Daily Chartbook #297

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1. Senior spenders. "Americans age 65 and up accounted for 22% of spending last year, the highest share since records began in 1972 and up from 15% in 2010."

2. Interest coverage ratios. "Interest coverage ratios for September show that Fed hikes continue to have a more and more negative impact on the economy."

3. Financial conditions. "Our Financial Conditions Index (FCI) has tightened the equivalent of more than two 25bp hikes since the September FOMC, bringing the degree of tightness more in line with the Fed’s intent."

4. Gold vs. UST. "US Treasuries are now more volatile than gold."

5. Digital asset flows. Digital asset investment products saw the largest inflow since July last week (+$78m).

6. Oil vs. conflict. "The average performance of oil over the period from 150 days before the outbreak of conflict until 150 days after."

7. Oil vs. bond yields. "The correlation between oil prices and bond yields is mostly positive, but tends to flip in the runup to recessions."

8. Treasury issuance. "Through September, a net $1.76 trillion-plus of Treasurys has been issued this year. That is higher than in any full year in the past decade, excluding 2020’s pandemic surge."

9. Bid-to-cover ratios. "The supply of Treasuries continues to increase and investors should look at bid-to-cover ratios for signs of weakness in demand for US government bonds."

10. Sentiment indicators. "Positioning and sentiment has turned more bearish but not materially."

11. Sector fund flows. "Utilities and Energy received inflows of $0.5bn each, inflows to Tech ($0.3bn) slowed...Consumer Goods (-$1.0bn) and Healthcare (-$0.7bn) suffered notable outflows again."

12. Global equity positioning. Aggregate positioning (32nd percentile) fell further into underweight territory as both systematic (40th) and discretionary (29th) positioning dropped.

13. Sector positioning. "Positioning continues to decline across most sectors...there are now no sectors with meaningfully above-average exposure."

14. Smart money positioning. Asset managers and leveraged funds positioning in US equities is elevated.

15. CTAs vs. US equities (I). "CTAs are short-$47bn of equities after selling $88bn over the last 15 sessions. This is the largest US short position for this cohort on record."

16. CTAs vs. US equities (II). “CTAs are now buyers of SPX in every scenario over the next month.”

17. Call volumes. "The put/call volume ratio spiked to an extreme outside of the typical historical band...Net call volume is therefore extremely low."

18. HF exposure. "Aggregate long/short ratio declined -0.7% on the week to 1.73 (38th percentile one-year)."

19. HF trading flows (I). "Overall US equities were net sold [last] week (-0.9 SDs vs. the past year), driven by short sales and to a lesser extent long sales (3 to 1)."

20. HF trading flows (II). Utilities was the most bought sector last week while Discretionary saw inflows after 2 weeks of heavy selling.

21. HFs vs. commodity-sensitive stocks. "Managers have been fading commodities sensitive stocks in the US at an accelerated pace." Materials L/S ratio is at its lowest level in more than 5 years. Energy L/S ratio is in the 9th percentile on a 5-year lookback.

22. S&P 500 breadth. Goldman's Breadth Indicator dropped to 7 from 22.

23. EPS revisions. "EPS estimates for 3Q, 4Q, and 2024 have remained roughly flat."

24. EPS estimates. "Goldman Sachs Top-down vs. consensus bottom-up S&P 500 EPS estimates for 2023, 2024, and 2025."

25. Profit margins. "We expect S&P 500 margins will trough at 11.2% in 2023 but remain below the 2021 record high of 11.8% through 2025."

26. Triple momentum. "Globally, the sectors with the strongest Triple Momentum (earnings, price, and news) are Software, Insurance, and Consumer Discretionary."

27. Sectors vs. last hike. "Sector leadership tended to turn defensive post the final Fed hike in the cycle."

28. Defensives valuation. Defensives are no longer cheap.

29. P/E multiples vs. yields. "The correlation between bond yields and P/E multiples has been inverted for the last few years, but that wasn’t always the case. IF bond yields go lower due to weakening growth outlook, then equity multiples might not benefit." 

30. Bear markets vs. October. And finally, “pick a reason, but stocks tend to bottom in October. In fact, 7 of the past 18 bear markets (or near bears) ended in October.”

Thanks for reading!