Skew over the next 1 month: FLAT = $41B to buy / DOWN BIG -$15B to sell / UP BIG +$162 BILLION TO BUY

Don’t forget extremely poor liquidity tends to work both ways….

Systematically not long

The computer and model driven crowd has experienced huge agony and p/l pain during this latest market squeeze. They have all been running extremely light equity longs. Good luck to those that have had to chase longs in this poor liquidity environment. Mission impossible…

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