Daily Chartbook #140
Catch up on the day in 30 charts
Welcome back to Daily Chartbook: macro market charts, data, and insights pulled from various sources around the Internet by a solo retail investor.
1. Mortgage rate expectations. Most investors expect mortgage rates to remain elevated this year.
2. Home price expectations. Most investors expect home prices to fall between 6-10% (peak-to-trough).
3. SFH inventory. Single-family active "inventory is up from the previous two years (the record low was in 2022), but still well below normal levels".
4. Flight tracker. "The number of commercial flights tracked by flightradar24 has now recovered to pre-covid levels (7-day moving average to smooth out the data), lifting demand for jet-fuel".
5. Rebalancing process. Goldman is more optimistic about the prospects of a soft landing.
6. Consumer inflation expectations. "Median inflation expectations in January remained unchanged at 5.0% at the one-year horizon, decreased by 0.2 percentage points to 2.7% at the three-year horizon, and rose 0.1 point to 2.5% at the five-year horizon".
7. CPI tomorrow (I). "Update on the real-time US CPI YoY% proxies ahead of tomorrow's release, still slowly edging higher".
8. CPI tomorrow (II). "Nomura sees the core inflation holding at elevated levels (consistent with consensus estimates)".
9. CPI day moves. "Over the past six months, the S&P 500 has seen an average move of about 2.6% in either direction on the day CPI has been released".
10. CTAs & oil. "CTAs have been cutting their exposure to oil".
11. Energy insiders. "Energy insiders have gone on a strong selling spree. Insider buy/sell ratio is at a level not seen in over a decade".
12. Stocks vs. bonds. After spending ~year in the red, the negative 20-day rolling correlation between SPX and the US10Y "is actually reversing and we may have finally reached a point where the asset classes diverge".
13. Put/call skew. "Contracts protecting against a 10% decline [SPY] tracking the S&P 500 in the next 30 days currently cost 1.7 times more than options that profit from a 10%".
14. Red herring. "Concerns regarding the AAII sentiment survey of bulls are unfounded. 1) Returns drive sentiment, not vice-versa 2) Survey not good at predicting forward $SPX returns (t-stat = 0). Decile plot of data (bottom pane) show how bulls relate to forward $SPX returns".
15. Inflation-linked ETFs. "Investors pulled money from exchange-traded funds tracking inflation-linked government debt for a sixth consecutive month in January, the longest streak in at least six years and a combined net outflow of $10.8 billion".
16. Equity fund outflows. "Investors have pulled a net $31 billion from U.S. equity funds in the past six weeks--the longest streak of outflows since last summer, and most money pulled in aggregate from domestic equity funds to start a year since *2016*".
17. Equity positioning (I). "Consolidated equity positioning at the highest level since January of 2022".
18. Equity positioning (II). "Recent chasing of equities has brought exposure back to the long term neutral levels for discretionary investors. Note the "powerful" chase by systematics lately".
19. Hedge fund exposure. "Gross leverage now at >12 month highs and net leverage exactly at the August peak level (from which equities has a 20% sell-off)".
20. CTA & equities. "CTAs continue to boost their exposure" to equities.
21. Liquidity vs. S&P 500. "Recent uptick in liquidity might explain rally in $SPX. The ECB and Fed have been shrinking their balance-sheets but BoJ and PBOC have been easing".
22. Pivot pricing. "In late July we hypothesized that the market was trying to price a Fed pivot that wasn't ultimately coming any time soon. .. equities may have just made the same mistake again .. risk-reward is as poor as it's been at any time during this bear mkt".
23. Stock valuations vs. real rates. "The years-long relationship between the S&P 500's P/E (blue) & the real 10-Yr Treasury yield (plum, inverted) has broken down in the last few months--real yields imply a P/E of ~14x vs the current 18.5x".
24. Valuation dispersion. "S&P 500 stock valuation dispersion remains extremely wide".
25. Cyclicals vs. defensives. "Cyclicals near highs vs defensive".
26. Buybacks (I). "Record $$$ of buyback announcements in 1st 5wk of 2023…but 90% of $$$ announced buybacks from two companies".
27. Buybacks (II). "A 4% buyback excise tax would represent a 1% headwind to S&P EPS".
28. Q4 earnings (I). "With 79% of companies reported, S&P 500 Q4 GAAP earnings are down 23% year-over-year, the 3rd straight quarter of negative YoY growth and the largest decline since Q2 2020".
29. Q4 earnings (II). Companies that reported a positive earnings surprise saw an average price increase of 1% (slightly above 5-year average), while those reporting negative earnings surprises saw an average decline of -0.4% (well below 5-year average). Price changes two days before earnings through two days after release.
30. EPS revisions. And finally, “revision of 2023 estimates per sector since the start of 2023”.
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