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Daily Chartbook #212
Catch up on the day in 30 charts
Welcome back to Daily Chartbook: the day’s best charts & insights, curated.
1. Logistics. "The LMI (logistics manager index) hits all time low… there are no signs of an imminent bottoming in the freight market."
2. Cardboard Box Recession. "Demand for corrugated linerboard, what most cardboard boxes are made from, has fallen similar to past recessions, as per data from the Fibre Box Association."
3. Corporate fundamentals. "Corporate fundamentals continue to deteriorate, with interest coverage declining and leverage increasing as EBITDA shrinks while debt levels and costs rise."
4. Recession odds (I). Goldman has lowered the odds of a recession to 25% from 35%. "We have become more confident in our baseline estimate that .. banking stress will subtract only a modest 0.4pp from real GDP."
5. Recession odds (II). "The NY Fed projects that there is a ~58% chance of recession by March 2024. More interestingly their chart suggests that the probability is higher than it has been in the past few actual recessions."
6. Fed balance sheet. "Expansion of Fed's balance sheet during initial phase of banking stress has been nearly fully reversed."
7. Money supply. "We retain a cautious stance on risk assets .. as a looming liquidity contraction is added to recession concerns. .. broad liquidity in the US .. will contract by another $1.1tr from here .. the worst US broad liquidity contraction since .. after the Lehman crisis."
8. Redbook. "Retail sales decline (-0.6%) to (+0.6%) for Jun ’23 from May '23 level of (+1.2%). YoY growth of (+0.6%) for Jun '23 (Vs Jun '22) reaches the level for lowest level for YoY growth seen in ‘23."
9. Commodity breadth. "Slight revival for commodity breadth ... proportion of commodities with positive monthly return has recently risen to 42%, highest since start of May."
10. CTAs vs. gold. "CTAs were long gold last week."
11. Treasury bears. "Treasury futures aggregate positioning remains exceptionally bearish."
12. Treasury longs. According to a JPMorgan Survey, "the market is LONG bonds.. not short."
13. Risk appetite. "GS 'Risk appetite indicator' and 'momentum factors' finally ticking up."
14. Risky vs. safe flows. "Based on this 'risky vs. safe assets fund flows' from EPFR, we could for sure squeeze higher."
15. Put protection. "Low levels of put protection for the NASDAQ 100 at the moment...a pretty accurate short-term SELL signal over the past few months!"
16. Investor flows. "Equity bulls have put more money to work as market has climbed, with >$10 billion of inflows into large-cap U.S. equity ETFs last week (outpacing mid- and small-caps, as well as bonds)."
17. Private client outflows. "Private client were net sellers for a tenth consecutive week...Rolling four-week avg. sales by private clients are the largest since Oct. ’21 and remain close to a two-standard-deviation event."
18. Private client sector flows. "Tech has still seen the biggest cumulative inflows YTD, but outflows from Tech last week were the largest in a year(led by institutional and retail selling). Positioning data suggest active investors are now equal-weight Tech."
19. Sector fund flows. Flows into tech funds have outpaced all other sectors by a wide margin in recent weeks.
20. CTAs vs. equities. "CTAs in US equities haven't been this long since early 2022. Downside remains the main convexity, but they are actually buyers of more if markets continue to move higher or stay flat."
21. Dumb money. "Dumb money confidence has been on the rise."
22. Excess optimism. "Investors are showing signs of extreme optimism. Current levels have marked local tops in the market."
23. CAPE. On on CAPE basis (Shiller P/E ratio), "last October looks nothing like previous market bottoms."
24. Forward PE vs. VIX. "The S&P 500 forward PE to VIX ratio signals a growing pullback risk."
25. VIX vs. bull phase. "Except for August 2000, every two-year low in the VIX occurred in a bull phase, leading to an upward bias in stocks."
26. Volatility indices. "It's not just the VIX that is falling to new lows. Except for crude oil, the volatility index for other asset classes has collapsed near the bottom end of their 1-year ranges."
27. Multi-asset volatility. "Multi-asset volatility has taken a notable step lower in the last week or so and is now at its lowest level since early 2022. Been a bit quiet lately...*knock on wood*."
28. High beta vs. low vol. "YTD, High Beta leads Low Volatility by 17.3%, on track for 3rd highest calendar year outperformance against more conservative cousin since the launch of duo in 2011."
29. Price target scenarios. "It has become increasingly clear .. stock market resilience is here to stay. .. labor market strength has remained intact .. the anticipated recipe for disaster is simply not present .. we are raising our 2023 S&P 500 year-end price target to 4,550 from 4,300."
30. Benchmarks vs. equal-weight. And finally, “the only time when the S&P 500 outperformed the equal-weighted S&P 500 and the S&P was positive was in early 2000."
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