Daily Chartbook #110

Welcome back to Daily Chartbook: macro market charts, data, and insights pulled from various sources around the Internet by a solo retail investor.

Administrative note: Daily Chartbook will be off next week and back Tuesday, January 3.

1. Credit impulse. "The US has exceptionally deep capital markets, so it doesn't depend on bank lending as much as other countries. But what lending channel there is does not point to recession. The credit impulse - the change in the flow of credit - remains very positive unlike previous recessions".

2. Healthy lending. Bank lending "remains very strong across the board, including in real estate, where financial conditions tightened substantially".

3. No surprises. "U.S. Economic Surprise Index from Citi has fallen back into negative territory and is at lowest since September".

4. Q3 GDP (I). "Q3 GDP which came in even hotter than previously expected, rising at a 3.240% rate, above the 2.930% estimated one month ago and well above the 2.57% initial estimate reported in October".

5. Q3 GDP (II). The "increase in real GDP reflected increases in exports, consumer spending, business investment, and government spending that were partly offset by decreases in housing investment and inventory investment. Imports, which are a subtraction in the calculation of GDP, decreased".

6. Jobless claims. "Initial claims ticked up 2,000 last week to 216,000. The 4 week moving average declined 6,250 to 221,750. Continued claims, with a one week delay, declined 6,000 to 1.670 million".

7. Fed effects. "Everything the Fed has done in 2022 will show up in earnings/employment in 2023".

8. Leading Indicator (I). The Conference Board's Leading Economic Indicator fell 1% in November and has declined in 10 out of the last 11 months.

9. Leading Indicator (II). "When the YoY change turns negative for 2+ months in a row, this index has a 100% hit rate on anticipating recessions with a 7 months average lead time".

10. Mass inversions. "The percentage of inverted yield curves around the globe registered the most significant m/m surge since August 2007".

11. 2-year vs. Fed funds rate. "The 2-year yield is below the Fed funds rate now".

12. Gold vs 10Y real yield. "Relationship btw gold & real yields suggests either real rates too high (remember chart axis for real yields inverted) or gold very overvalued".

13. Commodities. "Goldman Sachs expects the S&P Goldman Sachs Commodity Index to return 43% in 2023".

14. Realized correlations. "SPX 1-month realized correlations are on the rise".

15. Equity put/call. "CBOE equity put/call ratio had never before been above 1.5. Yesterday it was above 2.0".

16. Equity flows. Outflows from active funds are outpacing inflows to passive funds.

17. Big tech short interest. "QQQ short interest at 10 year high".

18. Short flows. "The rapid pace of short additions lately does increase the potential for covering to drive the markets higher at some point, especially as overall positioning remains somewhat low and HFs never really bought the rally in the US at least".

19. Hedge fund positioning. "Fundamental Equity HFs haven’t chased this recent rally too much lately and so gross and net positioning remains relatively low with long leverage languishing near 6-year lows".

20. CTA positioning. "The CTA crowd has loaded up on HSI, Japan and Europe recently. They have bought US as well, but note that US exposure remains relatively depressed compared to the other regions".

21. AAII sentiment (I). "Bullish sentiment declined from 24.3% down to 20.3%.  That's the lowest reading since the end of September and less than five points above the YTD low of 15.8% from mid-April".

22. AAII sentiment (II). "2022 is on pace to be the first year in the history of the AAII Sentiment survey (since 1987) that bullish sentiment was never above its historical average".

23. NAAIM. "Active investment managers have second thoughts about all that long equity exposure. 30+ point drop in NAAIM Exposure Index this week".

24. AAII & NAAIM. "Sentiment seasonality shows optimism typically rising into year-end. This year has been the opposite. AAII bears > 50% this week and NAAIM dropped 30+ points".

25. Back-to-back losses."Rare but not impossible to see negative stock market returns for at least two years in a row".

26. Bouncebacks. "When the SPX is negative, the next year is up 15% on avg and higher 80% of the time. But if the loss is great than 10%, returns fall to 8.5% and 63.6%".

27. Liquidity vs. EPS. And finally, “I have in my 30 years as an economist, strategist and portfolio manager NEVER seen any monetary tightening like this”.

Thanks for reading!